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auto corr cons

*The author of this computation has been verified*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 19 Dec 2008 03:50:23 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/19/t1229683903wdz51mcdux782xl.htm/, Retrieved Fri, 19 Dec 2008 11:51:43 +0100

BibTeX entries for LaTeX users:

@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2008/Dec/19/t1229683903wdz51mcdux782xl.htm/},
    year = {2008},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

99.3 98.7 107.9 101.0 97.6 103.0 94.1 94.1 115.1 116.5 103.4 112.5 95.6 97.5 119.3 100.9 97.7 115.3 92.8 99.2 118.7 110.1 110.3 112.9 102.2 99.4 116.1 103.8 101.8 113.7 89.7 99.5 122.9 108.6 114.4 110.5 104.1 103.6 121.6 101.1 116.0 120.1 96.0 105.0 124.7 123.9 123.6 114.8 108.8 106.1 123.2 106.2 115.2 120.6 109.5 114.4 121.4 129.5 124.3 112.6

Output produced by software:

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	4 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.218782	1.6947	0.047661
2	0.027446	0.2126	0.41618
3	0.36879	2.8566	0.002937
4	-0.0444	-0.3439	0.366053
5	0.100245	0.7765	0.220253
6	0.523224	4.0529	7.4e-05
7	0.018696	0.1448	0.44267
8	-0.034237	-0.2652	0.395884
9	0.282256	2.1863	0.016351
10	-0.103738	-0.8035	0.212415
11	0.113163	0.8766	0.192111
12	0.6517	5.048	2e-06
13	0.050171	0.3886	0.349466
14	-0.044872	-0.3476	0.364686
15	0.148339	1.149	0.127552
16	-0.197498	-1.5298	0.06566
17	-0.008079	-0.0626	0.475155
18	0.298178	2.3097	0.012182
19	-0.096788	-0.7497	0.228177
20	-0.085794	-0.6646	0.254439
21	0.097977	0.7589	0.225435
22	-0.220821	-1.7105	0.046173
23	0.042449	0.3288	0.371722
24	0.318049	2.4636	0.00832
25	-0.069586	-0.539	0.295937
26	-0.078493	-0.608	0.27274
27	-0.010275	-0.0796	0.468416
28	-0.256904	-1.99	0.025579
29	-0.071104	-0.5508	0.291919
30	0.091129	0.7059	0.241496
31	-0.115938	-0.8981	0.186374
32	-0.095804	-0.7421	0.230463
33	-0.046786	-0.3624	0.359162
34	-0.207394	-1.6065	0.056711
35	-0.026912	-0.2085	0.41779
36	0.126749	0.9818	0.165072
37	-0.084501	-0.6545	0.257633
38	-0.126063	-0.9765	0.166373
39	-0.113832	-0.8817	0.190719
40	-0.237608	-1.8405	0.03532
41	-0.125957	-0.9757	0.166575
42	-0.058409	-0.4524	0.326294
43	-0.119814	-0.9281	0.178544
44	-0.115411	-0.894	0.187456
45	-0.13204	-1.0228	0.15526
46	-0.13691	-1.0605	0.146584
47	-0.057773	-0.4475	0.328061
48	-0.003593	-0.0278	0.488944
49	-0.05632	-0.4363	0.332111
50	-0.109238	-0.8462	0.200415
51	-0.12339	-0.9558	0.171511
52	-0.134723	-1.0436	0.150438
53	-0.107752	-0.8346	0.203614
54	-0.078458	-0.6077	0.272828
55	-0.066031	-0.5115	0.305447
56	-0.069553	-0.5388	0.296025
57	-0.066516	-0.5152	0.304143
58	-0.032637	-0.2528	0.400641
59	-0.005395	-0.0418	0.483403
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.218782	1.6947	0.047661
2	-0.021446	-0.1661	0.434311
3	0.385993	2.9899	0.002021
4	-0.26097	-2.0215	0.023849
5	0.278155	2.1546	0.01761
6	0.346568	2.6845	0.004688
7	-0.159067	-1.2321	0.111354
8	-0.060843	-0.4713	0.319571
9	0.085787	0.6645	0.254457
10	-0.094927	-0.7353	0.232511
11	0.198179	1.5351	0.06501
12	0.471507	3.6523	0.000274
13	-0.182456	-1.4133	0.081368
14	-0.152113	-1.1783	0.121672
15	-0.283576	-2.1966	0.015963
16	0.018441	0.1428	0.443446
