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autocorr inv D

*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 09:54:57 -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/t1229878924k3aonm3c6a98gqc.htm/, Retrieved Sun, 21 Dec 2008 18:02:05 +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/t1229878924k3aonm3c6a98gqc.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	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.147728	-1.0235	0.155603
2	-0.046091	-0.3193	0.375433
3	0.233915	1.6206	0.055826
4	-0.207868	-1.4402	0.078157
5	-0.070696	-0.4898	0.313256
6	0.159194	1.1029	0.137779
7	-0.079212	-0.5488	0.292843
8	0.054169	0.3753	0.354547
9	-0.093284	-0.6463	0.260586
10	-0.050927	-0.3528	0.362878
11	0.061836	0.4284	0.335134
12	-0.296725	-2.0558	0.022633
13	-0.091649	-0.635	0.264234
14	0.011184	0.0775	0.469279
15	-0.09141	-0.6333	0.264769
16	-0.08642	-0.5987	0.276082
17	0.223969	1.5517	0.063651
18	-0.112673	-0.7806	0.219429
19	-0.141141	-0.9779	0.166525
20	0.063793	0.442	0.330248
21	0.137121	0.95	0.173434
22	-0.174444	-1.2086	0.116371
23	0.218387	1.513	0.068415
24	0.036808	0.255	0.399902
25	-0.042092	-0.2916	0.385916
26	0.139636	0.9674	0.169089
27	0.026105	0.1809	0.428619
28	0.054956	0.3807	0.352537
29	0.05694	0.3945	0.347482
30	-0.079752	-0.5525	0.291572
31	0.089558	0.6205	0.268941
32	0.00582	0.0403	0.484
33	-0.168081	-1.1645	0.124989
34	0.14454	1.0014	0.160826
35	-0.101367	-0.7023	0.242945
36	-0.106052	-0.7347	0.233034
37	0.058717	0.4068	0.342981
38	-0.04753	-0.3293	0.371681
39	-0.052097	-0.3609	0.359864
40	0.093067	0.6448	0.261067
41	-0.062716	-0.4345	0.332932
42	-0.025438	-0.1762	0.430424
43	0.02309	0.16	0.436787
44	-0.031779	-0.2202	0.413336
45	0.011047	0.0765	0.469656
46	0.004254	0.0295	0.488305
47	-0.000934	-0.0065	0.497433
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	-0.147728	-1.0235	0.155603
2	-0.069429	-0.481	0.316344
3	0.222276	1.54	0.065067
4	-0.154823	-1.0726	0.144396
5	-0.108006	-0.7483	0.228969
6	0.086445	0.5989	0.276026
7	0.025963	0.1799	0.429003
8	0.060304	0.4178	0.338978
9	-0.183297	-1.2699	0.105118
10	-0.038546	-0.2671	0.395284
11	0.055214	0.3825	0.351876
12	-0.274053	-1.8987	0.031813
13	-0.218738	-1.5155	0.068107
14	-0.124549	-0.8629	0.196242
15	0.057749	0.4001	0.345431
16	-0.185269	-1.2836	0.102725
17	0.092655	0.6419	0.261986
18	-0.053903	-0.3734	0.355229
19	-0.154097	-1.0676	0.145517
20	-0.096239	-0.6668	0.254058
21	0.178821	1.2389	0.110701
22	-0.149164	-1.0334	0.153288
23	0.064094	0.4441	0.329498
24	-0.096042	-0.6654	0.254491
25	0.011704	0.0811	0.467853
26	0.034982	0.2424	0.404765
27	0.007418	0.0514	0.479613
28	0.010383	0.0719	0.471475
29	0.078723	0.5454	0.293999
30	-0.008916	-0.0618	0.475499
31	-0.023757	-0.1646	0.434977
32	-0.043206	-0.2993	0.382987
33	-0.003612	-0.025	0.490068
34	-0.037465	-0.2596	0.398154
35	0.001091	0.0076	0.496999
36	-0.008371	-0.058	0.476995
37	-0.004335	-0.03	0.488083
38	-0.077373	-0.5361	0.297198
39	0.137504	0.9527	0.172768
40	0.092665	0.642	0.261964
41	0.052813	0.3659	0.358023
42	-0.080327	-0.5565	0.290219
43	0.099292	0.6879	0.24741
44	-0.036787	-0.2549	0.399957
45	0.022179	0.1537	0.439261
46	-0.090027	-0.6237	0.267879
47	0.042486	0.2944	0.384878
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/21/t1229878924k3aonm3c6a98gqc/1napv1229878495.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229878924k3aonm3c6a98gqc/1napv1229878495.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229878924k3aonm3c6a98gqc/2w72n1229878495.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229878924k3aonm3c6a98gqc/2w72n1229878495.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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