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autocorr nt duur cons 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 10:24:42 -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/t1229880355bsrkmip5scit1it.htm/, Retrieved Sun, 21 Dec 2008 18:25:56 +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/t1229880355bsrkmip5scit1it.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 «

95.9 95.3 100.4 97.3 82.3 97.0 93.5 90.9 107.8 110.9 98.1 106.5 93.4 95.7 109.0 97.6 92.7 107.5 91.7 95.7 111.4 106.0 104.8 108.7 97.3 97.1 106.1 98.6 98.5 105.5 86.2 98.3 111.3 105.0 105.7 103.5 96.9 98.1 111.7 94.7 104.2 109.7 91.3 102.6 114.2 115.8 113.5 107.1 104.5 101.9 116.0 102.0 108.1 112.9 104.5 109.1 113.4 123.9 117.7 108.3

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	0.099961	0.6925	0.245965
2	0.072201	0.5002	0.309601
3	0.461187	3.1952	0.001235
4	0.050486	0.3498	0.364019
5	0.122987	0.8521	0.199201
6	0.26683	1.8487	0.035336
7	-0.042277	-0.2929	0.385429
8	0.114057	0.7902	0.216646
9	0.215307	1.4917	0.071162
10	-0.11702	-0.8107	0.210759
11	-0.07406	-0.5131	0.305117
12	-0.01042	-0.0722	0.471375
13	-0.184174	-1.276	0.104049
14	0.028087	0.1946	0.423266
15	-0.204297	-1.4154	0.081701
16	-0.254918	-1.7661	0.041867
17	-0.023541	-0.1631	0.435563
18	-0.122307	-0.8474	0.200498
19	-0.317209	-2.1977	0.016414
20	-0.119493	-0.8279	0.205921
21	-0.080823	-0.56	0.289056
22	-0.187117	-1.2964	0.10052
23	0.008352	0.0579	0.477049
24	-0.068842	-0.4769	0.317781
25	-0.201406	-1.3954	0.084662
26	0.112768	0.7813	0.219237
27	-0.056761	-0.3933	0.347937
28	-0.098961	-0.6856	0.248124
29	0.102533	0.7104	0.240457
30	-0.022811	-0.158	0.437543
31	0.02114	0.1465	0.442085
32	0.070808	0.4906	0.312983
33	-0.13295	-0.9211	0.180801
34	-0.004186	-0.029	0.488493
35	0.097598	0.6762	0.251086
36	-0.114894	-0.796	0.214973
37	0.059377	0.4114	0.341313
38	0.142376	0.9864	0.16444
39	-0.087834	-0.6085	0.272853
40	0.046526	0.3223	0.374297
41	0.062412	0.4324	0.333693
42	-0.116822	-0.8094	0.21115
43	0.002558	0.0177	0.492966
44	0.021429	0.1485	0.441299
45	-0.045537	-0.3155	0.376878
46	-0.00163	-0.0113	0.495518
47	0.011309	0.0784	0.468936
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	0.099961	0.6925	0.245965
2	0.062837	0.4353	0.332631
3	0.45446	3.1486	0.00141
4	-0.033791	-0.2341	0.407947
5	0.101939	0.7063	0.241723
6	0.053041	0.3675	0.35744
7	-0.09813	-0.6799	0.249928
8	0.039638	0.2746	0.392392
9	0.082353	0.5706	0.285479
10	-0.119706	-0.8293	0.205507
11	-0.189866	-1.3154	0.097307
12	-0.157766	-1.093	0.139917
13	-0.113584	-0.7869	0.217594
14	0.137947	0.9557	0.172
15	-0.212984	-1.4756	0.073292
16	-0.080893	-0.5604	0.288892
17	-0.059446	-0.4119	0.341139
18	0.099334	0.6882	0.247318
19	-0.158207	-1.0961	0.139254
20	-0.027924	-0.1935	0.423706
21	0.080297	0.5563	0.290291
22	0.019958	0.1383	0.445301
23	0.099311	0.688	0.247367
24	0.041391	0.2868	0.387762
25	-0.067836	-0.47	0.320249
26	0.05318	0.3684	0.357082
27	-0.074169	-0.5139	0.304855
28	0.024544	0.17	0.432843
29	0.032099	0.2224	0.412478
30	-0.102754	-0.7119	0.239986
31	-0.026775	-0.1855	0.426808
32	-0.145081	-1.0051	0.159933
33	-0.117685	-0.8153	0.209451
34	-0.093601	-0.6485	0.259879
35	-0.045607	-0.316	0.376695
36	-0.053802	-0.3727	0.355488
37	0.091686	0.6352	0.264151
38	0.11913	0.8254	0.206626
39	0.053555	0.371	0.35612
40	-0.053221	-0.3687	0.356978
41	0.08166	0.5658	0.287098
42	0.01111	0.077	0.469482
43	-0.035402	-0.2453	0.403644
44	-0.077784	-0.5389	0.296221
45	0.011542	0.08	0.468298
46	-0.06329	-0.4385	0.3315
47	-0.080895	-0.5605	0.288888
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/t1229880355bsrkmip5scit1it/1tb761229880281.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229880355bsrkmip5scit1it/1tb761229880281.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229880355bsrkmip5scit1it/2o7zr1229880281.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229880355bsrkmip5scit1it/2o7zr1229880281.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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