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4.2.2

*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 03:57:29 -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/t12296844260kik9ot0yc9hdna.htm/, Retrieved Fri, 19 Dec 2008 12:00:26 +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/t12296844260kik9ot0yc9hdna.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 «

90.7 94.3 104.6 111.1 110 107.2 99 99 91 96.2 96.9 96.2 100.1 99 115.4 106.9 107.1 99.3 99.2 108.3 105.6 99.5 107.4 93.1 88.1 110.7 113.1 99.6 93.6 98.6 99.6 114.3 107.8 101.2 112.5 100.5 93.9 116.2 112 106.4 95.7 96 95.8 103 102.2 98.4 111.4 86.6 91.3 107.9 101.8 104.4 93.4 100.1 98.5 112.9 101.4 107.1 110.8 90.3 95.5 111.4 113 107.5 95.9 106.3 105.2 117.2 106.9 108.2 113 97.2 99.9 108.1 118.1 109.1 93.3 112.1 111.8 112.5 116.3 110.3 117.1 103.4 96.2

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.230545	2.1255	0.018222
2	-0.120644	-1.1123	0.134576
3	-0.042168	-0.3888	0.349209
4	-0.01186	-0.1093	0.456593
5	0.156507	1.4429	0.076359
6	0.128198	1.1819	0.120265
7	0.129344	1.1925	0.118193
8	0.007901	0.0728	0.471052
9	-0.078509	-0.7238	0.235583
10	-0.200474	-1.8483	0.034019
11	0.112411	1.0364	0.151482
12	0.53769	4.9573	2e-06
13	0.000652	0.006	0.497609
14	-0.243677	-2.2466	0.013629
15	-0.085992	-0.7928	0.21505
16	-8.1e-05	-7e-04	0.499703
17	0.133946	1.2349	0.110131
18	0.066827	0.6161	0.269733
19	0.045132	0.4161	0.339194
20	-0.013856	-0.1277	0.449326
21	-0.123096	-1.1349	0.129806
22	-0.214937	-1.9816	0.025377
23	0.088675	0.8175	0.207952
24	0.304019	2.8029	0.003136
25	-0.107925	-0.995	0.161276
26	-0.224958	-2.074	0.020552
27	-0.120789	-1.1136	0.134291
28	-0.022471	-0.2072	0.418184
29	0.038478	0.3547	0.361829
30	0.005901	0.0544	0.478372
31	-0.003228	-0.0298	0.488164
32	-0.015848	-0.1461	0.442091
33	-0.126865	-1.1696	0.122708
34	-0.146508	-1.3507	0.090182
35	0.087405	0.8058	0.211294
36	0.236881	2.1839	0.015861
37	-0.060329	-0.5562	0.289764
38	-0.202607	-1.8679	0.032608
39	-0.047809	-0.4408	0.330248
40	0.045326	0.4179	0.338542
41	0.108502	1.0003	0.159993
42	0.075897	0.6997	0.243002
43	0.092327	0.8512	0.198522
44	0.003789	0.0349	0.486106
45	-0.088865	-0.8193	0.207455
46	-0.061909	-0.5708	0.284828
47	0.07402	0.6824	0.248412
48	0.168529	1.5538	0.061979
49	-0.023921	-0.2205	0.412989
50	-0.126314	-1.1646	0.123729
51	0.001546	0.0143	0.494331
52	0.03806	0.3509	0.363267
53	0.012629	0.1164	0.453793
54	-0.0437	-0.4029	0.344018
55	-0.037207	-0.343	0.366212
56	-0.056886	-0.5245	0.30066
57	-0.118507	-1.0926	0.138833
58	-0.046627	-0.4299	0.334184
59	0.002642	0.0244	0.490311
60	0.029921	0.2759	0.391665

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.230545	2.1255	0.018222
2	-0.183552	-1.6923	0.047129
3	0.036142	0.3332	0.369896
4	-0.034737	-0.3203	0.374778
5	0.180724	1.6662	0.049678
6	0.03657	0.3372	0.368414
7	0.153443	1.4147	0.080409
8	-0.047543	-0.4383	0.331131
9	-0.0188	-0.1733	0.431402
10	-0.237637	-2.1909	0.015598
11	0.237397	2.1887	0.015681
12	0.420476	3.8766	0.000104
13	-0.290273	-2.6762	0.004467
14	-0.148858	-1.3724	0.086775
15	0.07867	0.7253	0.235128
16	0.049975	0.4607	0.323079
17	0.003947	0.0364	0.485528
18	-0.053079	-0.4894	0.312922
19	0.008798	0.0811	0.467773
20	-0.006605	-0.0609	0.475794
21	-0.031829	-0.2934	0.384947
22	-0.058646	-0.5407	0.295068
23	0.033778	0.3114	0.378124
24	-0.069504	-0.6408	0.26169
25	-0.057343	-0.5287	0.299205
26	0.036402	0.3356	0.368997
27	-0.074832	-0.6899	0.246062
28	-0.049617	-0.4574	0.324258
29	-0.064664	-0.5962	0.276321
30	0.064622	0.5958	0.276451
31	-0.019002	-0.1752	0.430673
32	-0.003416	-0.0315	0.487476
33	-0.027846	-0.2567	0.399004
34	0.076162	0.7022	0.242242
35	-0.067509	-0.6224	0.26767
36	0.099501	0.9174	0.180777
37	0.014289	0.1317	0.447751
38	-0.111726	-1.0301	0.152951
39	0.060425	0.5571	0.289466
40	0.074151	0.6836	0.248031
41	0.087328	0.8051	0.211498
42	0.01308	0.1206	0.452151
43	0.08806	0.8119	0.209566
44	-0.060193	-0.5549	0.290193
45	0.048558	0.4477	0.327761
46	0.015062	0.1389	0.444944
47	-0.06198	-0.5714	0.284608
48	-0.066913	-0.6169	0.269472
49	0.035651	0.3287	0.371599
50	0.071835	0.6623	0.254789
51	-0.018411	-0.1697	0.432808
52	-0.092777	-0.8554	0.197377
53	-0.095926	-0.8844	0.189488
54	-0.108429	-0.9997	0.160155
55	-0.077104	-0.7109	0.239558
56	0.011741	0.1082	0.457028
57	-0.070699	-0.6518	0.258142
58	-0.043934	-0.4051	0.343227
59	-0.069587	-0.6416	0.261443
60	-0.071164	-0.6561	0.256766

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t12296844260kik9ot0yc9hdna/17tcp1229684238.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t12296844260kik9ot0yc9hdna/17tcp1229684238.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t12296844260kik9ot0yc9hdna/24q771229684238.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t12296844260kik9ot0yc9hdna/24q771229684238.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; 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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