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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 03:57:15 -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/t122968433099a09ouvvex10mq.htm/, Retrieved Fri, 19 Dec 2008 11:58:54 +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/t122968433099a09ouvvex10mq.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	2 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.514826	-3.5295	0.000472
2	-0.100668	-0.6901	0.246749
3	0.279975	1.9194	0.030508
4	-0.241501	-1.6556	0.052228
5	0.15433	1.058	0.147724
6	0.026017	0.1784	0.429601
7	-0.227725	-1.5612	0.062592
8	0.150319	1.0305	0.154016
9	0.03435	0.2355	0.407424
10	0.021987	0.1507	0.440415
11	-0.086701	-0.5944	0.27755
12	-0.004841	-0.0332	0.486833
13	-0.015827	-0.1085	0.457029
14	0.127372	0.8732	0.193492
15	-0.044976	-0.3083	0.379594
16	-0.162827	-1.1163	0.134988
17	0.128729	0.8825	0.190994
18	0.109209	0.7487	0.228886
19	-0.203719	-1.3966	0.084543
20	0.046027	0.3155	0.376872
21	0.114355	0.784	0.218493
22	-0.243068	-1.6664	0.051144
23	0.29965	2.0543	0.022766
24	-0.104023	-0.7131	0.239642
25	-0.179889	-1.2333	0.111807
26	0.224395	1.5384	0.065331
27	-0.074649	-0.5118	0.305604
28	-0.001832	-0.0126	0.495016
29	0.021208	0.1454	0.442511
30	-0.073988	-0.5072	0.30718
31	0.088754	0.6085	0.272905
32	0.032411	0.2222	0.412561
33	-0.062999	-0.4319	0.333894
34	-0.038047	-0.2608	0.397678
35	0.100972	0.6922	0.246101
36	-0.145707	-0.9989	0.161476
37	0.093011	0.6377	0.263398
38	0.058797	0.4031	0.344354
39	-0.184505	-1.2649	0.106071
40	0.15001	1.0284	0.154508
41	0.045646	0.3129	0.377857
42	-0.133372	-0.9144	0.182599
43	0.067283	0.4613	0.323366
44	-0.005632	-0.0386	0.484683
45	-0.020788	-0.1425	0.443641
46	-0.002697	-0.0185	0.492663
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.514826	-3.5295	0.000472
2	-0.4976	-3.4114	0.000669
3	-0.097325	-0.6672	0.253945
4	-0.218778	-1.4999	0.070169
5	0.011919	0.0817	0.467611
6	0.091753	0.629	0.266188
7	-0.123218	-0.8447	0.201267
8	-0.174806	-1.1984	0.118383
9	-0.085308	-0.5848	0.280726
10	0.191249	1.3111	0.098091
11	0.07523	0.5158	0.304223
12	0.008574	0.0588	0.476688
13	-0.196062	-1.3441	0.092679
14	-0.003131	-0.0215	0.491483
15	0.096446	0.6612	0.255855
16	-0.049795	-0.3414	0.36717
17	-0.083304	-0.5711	0.285325
18	0.111775	0.7663	0.223668
19	-0.070043	-0.4802	0.316659
20	-0.236172	-1.6191	0.056057
21	0.076611	0.5252	0.30095
22	-0.149369	-1.024	0.155534
23	0.060102	0.412	0.341091
24	0.027906	0.1913	0.424552
25	0.0046	0.0315	0.487487
26	-0.077457	-0.531	0.298954
27	-0.044233	-0.3032	0.381519
28	0.052616	0.3607	0.359963
29	0.031538	0.2162	0.414879
30	0.115635	0.7928	0.215953
31	0.001425	0.0098	0.496123
32	0.056355	0.3864	0.350489
33	0.0482	0.3304	0.371267
34	0.052945	0.363	0.359128
35	0.067831	0.465	0.32203
36	-0.153699	-1.0537	0.148702
37	-0.119607	-0.82	0.208182
38	-0.038643	-0.2649	0.396114
39	-0.013731	-0.0941	0.462701
40	0.015958	0.1094	0.456675
41	0.043487	0.2981	0.383457
42	0.01216	0.0834	0.466959
43	0.030963	0.2123	0.416407
44	-0.042099	-0.2886	0.387073
45	0.073271	0.5023	0.308893
46	-0.031322	-0.2147	0.415453
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t122968433099a09ouvvex10mq/1o3491229684233.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t122968433099a09ouvvex10mq/1o3491229684233.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t122968433099a09ouvvex10mq/2qmpj1229684233.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t122968433099a09ouvvex10mq/2qmpj1229684233.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 2.0 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 2.0 ; par3 = 1 ; par4 = 1 ; 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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