17	-0.099015	-0.767	0.223054
18	-0.077122	-0.5974	0.27625
19	0.081415	0.6306	0.265335
20	0.037713	0.2921	0.3856
21	-0.038922	-0.3015	0.382043
22	-0.034628	-0.2682	0.394723
23	0.101844	0.7889	0.216643
24	-0.191799	-1.4857	0.071302
25	0.040121	0.3108	0.378523
26	-0.03532	-0.2736	0.39267
27	0.07761	0.6012	0.274997
28	-0.059712	-0.4625	0.322687
29	-0.051842	-0.4016	0.344716
30	-0.063471	-0.4916	0.312382
31	0.092774	0.7186	0.237581
32	-0.09831	-0.7615	0.224669
33	-0.011949	-0.0926	0.463283
34	0.087263	0.6759	0.25084
35	-0.123215	-0.9544	0.17185
36	0.090743	0.7029	0.242421
37	-0.108056	-0.837	0.202958
38	-0.023229	-0.1799	0.428905
39	-0.102569	-0.7945	0.215019
40	0.008187	0.0634	0.474822
41	-0.033353	-0.2583	0.398511
42	-0.07519	-0.5824	0.281233
43	-0.023474	-0.1818	0.428165
44	0.015086	0.1169	0.453684
45	0.007719	0.0598	0.476261
46	0.029509	0.2286	0.409988
47	0.051878	0.4018	0.344613
48	-0.119888	-0.9287	0.178395
49	0.016727	0.1296	0.448672
50	0.004973	0.0385	0.4847
51	0.093649	0.7254	0.235513
52	-0.078566	-0.6086	0.272552
53	0.034453	0.2669	0.395242
54	-0.007073	-0.0548	0.478246
55	-0.080265	-0.6217	0.268238
56	0.059471	0.4607	0.323353
57	0.029426	0.2279	0.410236
58	0.009463	0.0733	0.470907
59	-0.031161	-0.2414	0.405046
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229683903wdz51mcdux782xl/1rhib1229683813.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229683903wdz51mcdux782xl/1rhib1229683813.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229683903wdz51mcdux782xl/2bx4m1229683813.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229683903wdz51mcdux782xl/2bx4m1229683813.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 2.0 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 2.0 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

R code (references can be found in the software module):

if (par1 == 'Default') {

par1 = 10*log10(length(x))

} else {

par1 <- as.numeric(par1)

}

par2 <- as.numeric(par2)

par3 <- as.numeric(par3)

par4 <- as.numeric(par4)

par5 <- as.numeric(par5)

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='pic1.png')

racf <- acf(x,par1,main='Autocorrelation',xlab='lags',ylab='ACF')

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF')

dev.off()

(myacf <- c(racf$acf))

(mypacf <- c(rpacf$acf))

lengthx <- length(x)

sqrtn <- sqrt(lengthx)

load(file='createtable')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','ACF(k)','click here for more information about the Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 2:(par1+1)) {

a<-table.row.start(a)

a<-table.element(a,i-1,header=TRUE)

a<-table.element(a,round(myacf[i],6))

mytstat <- myacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable.tab')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Partial Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','PACF(k)','click here for more information about the Partial Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 1:par1) {

a<-table.row.start(a)

a<-table.element(a,i,header=TRUE)

a<-table.element(a,round(mypacf[i],6))

mytstat <- mypacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable1.tab')

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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