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*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: Sun, 21 Dec 2008 06:23:59 -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/21/t1229865878ustg0cjsd2w7ux1.htm/, Retrieved Sun, 21 Dec 2008 14:24:38 +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/21/t1229865878ustg0cjsd2w7ux1.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 «

13139.7 14532.2 15167 16071.1 14827.5 15082 14772.7 16083 14272.5 15223.3 14897.3 13062.6 12603.8 13629.8 14421.1 13978.3 12927.9 13429.9 13470.1 14785.8 14292 14308.8 14013 13240.9 12153.4 14289.7 15669.2 14169.5 14569.8 14469.1 14264.9 15320.9 14433.5 13691.5 14194.1 13519.2 11857.9 14616 15643.4 14077.2 14887.5 14159.9 14643 17192.5 15386.1 14287.1 17526.6 14497 14398.3 16629.6 16670.7 16614.8 16869.2 15663.9 16359.9 18447.7 16889 16505 18320.9 15052.1 15699.8 18135.3 16768.7 18883 19021 18101.9 17776.1 21489.9 17065.3 18690 18953.1 16398.9 16895.7 18553 19270 19422.1 17579.4 18637.3 18076.7 20438.6 18075.2 19563 19899.2 19227.5 17789.6 19220.8 21968.9 21131.5 19484.6 22404.1 21099 22486.5 23707.5 21897.5 23326.4 23765.4 20444

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	2 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.477162	-4.0489	6.4e-05
2	0.058982	0.5005	0.309132
3	0.196159	1.6645	0.050183
4	-0.186687	-1.5841	0.058778
5	0.01484	0.1259	0.450073
6	0.080191	0.6804	0.249204
7	-0.233129	-1.9782	0.025869
8	0.141416	1.2	0.117045
9	0.05364	0.4552	0.325185
10	-0.145301	-1.2329	0.110809
11	0.114946	0.9753	0.166327
12	-0.229627	-1.9484	0.027629
13	-0.011752	-0.0997	0.460422
14	0.059045	0.501	0.308945
15	-0.008597	-0.073	0.471024
16	-0.140547	-1.1926	0.118475
17	0.119951	1.0178	0.156086
18	0.198735	1.6863	0.048031
19	-0.125392	-1.064	0.145445
20	-0.002213	-0.0188	0.492534
21	0.186221	1.5801	0.05923
22	-0.235585	-1.999	0.024692
23	0.265955	2.2567	0.013531
24	-0.134703	-1.143	0.128414
25	-0.092782	-0.7873	0.216851
26	0.212747	1.8052	0.037611
27	-0.137605	-1.1676	0.123406
28	0.012125	0.1029	0.459171
29	0.082148	0.697	0.24401
30	-0.20797	-1.7647	0.040929
31	0.056734	0.4814	0.315845
32	0.07984	0.6775	0.25014
33	-0.211532	-1.7949	0.038433
34	0.007928	0.0673	0.473277
35	0.126425	1.0727	0.143483
36	-0.091895	-0.7798	0.219045
37	0.127956	1.0857	0.140607
38	-0.050441	-0.428	0.334962
39	0.024048	0.2041	0.419444
40	0.024881	0.2111	0.416694
41	0.022538	0.1912	0.424437
42	-0.079942	-0.6783	0.249868
43	0.034026	0.2887	0.386812
44	0.083765	0.7108	0.239763
45	-0.096547	-0.8192	0.207679
46	0.172741	1.4658	0.073535
47	-0.112251	-0.9525	0.17202
48	-0.05585	-0.4739	0.318502
49	0.070884	0.6015	0.274707
50	-0.08265	-0.7013	0.242687
51	-0.068165	-0.5784	0.282399
52	0.050386	0.4275	0.33513
53	-0.007892	-0.067	0.473398
54	-0.000171	-0.0014	0.499425
55	0.066189	0.5616	0.288056
56	-0.070462	-0.5979	0.275894
57	0.020195	0.1714	0.432211
58	0.009483	0.0805	0.468045
59	-0.032817	-0.2785	0.390729
60	0.033631	0.2854	0.388092

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.477162	-4.0489	6.4e-05
2	-0.218436	-1.8535	0.033954
3	0.171621	1.4563	0.074835
4	0.012461	0.1057	0.458043
5	-0.096245	-0.8167	0.208406
6	-0.009527	-0.0808	0.467897
7	-0.20776	-1.7629	0.04108
8	-0.07085	-0.6012	0.274804
9	0.113804	0.9657	0.168724
10	0.016893	0.1433	0.443212
11	-0.020437	-0.1734	0.431406
12	-0.353017	-2.9954	0.001878
13	-0.367129	-3.1152	0.00132
14	-0.221028	-1.8755	0.032391
15	0.151276	1.2836	0.101695
16	-0.017767	-0.1508	0.440294
17	-0.245004	-2.0789	0.020594
18	0.134613	1.1422	0.128572
19	0.150027	1.273	0.103553
20	-0.121631	-1.0321	0.152747
21	0.154549	1.3114	0.096947
22	-0.009572	-0.0812	0.467747
23	0.156065	1.3243	0.094804
24	-0.115742	-0.9821	0.164669
25	-0.23182	-1.9671	0.026515
26	0.000748	0.0064	0.497475
27	0.011574	0.0982	0.46102
28	0.018417	0.1563	0.438126
29	-0.029211	-0.2479	0.402474
30	0.090964	0.7719	0.221364
31	0.043051	0.3653	0.35798
32	-0.171332	-1.4538	0.075173
33	-0.006008	-0.051	0.479742
34	-0.106187	-0.901	0.185289
35	0.110743	0.9397	0.17526
36	-0.091917	-0.7799	0.21899
37	0.007398	0.0628	0.475061
38	0.070962	0.6021	0.274488
39	-0.020276	-0.172	0.431942
40	-0.083396	-0.7076	0.240727
41	-0.107654	-0.9135	0.18202
42	0.042195	0.358	0.360681
43	0.059116	0.5016	0.308734
44	-0.082801	-0.7026	0.242288
45	-0.04961	-0.421	0.337521
46	0.014994	0.1272	0.449556
47	0.013874	0.1177	0.453306
48	-0.073771	-0.626	0.266659
49	-0.075397	-0.6398	0.262179
50	0.012365	0.1049	0.458365
51	0.058343	0.4951	0.311034
52	-0.063901	-0.5422	0.29467
53	-0.032723	-0.2777	0.391034
54	-0.022312	-0.1893	0.425186
55	0.004986	0.0423	0.483186
56	-0.076598	-0.65	0.258893
57	0.001423	0.0121	0.495201
58	-0.061386	-0.5209	0.302025
59	-0.009422	-0.0799	0.468251
60	-0.026665	-0.2263	0.41082

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229865878ustg0cjsd2w7ux1/19jyz1229865833.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229865878ustg0cjsd2w7ux1/19jyz1229865833.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229865878ustg0cjsd2w7ux1/2lryr1229865833.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229865878ustg0cjsd2w7ux1/2lryr1229865833.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -0.6 ; par3 = 1 ; par4 = 2 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -0.6 ; par3 = 1 ; par4 = 2 ; 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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