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Paper

*Unverified author*

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 11:18:02 -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/t122988354447zlhmre22worlk.htm/, Retrieved Sun, 21 Dec 2008 19:19:04 +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/t122988354447zlhmre22worlk.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 «

547344 554788 562325 560854 555332 543599 536662 542722 593530 610763 612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799 574205 572775 572942 619567 625809 619916 587625 565742 557274 560576 548854 531673 525919 511038 498662 555362 564591 541657 527070 509846 514258 516922 507561 492622 490243 469357 477580 528379 533590 517945 506174 501866

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	-0.042594	-0.2951	0.384595
2	0.100514	0.6964	0.244774
3	0.155241	1.0755	0.143755
4	0.095861	0.6641	0.254887
5	0.035208	0.2439	0.404162
6	0.0464	0.3215	0.374625
7	0.018985	0.1315	0.447953
8	0.110955	0.7687	0.222913
9	-0.020955	-0.1452	0.442587
10	-0.073577	-0.5098	0.306279
11	0.276622	1.9165	0.030633
12	-0.164287	-1.1382	0.13034
13	-0.094157	-0.6523	0.258647
14	0.039178	0.2714	0.39361
15	-0.064925	-0.4498	0.327436
16	-0.110467	-0.7653	0.223909
17	-0.062267	-0.4314	0.334056
18	-0.060757	-0.4209	0.33784
19	0.030322	0.2101	0.417249
20	-0.018277	-0.1266	0.449882
21	-0.014793	-0.1025	0.459398
22	0.077362	0.536	0.297225
23	0.003596	0.0249	0.490114
24	-0.130896	-0.9069	0.184501
25	-0.047676	-0.3303	0.371301
26	-0.077635	-0.5379	0.296576
27	-0.035591	-0.2466	0.403142
28	-0.041352	-0.2865	0.387867
29	0.099995	0.6928	0.245892
30	-0.031274	-0.2167	0.41469
31	0.028546	0.1978	0.422029
32	-0.057123	-0.3958	0.347019
33	-0.0027	-0.0187	0.492577
34	-0.073469	-0.509	0.306539
35	-0.045808	-0.3174	0.376171
36	-0.055068	-0.3815	0.352251
37	-0.075577	-0.5236	0.301478
38	-0.01889	-0.1309	0.44821
39	-0.057301	-0.397	0.346566
40	0.024897	0.1725	0.431888
41	-0.078861	-0.5464	0.293673
42	-0.00165	-0.0114	0.495463
43	0.029599	0.2051	0.419193
44	-0.015718	-0.1089	0.456868
45	-0.022137	-0.1534	0.439375
46	-0.055176	-0.3823	0.351975
47	-0.022323	-0.1547	0.43887
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	-0.042594	-0.2951	0.384595
2	0.098879	0.6851	0.248302
3	0.165223	1.1447	0.129006
4	0.10486	0.7265	0.235532
5	0.015539	0.1077	0.457359
6	0.00412	0.0285	0.488674
7	-0.015561	-0.1078	0.457297
8	0.092697	0.6422	0.261893
9	-0.021674	-0.1502	0.440632
10	-0.108174	-0.7495	0.228621
11	0.251361	1.7415	0.044003
12	-0.147589	-1.0225	0.155829
13	-0.150022	-1.0394	0.151917
14	0.001797	0.0124	0.49506
15	-0.049671	-0.3441	0.366127
16	-0.084966	-0.5887	0.279425
17	-0.047076	-0.3261	0.372865
18	-0.011388	-0.0789	0.468722
19	0.034924	0.242	0.404922
20	0.074421	0.5156	0.304248
21	0.069523	0.4817	0.316114
22	-0.020679	-0.1433	0.44334
23	0.088439	0.6127	0.271476
24	-0.106672	-0.739	0.23174
25	-0.162382	-1.125	0.133088
26	-0.079302	-0.5494	0.292632
27	0.021043	0.1458	0.442349
28	-0.012111	-0.0839	0.466741
29	0.160384	1.1112	0.136014
30	-0.023498	-0.1628	0.435681
31	-0.004688	-0.0325	0.487113
32	-0.062581	-0.4336	0.333271
33	-0.050176	-0.3476	0.36482
34	-0.13525	-0.937	0.176715
35	0.041809	0.2897	0.386662
36	0.012693	0.0879	0.465145
37	-0.090814	-0.6292	0.266108
38	0.018773	0.1301	0.448529
39	0.000824	0.0057	0.497733
40	-0.058102	-0.4025	0.344536
41	-0.041626	-0.2884	0.387142
42	-0.03374	-0.2338	0.408083
43	0.050083	0.347	0.36506
44	0.030623	0.2122	0.416439
45	0.077834	0.5393	0.296103
46	-0.09003	-0.6237	0.267873
47	0.009249	0.0641	0.474588
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/t122988354447zlhmre22worlk/1v1sj1229883474.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t122988354447zlhmre22worlk/1v1sj1229883474.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t122988354447zlhmre22worlk/2bjcr1229883474.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t122988354447zlhmre22worlk/2bjcr1229883474.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; 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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