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auto corr inv

*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 04:21:38 -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/t12296857478e3437et9ul65um.htm/, Retrieved Fri, 19 Dec 2008 12:22:27 +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/t12296857478e3437et9ul65um.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 «

93.0 99.2 112.2 112.1 103.3 108.2 90.4 72.8 111.0 117.9 111.3 110.5 94.8 100.4 132.1 114.6 101.9 130.2 84.0 86.4 122.3 120.9 110.2 112.6 102.0 105.0 130.5 115.5 103.7 130.9 89.1 93.8 123.8 111.9 118.3 116.9 103.6 116.6 141.3 107.0 125.2 136.4 91.6 95.3 132.3 130.6 131.9 118.6 114.3 111.3 126.5 112.1 119.3 142.4 101.1 97.4 129.1 136.9 129.8 123.9

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	-0.104716	-0.7255	0.235837
2	-0.030556	-0.2117	0.416619
3	0.241063	1.6701	0.050701
4	-0.184291	-1.2768	0.103906
5	-0.117874	-0.8167	0.209081
6	0.151226	1.0477	0.150007
7	-0.063778	-0.4419	0.330284
8	0.068329	0.4734	0.319038
9	-0.097083	-0.6726	0.25221
10	-0.079416	-0.5502	0.292363
11	0.036923	0.2558	0.399596
12	-0.312466	-2.1648	0.017702
13	-0.087022	-0.6029	0.274705
14	-0.011363	-0.0787	0.468788
15	-0.095535	-0.6619	0.255604
16	-0.100469	-0.6961	0.244872
17	0.208928	1.4475	0.077129
18	-0.12167	-0.843	0.201717
19	-0.120693	-0.8362	0.203598
20	0.069111	0.4788	0.317121
21	0.124728	0.8641	0.195905
22	-0.156827	-1.0865	0.141336
23	0.206847	1.4331	0.079159
24	0.060261	0.4175	0.339087
25	-0.039575	-0.2742	0.392561
26	0.126938	0.8795	0.191769
27	0.036955	0.256	0.399511
28	0.070228	0.4866	0.314394
29	0.047285	0.3276	0.372319
30	-0.060766	-0.421	0.337817
31	0.107666	0.7459	0.229673
32	0.01183	0.082	0.467509
33	-0.164529	-1.1399	0.129995
34	0.129826	0.8995	0.186449
35	-0.118329	-0.8198	0.208189
36	-0.105356	-0.7299	0.23449
37	0.059803	0.4143	0.340241
38	-0.052153	-0.3613	0.359722
39	-0.03612	-0.2502	0.401733
40	0.085675	0.5936	0.277793
41	-0.067095	-0.4649	0.32207
42	-0.026194	-0.1815	0.428378
43	0.029468	0.2042	0.419544
44	-0.03447	-0.2388	0.406132
45	0.012266	0.085	0.466314
46	0.004297	0.0298	0.488188
47	-0.001306	-0.0091	0.496408
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	-0.104716	-0.7255	0.235837
2	-0.041982	-0.2909	0.386206
3	0.236336	1.6374	0.054045
4	-0.146036	-1.0118	0.158361
5	-0.146703	-1.0164	0.157271
6	0.079222	0.5489	0.292821
7	0.033313	0.2308	0.409226
8	0.10489	0.7267	0.235469
9	-0.202581	-1.4035	0.083449
10	-0.088683	-0.6144	0.270922
11	0.031534	0.2185	0.413992
12	-0.272662	-1.8891	0.032467
13	-0.156386	-1.0835	0.142005
14	-0.155324	-1.0761	0.143628
15	0.044463	0.3081	0.379688
16	-0.189867	-1.3154	0.097306
17	0.105051	0.7278	0.235131
18	-0.106068	-0.7349	0.232999
19	-0.163696	-1.1341	0.131188
20	-0.042865	-0.297	0.383882
21	0.147883	1.0246	0.155353
22	-0.150536	-1.0429	0.151099
23	0.029557	0.2048	0.419307
24	-0.094977	-0.658	0.256835
25	-0.013382	-0.0927	0.463258
26	0.024085	0.1669	0.434088
27	-0.013671	-0.0947	0.462468
28	0.021714	0.1504	0.440523
29	0.028209	0.1954	0.422937
30	-0.044033	-0.3051	0.380817
31	0.026567	0.1841	0.427369
32	-0.016458	-0.114	0.454847
33	-0.007931	-0.055	0.478203
34	-0.076826	-0.5323	0.298498
35	-0.012506	-0.0866	0.465658
36	-0.011502	-0.0797	0.468407
37	0.002295	0.0159	0.493691
38	-0.079558	-0.5512	0.292028
39	0.132016	0.9146	0.182477
40	0.088003	0.6097	0.272468
41	0.04355	0.3017	0.382083
42	-0.072679	-0.5035	0.308445
43	0.113667	0.7875	0.217428
44	-0.002252	-0.0156	0.493807
45	0.025192	0.1745	0.43109
46	-0.054279	-0.3761	0.354267
47	0.008517	0.059	0.476595
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/t12296857478e3437et9ul65um/16onc1229685688.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t12296857478e3437et9ul65um/16onc1229685688.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t12296857478e3437et9ul65um/2i1331229685688.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t12296857478e3437et9ul65um/2i1331229685688.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 2.0 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 2.0 ; par3 = 0 ; 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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