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auto corr d 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 04:16:22 -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/t1229685442i407p0jrgp5zo11.htm/, Retrieved Fri, 19 Dec 2008 12:17:26 +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/t1229685442i407p0jrgp5zo11.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 «

72.5 72.0 98.8 75.2 81.2 88.0 54.6 68.6 101.5 93.4 84.5 91.4 64.5 64.5 117.3 73.5 79.7 102.6 57.9 73.1 102.4 82.3 89.1 84.7 81.4 67.5 113.9 83.8 73.9 103.9 67.9 62.5 125.4 79.1 106.3 96.2 94.3 85.6 117.4 88.5 124.2 119.3 76.8 70.6 122.1 109.5 119.9 102.3 79.6 78.2 103.6 77.8 99.1 105.7 84.1 88.7 108.0 98.1 101.0 82.0

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	-0.545204	-3.7377	0.000251
2	0.054905	0.3764	0.354154
3	0.183996	1.2614	0.106692
4	-0.332761	-2.2813	0.013553
5	0.281167	1.9276	0.029981
6	-0.079735	-0.5466	0.293609
7	-0.157484	-1.0797	0.142902
8	0.267422	1.8334	0.036544
9	-0.413915	-2.8377	0.003344
10	0.486439	3.3349	0.000836
11	-0.217227	-1.4892	0.071553
12	-0.122221	-0.8379	0.203163
13	0.344544	2.3621	0.011183
14	-0.412726	-2.8295	0.003418
15	0.24187	1.6582	0.051971
16	0.034786	0.2385	0.406272
17	-0.207293	-1.4211	0.080941
18	0.243888	1.672	0.050584
19	-0.158462	-1.0864	0.141429
20	0.038037	0.2608	0.397704
21	0.081786	0.5607	0.288834
22	-0.121216	-0.831	0.205084
23	0.188352	1.2913	0.101461
24	-0.246678	-1.6911	0.048716
25	0.115997	0.7952	0.215237
26	0.031664	0.2171	0.414544
27	-0.096144	-0.6591	0.256514
28	0.100868	0.6915	0.246323
29	-0.062077	-0.4256	0.336178
30	-0.028878	-0.198	0.421959
31	0.128389	0.8802	0.191617
32	-0.098157	-0.6729	0.252143
33	0.044879	0.3077	0.379844
34	-0.09244	-0.6337	0.264662
35	0.004952	0.0339	0.486531
36	0.026467	0.1815	0.428397
37	0.007112	0.0488	0.480659
38	0.016343	0.112	0.455634
39	-0.027042	-0.1854	0.426861
40	0.014795	0.1014	0.459821
41	0.051366	0.3521	0.363151
42	-0.058336	-0.3999	0.345509
43	-5e-05	-3e-04	0.499864
44	0.001671	0.0115	0.495454
45	-0.013194	-0.0905	0.464157
46	-0.000456	-0.0031	0.498761
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	-0.545204	-3.7377	0.000251
2	-0.344849	-2.3642	0.011127
3	0.058529	0.4013	0.345025
4	-0.248076	-1.7007	0.047802
5	-0.018458	-0.1265	0.449923
6	0.033082	0.2268	0.410782
7	-0.149056	-1.0219	0.156035
8	0.028008	0.192	0.424278
9	-0.367648	-2.5205	0.007587
10	0.256585	1.7591	0.042538
11	0.038336	0.2628	0.39692
12	-0.05277	-0.3618	0.359571
13	0.128859	0.8834	0.190754
14	-0.132509	-0.9084	0.184142
15	0.01656	0.1135	0.455046
16	-0.074005	-0.5074	0.307141
17	0.128943	0.884	0.1906
18	-0.05127	-0.3515	0.363397
19	0.179053	1.2275	0.112869
20	-0.061076	-0.4187	0.338666
21	-0.034405	-0.2359	0.407281
22	0.197785	1.3559	0.090797
23	-0.020509	-0.1406	0.444392
24	0.029126	0.1997	0.421297
25	-0.07349	-0.5038	0.308369
26	-0.016106	-0.1104	0.456275
27	0.051889	0.3557	0.361815
28	-0.070486	-0.4832	0.31559
29	-0.01154	-0.0791	0.468638
30	-0.020061	-0.1375	0.445598
31	0.114499	0.785	0.218207
32	-0.049289	-0.3379	0.368469
33	-0.029489	-0.2022	0.42033
34	-0.091598	-0.628	0.266534
35	-0.201111	-1.3787	0.08725
36	-0.068636	-0.4705	0.320071
37	-0.060673	-0.416	0.339668
38	0.013638	0.0935	0.462954
39	-0.013232	-0.0907	0.464054
40	-0.011067	-0.0759	0.469921
41	0.033431	0.2292	0.409858
42	-0.071052	-0.4871	0.314223
43	-0.051986	-0.3564	0.361568
44	-0.045785	-0.3139	0.377498
45	0.068264	0.468	0.320976
46	0.002174	0.0149	0.494086
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/t1229685442i407p0jrgp5zo11/18u491229685380.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229685442i407p0jrgp5zo11/18u491229685380.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229685442i407p0jrgp5zo11/2wah71229685380.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229685442i407p0jrgp5zo11/2wah71229685380.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -1.6 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -1.6 ; 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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