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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: Tue, 23 Dec 2008 10:09:26 -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/23/t1230052202kxykyryf01mcowj.htm/, Retrieved Tue, 23 Dec 2008 18:10:04 +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/23/t1230052202kxykyryf01mcowj.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 «

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

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	0 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.029637	0.2315	0.408861
2	0.005394	0.0421	0.483267
3	0.084089	0.6568	0.256905
4	-0.059611	-0.4656	0.321588
5	-0.00144	-0.0112	0.49553
6	0.079874	0.6238	0.267532
7	0.067728	0.529	0.299371
8	0.049845	0.3893	0.349204
9	0.193289	1.5096	0.06815
10	-0.139958	-1.0931	0.139323
11	-0.052167	-0.4074	0.342558
12	-0.230623	-1.8012	0.038306
13	-0.007605	-0.0594	0.476415
14	0.201684	1.5752	0.060191
15	0.040457	0.316	0.376547
16	0.040298	0.3147	0.377019
17	-0.111177	-0.8683	0.194312
18	0.116595	0.9106	0.183036
19	0.034903	0.2726	0.393042
20	0.004828	0.0377	0.48502
21	0.050167	0.3918	0.34828
22	0.072998	0.5701	0.28534
23	0.193505	1.5113	0.067935
24	-0.102464	-0.8003	0.213329
25	-0.101826	-0.7953	0.214765
26	-0.207259	-1.6187	0.055331
27	0.066388	0.5185	0.30299
28	-0.020137	-0.1573	0.437775
29	0.101853	0.7955	0.214705
30	-0.086801	-0.6779	0.250187
31	-0.102736	-0.8024	0.21272
32	0.039219	0.3063	0.380205
33	-0.13177	-1.0292	0.153734
34	-0.025066	-0.1958	0.42272
35	-0.038425	-0.3001	0.382556
36	0.0207	0.1617	0.436049
37	0.066435	0.5189	0.302863
38	0.085546	0.6681	0.253284
39	-0.143373	-1.1198	0.133599
40	-0.041995	-0.328	0.372019
41	0.07711	0.6023	0.27462
42	-0.059284	-0.463	0.322497
43	0.076443	0.597	0.276345
44	-0.062831	-0.4907	0.312692
45	-0.090364	-0.7058	0.241511
46	-0.035571	-0.2778	0.391045
47	-0.154987	-1.2105	0.115381
48	-0.10936	-0.8541	0.198189

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.029637	0.2315	0.408861
2	0.00452	0.0353	0.485978
3	0.083871	0.6551	0.257448
4	-0.065073	-0.5082	0.306562
5	0.001927	0.0151	0.49402
6	0.074024	0.5781	0.282647
7	0.074315	0.5804	0.281886
8	0.041671	0.3255	0.372974
9	0.181482	1.4174	0.080724
10	-0.159908	-1.2489	0.108233
11	-0.043446	-0.3393	0.367765
12	-0.279891	-2.186	0.016331
13	0.054515	0.4258	0.335884
14	0.201518	1.5739	0.060341
15	0.061216	0.4781	0.317139
16	0.000701	0.0055	0.497824
17	-0.182622	-1.4263	0.079436
18	0.170838	1.3343	0.093535
19	0.159916	1.249	0.108222
20	0.04078	0.3185	0.375596
21	0.051359	0.4011	0.344865
22	-0.096071	-0.7503	0.227968
23	0.148796	1.1621	0.124854
24	-0.191751	-1.4976	0.069694
25	-0.103396	-0.8075	0.211244
26	-0.140936	-1.1007	0.137667
27	0.060277	0.4708	0.319738
28	-0.025843	-0.2018	0.420358
29	0.051884	0.4052	0.343363
30	-0.113332	-0.8852	0.189776
31	0.037209	0.2906	0.386168
32	-0.013625	-0.1064	0.457802
33	0.037073	0.2895	0.386571
34	-0.013155	-0.1027	0.459251
35	0.088482	0.6911	0.246072
36	-0.164965	-1.2884	0.101233
37	-0.051048	-0.3987	0.345754
38	-0.009336	-0.0729	0.471056
39	0.022941	0.1792	0.429197
40	0.058998	0.4608	0.323296
41	-0.007482	-0.0584	0.476795
42	-0.114182	-0.8918	0.188004
43	0.052452	0.4097	0.341744
44	-0.015467	-0.1208	0.452123
45	-0.019098	-0.1492	0.44096
46	-0.116093	-0.9067	0.184063
47	-0.135894	-1.0614	0.146355
48	-0.059515	-0.4648	0.321855

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230052202kxykyryf01mcowj/1h8dj1230052164.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230052202kxykyryf01mcowj/1h8dj1230052164.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230052202kxykyryf01mcowj/2zceu1230052164.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230052202kxykyryf01mcowj/2zceu1230052164.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; 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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