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4.2.2 D1

*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 07:00:41 -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/t1229695319tud7dzyperxsyfd.htm/, Retrieved Fri, 19 Dec 2008 15:02:01 +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/t1229695319tud7dzyperxsyfd.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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.28032	2.3951	0.009592
2	0.238611	2.0387	0.022551
3	0.137501	1.1748	0.121945
4	0.029634	0.2532	0.400416
5	0.064821	0.5538	0.290693
6	0.120112	1.0262	0.154084
7	-0.047589	-0.4066	0.342745
8	-0.139196	-1.1893	0.11909
9	0.005004	0.0428	0.483006
10	-0.14357	-1.2267	0.111946
11	-0.02946	-0.2517	0.400987
12	-0.127631	-1.0905	0.139544
13	-0.112416	-0.9605	0.169991
14	-0.093099	-0.7954	0.214468
15	-0.027671	-0.2364	0.406886
16	-0.078267	-0.6687	0.252895
17	0.019002	0.1624	0.435737
18	-0.054569	-0.4662	0.321217
19	0.002242	0.0192	0.492385
20	0.077741	0.6642	0.25432
21	0.025119	0.2146	0.415333
22	-0.072514	-0.6196	0.268738
23	0.093909	0.8024	0.212474
24	-0.083045	-0.7095	0.240127
25	-0.035256	-0.3012	0.38205
26	0.123157	1.0523	0.148078
27	-0.099839	-0.853	0.198217
28	-0.072505	-0.6195	0.268764
29	-0.128159	-1.095	0.13856
30	-0.089534	-0.765	0.223374
31	-0.148579	-1.2695	0.104155
32	0.061912	0.529	0.299213
33	-0.091757	-0.784	0.217797
34	-0.045971	-0.3928	0.347815
35	-0.008235	-0.0704	0.472049
36	-0.103647	-0.8856	0.189382
37	-0.041211	-0.3521	0.362887
38	-0.16112	-1.3766	0.08642
39	-0.091194	-0.7792	0.219202
40	-0.032555	-0.2781	0.390843
41	0.082077	0.7013	0.242684
42	-0.003012	-0.0257	0.48977
43	0.08305	0.7096	0.240113
44	-0.042333	-0.3617	0.359311
45	0.017671	0.151	0.440205
46	0.076625	0.6547	0.257365
47	0.008956	0.0765	0.469607
48	0.015158	0.1295	0.448655
49	0.047932	0.4095	0.341673
50	-0.029426	-0.2514	0.401099
51	-0.005174	-0.0442	0.482431
52	0.061373	0.5244	0.300806
53	-0.023255	-0.1987	0.421529
54	-0.080825	-0.6906	0.246013
55	0.035356	0.3021	0.381725
56	-0.004064	-0.0347	0.486199
57	0.002373	0.0203	0.491941
58	0.09077	0.7755	0.220263
59	-0.047218	-0.4034	0.343904
60	0.049493	0.4229	0.336816

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.28032	2.3951	0.009592
2	0.173679	1.4839	0.071068
3	0.037538	0.3207	0.374669
4	-0.057386	-0.4903	0.312695
5	0.042888	0.3664	0.357549
6	0.110614	0.9451	0.173866
7	-0.12626	-1.0788	0.142122
8	-0.176532	-1.5083	0.067899
9	0.10973	0.9375	0.175788
10	-0.095325	-0.8145	0.209016
11	0.008738	0.0747	0.470344
12	-0.128389	-1.097	0.138134
13	-0.000181	-0.0016	0.499384
14	0.006221	0.0532	0.478878
15	0.004011	0.0343	0.486377
16	-0.062646	-0.5352	0.297054
17	0.076391	0.6527	0.258005
18	-0.067051	-0.5729	0.284241
19	0.052478	0.4484	0.327607
20	0.034798	0.2973	0.383536
21	0.001659	0.0142	0.494366
22	-0.160182	-1.3686	0.087662
23	0.159713	1.3646	0.088287
24	-0.146971	-1.2557	0.10661
25	-0.007152	-0.0611	0.475721
26	0.102868	0.8789	0.191169
27	-0.100826	-0.8615	0.195904
28	-0.092739	-0.7924	0.215359
29	-0.110369	-0.943	0.174398
30	0.032465	0.2774	0.391137
31	-0.059188	-0.5057	0.307294
32	0.051944	0.4438	0.329247
33	-0.008457	-0.0723	0.471296
34	-0.036959	-0.3158	0.376536
35	0.016076	0.1374	0.445563
36	-0.11287	-0.9644	0.169025
37	-0.04239	-0.3622	0.359133
38	-0.181964	-1.5547	0.062171
39	-0.002653	-0.0227	0.49099
40	0.063167	0.5397	0.295523
41	0.067547	0.5771	0.282815
42	-0.046166	-0.3944	0.347202
43	0.007495	0.064	0.474557
44	-0.053217	-0.4547	0.325343
45	0.036589	0.3126	0.377733
46	-0.085027	-0.7265	0.234937
47	-0.001078	-0.0092	0.496338
48	0.017216	0.1471	0.441732
49	-0.003568	-0.0305	0.487881
50	-0.052836	-0.4514	0.326508
51	-0.027664	-0.2364	0.406908
52	-0.005164	-0.0441	0.482463
53	-0.013655	-0.1167	0.453721
54	-0.124946	-1.0675	0.144624
55	0.105875	0.9046	0.184328
56	-0.005042	-0.0431	0.482879
57	0.044606	0.3811	0.352112
58	-0.049237	-0.4207	0.337612
59	-0.008979	-0.0767	0.46953
60	-0.017982	-0.1536	0.439159

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229695319tud7dzyperxsyfd/1xl7s1229695240.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229695319tud7dzyperxsyfd/1xl7s1229695240.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229695319tud7dzyperxsyfd/2j1t21229695240.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229695319tud7dzyperxsyfd/2j1t21229695240.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; 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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