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auto corr nd 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 04:09:15 -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/t122968503634yv2v7e4gods9d.htm/, Retrieved Fri, 19 Dec 2008 12:10:39 +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/t122968503634yv2v7e4gods9d.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 «

95.9 95.3 100.4 97.3 82.3 97.0 93.5 90.9 107.8 110.9 98.1 106.5 93.4 95.7 109.0 97.6 92.7 107.5 91.7 95.7 111.4 106.0 104.8 108.7 97.3 97.1 106.1 98.6 98.5 105.5 86.2 98.3 111.3 105.0 105.7 103.5 96.9 98.1 111.7 94.7 104.2 109.7 91.3 102.6 114.2 115.8 113.5 107.1 104.5 101.9 116.0 102.0 108.1 112.9 104.5 109.1 113.4 123.9 117.7 108.3

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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.488594	-3.3496	0.000801
2	-0.190775	-1.3079	0.098636
3	0.400828	2.7479	0.004239
4	-0.228304	-1.5652	0.062125
5	-0.01262	-0.0865	0.465712
6	0.172618	1.1834	0.121299
7	-0.221657	-1.5196	0.067655
8	0.037882	0.2597	0.398111
9	0.190693	1.3073	0.098731
10	-0.153651	-1.0534	0.148777
11	-0.030183	-0.2069	0.418481
12	0.123377	0.8458	0.200966
13	-0.207858	-1.425	0.080382
14	0.248058	1.7006	0.047814
15	-0.123135	-0.8442	0.201426
16	-0.124097	-0.8508	0.199606
17	0.165426	1.1341	0.131251
18	0.021201	0.1453	0.442529
19	-0.173093	-1.1867	0.120662
20	0.053075	0.3639	0.358796
21	0.103315	0.7083	0.241132
22	-0.180899	-1.2402	0.110532
23	0.134744	0.9238	0.180165
24	0.047087	0.3228	0.374135
25	-0.237872	-1.6308	0.054812
26	0.274722	1.8834	0.032921
27	-0.105033	-0.7201	0.237524
28	-0.088534	-0.607	0.273399
29	0.158251	1.0849	0.141746
30	-0.084079	-0.5764	0.283541
31	0.015049	0.1032	0.459133
32	0.110384	0.7568	0.226487
33	-0.148193	-1.016	0.157425
34	0.007933	0.0544	0.478428
35	0.161911	1.11	0.136322
36	-0.204691	-1.4033	0.083551
37	0.049608	0.3401	0.367651
38	0.154402	1.0585	0.147612
39	-0.19352	-1.3267	0.095508
40	0.071588	0.4908	0.312933
41	0.10352	0.7097	0.240699
42	-0.135833	-0.9312	0.178248
43	0.048674	0.3337	0.370047
44	0.010881	0.0746	0.470425
45	-0.026735	-0.1833	0.42768
46	-0.005871	-0.0402	0.484033
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	-0.488594	-3.3496	0.000801
2	-0.564184	-3.8678	0.000168
3	-0.039751	-0.2725	0.393208
4	-0.088455	-0.6064	0.273579
5	0.004467	0.0306	0.48785
6	0.084932	0.5823	0.281587
7	-0.094822	-0.6501	0.259407
8	-0.168629	-1.1561	0.126749
9	0.018755	0.1286	0.44912
10	0.106732	0.7317	0.233986
11	0.037663	0.2582	0.398689
12	0.013499	0.0925	0.463331
13	-0.273039	-1.8719	0.033728
14	0.079977	0.5483	0.293041
15	-0.04567	-0.3131	0.377795
16	-0.014803	-0.1015	0.459799
17	-0.135422	-0.9284	0.178971
18	0.042658	0.2925	0.385614
19	-0.111292	-0.763	0.224645
20	-0.211011	-1.4466	0.077321
21	-0.035825	-0.2456	0.403529
22	-0.15125	-1.0369	0.152541
23	-0.050816	-0.3484	0.364557
24	0.00196	0.0134	0.494669
25	-0.096356	-0.6606	0.256053
26	0.028936	0.1984	0.421803
27	-0.071305	-0.4888	0.313613
28	-0.061247	-0.4199	0.338241
29	0.030805	0.2112	0.416827
30	0.016843	0.1155	0.454281
31	0.107436	0.7365	0.23253
32	0.111816	0.7666	0.223585
33	0.031683	0.2172	0.414494
34	-0.042238	-0.2896	0.386709
35	-0.029262	-0.2006	0.420934
36	-0.097216	-0.6665	0.254183
37	-0.059983	-0.4112	0.34139
38	0.010269	0.0704	0.472087
39	0.047781	0.3276	0.372346
40	-0.110834	-0.7598	0.225573
41	0.005776	0.0396	0.484292
42	0.048963	0.3357	0.369305
43	0.119405	0.8186	0.208573
44	-0.021153	-0.145	0.442659
45	0.048383	0.3317	0.370797
46	0.007823	0.0536	0.478727
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/t122968503634yv2v7e4gods9d/1oxej1229684953.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t122968503634yv2v7e4gods9d/1oxej1229684953.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t122968503634yv2v7e4gods9d/2dk541229684953.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t122968503634yv2v7e4gods9d/2dk541229684953.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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