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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 14:31:41 -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/21/t12298951227tv4rfj988132m6.htm/, Retrieved Sun, 21 Dec 2008 22:32:04 +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/t12298951227tv4rfj988132m6.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 «

451 450 444 429 421 400 389 384 432 446 431 423 416 416 413 399 386 374 365 365 418 428 424 421 417 423 423 419 406 398 390 391 444 460 455 456 452 459 461 451 443 439 430 436 488 506 502 501 501 515 521 520 512 509 505 511 570 592 594 586 586 592 594 586 572 563 555 554 601 622 617 606 595 599 600 592 575 567 555 555 608 631 629 624 610 616 621 604 584 574 555 545 599 620 608 590 579 580 579 572 560 551 537 541 588 607 599 578 563 566 561 554 540 526 512 505 554 584 569 540 522 526 527 516 503 489 479 475 524 552 532 511 492 492 493 481 462 457 442 439 488 521 501 485 464 460 467 460 448 443 436 431 484 510 513 503 471 471 476 475 470 461 455 456 517 525 523 519 509 512 519 517 510 509 501 507 569 580 578 565 547 555 562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502

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	0.056349	0.8509	0.197872
2	0.062084	0.9374	0.174761
3	0.135888	2.0519	0.020662
4	0.136299	2.0581	0.02036
5	0.116205	1.7547	0.040331
6	0.10548	1.5927	0.056305
7	0.051156	0.7724	0.220328
8	0.070965	1.0715	0.142529
9	0.066116	0.9983	0.15959
10	-0.036042	-0.5442	0.293412
11	0.030479	0.4602	0.322898
12	-0.248843	-3.7575	0.000109
13	0.015713	0.2373	0.406332
14	0.116298	1.7561	0.040211
15	-0.008138	-0.1229	0.451155
16	-0.060093	-0.9074	0.182579
17	-0.00447	-0.0675	0.473124
18	0.018668	0.2819	0.389146
19	0.000786	0.0119	0.495271
20	0.058555	0.8842	0.188772
21	0.063783	0.9631	0.168258
22	0.046568	0.7032	0.241338
23	0.18312	2.765	0.003079
24	-0.039292	-0.5933	0.276786
25	-0.040916	-0.6178	0.268658
26	-0.025679	-0.3877	0.349286
27	0.062254	0.94	0.174103
28	0.024021	0.3627	0.358579
29	0.11407	1.7224	0.043175
30	-0.070288	-1.0613	0.144832
31	-0.031372	-0.4737	0.318079
32	0.02676	0.4041	0.343269
33	-0.095424	-1.4409	0.075497
34	-0.07173	-1.0831	0.139954
35	-0.098597	-1.4888	0.068963
36	-0.040137	-0.6061	0.272539
37	0.014258	0.2153	0.414864
38	0.025456	0.3844	0.350528
39	-0.223899	-3.3808	0.000425
40	-0.092116	-1.3909	0.082802
41	-0.035896	-0.542	0.29417
42	-0.04553	-0.6875	0.246235
43	0.040349	0.6093	0.271479
44	-0.119875	-1.8101	0.035801
45	-0.07148	-1.0793	0.140792
46	-0.01302	-0.1966	0.422157
47	-0.065983	-0.9963	0.160076
48	-0.066071	-0.9977	0.159753
49	-0.077902	-1.1763	0.120351
50	-0.022353	-0.3375	0.368015
51	0.051734	0.7812	0.217757
52	0.017972	0.2714	0.393174
53	-0.186585	-2.8174	0.002633
54	-0.015528	-0.2345	0.407418
55	-0.073374	-1.1079	0.134532
56	-0.032444	-0.4899	0.312341
57	-0.023219	-0.3506	0.363107
58	-0.022142	-0.3343	0.369219
59	-0.04598	-0.6943	0.244104
60	-0.035677	-0.5387	0.295308

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.056349	0.8509	0.197872
2	0.059096	0.8923	0.186578
3	0.130133	1.965	0.025316
4	0.122441	1.8488	0.032889
5	0.094959	1.4339	0.076492
6	0.073087	1.1036	0.135468
7	0.006368	0.0961	0.461744
8	0.022679	0.3425	0.366163
9	0.016494	0.249	0.401773
10	-0.083131	-1.2552	0.105337
11	-0.005995	-0.0905	0.463973
12	-0.296946	-4.4838	6e-06
13	0.011577	0.1748	0.430695
14	0.137345	2.0739	0.019607
15	0.057418	0.867	0.193429
16	0.003542	0.0535	0.478698
17	0.020144	0.3042	0.38064
18	0.047277	0.7139	0.238018
19	0.004264	0.0644	0.474362
20	0.071523	1.08	0.140646
21	0.0863	1.3031	0.096928
22	-0.018553	-0.2801	0.38981
23	0.175199	2.6454	0.004363
24	-0.176708	-2.6682	0.004086
25	-0.102121	-1.542	0.062231
26	-0.047713	-0.7205	0.235992
27	0.026555	0.401	0.344406
28	-0.025413	-0.3837	0.350767
29	0.12848	1.94	0.026806
30	-0.045156	-0.6818	0.248016
31	-0.045092	-0.6809	0.248321
32	0.048066	0.7258	0.23436
33	-0.034892	-0.5269	0.2994
34	-0.108212	-1.634	0.051822
35	-0.008122	-0.1226	0.451247
36	-0.107013	-1.6159	0.053754
37	-0.023169	-0.3499	0.363387
38	0.094245	1.4231	0.078041
39	-0.130399	-1.969	0.025083
40	-0.097628	-1.4742	0.070909
41	0.070305	1.0616	0.144776
42	-0.035457	-0.5354	0.296451
43	0.052588	0.7941	0.213993
44	-0.039799	-0.601	0.274233
45	-0.047389	-0.7156	0.237497
46	-0.082179	-1.2409	0.107964
47	0.018185	0.2746	0.391938
48	-0.027039	-0.4083	0.341725
49	-0.10109	-1.5264	0.064144
50	0.063359	0.9567	0.169865
51	0.00718	0.1084	0.45688
52	-0.049791	-0.7518	0.226463
53	-0.037474	-0.5658	0.286027
54	0.033927	0.5123	0.304472
55	-0.059759	-0.9023	0.183915
56	0.008917	0.1346	0.446507
57	0.02331	0.352	0.362589
58	-0.040365	-0.6095	0.271403
59	-0.003445	-0.052	0.47928
60	0.004726	0.0714	0.471587

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t12298951227tv4rfj988132m6/1hj8e1229895099.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t12298951227tv4rfj988132m6/1hj8e1229895099.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t12298951227tv4rfj988132m6/2dnx21229895099.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t12298951227tv4rfj988132m6/2dnx21229895099.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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