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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 11:58:59 -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/t1230058781y1hc0y4078hhohl.htm/, Retrieved Tue, 23 Dec 2008 19:59:41 +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/t1230058781y1hc0y4078hhohl.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 «

104.3 103.9 103.9 103.9 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.2 112.3 111.3 111.3 115.3 117.2 118.3 118.3 118.3 119.0 120.6 122.6 122.6 127.4 125.9 121.5 118.8 121.6 122.3 122.7 120.8 120.1 120.1 120.1 120.1 128.4 129.8 129.8 128.6 128.6 133.7 130.0 125.9 129.4 129.4 130.6 130.6 130.6 130.8 129.7 125.8 126.0 125.6 125.4 124.7 126.9 129.1

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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.033423	0.2856	0.388011
2	-0.230803	-1.972	0.0262
3	-0.031304	-0.2675	0.394935
4	0.045181	0.386	0.350299
5	0.057913	0.4948	0.311111
6	-0.14447	-1.2343	0.110516
7	-0.122781	-1.049	0.14881
8	0.271108	2.3163	0.011675
9	-0.035663	-0.3047	0.380728
10	-0.268508	-2.2941	0.012331
11	-0.141061	-1.2052	0.116005
12	0.242803	2.0745	0.020779
13	0.065727	0.5616	0.288065
14	-0.224695	-1.9198	0.029396
15	-0.239264	-2.0443	0.022267
16	0.145486	1.243	0.108917
17	0.079574	0.6799	0.249365
18	-0.124432	-1.0632	0.145609
19	-0.083701	-0.7151	0.238401
20	0.155943	1.3324	0.09344
21	0.105519	0.9016	0.185128
22	-0.014332	-0.1225	0.451439
23	-0.075568	-0.6457	0.260265
24	0.219602	1.8763	0.032307
25	0.05488	0.4689	0.320271
26	0.000593	0.0051	0.497987
27	-0.113835	-0.9726	0.16698
28	-0.011726	-0.1002	0.460236
29	0.103603	0.8852	0.189481
30	-0.130209	-1.1125	0.134785
31	-0.146602	-1.2526	0.10718
32	0.055148	0.4712	0.319457
33	0.02391	0.2043	0.419348
34	0.018376	0.157	0.437838
35	-0.033664	-0.2876	0.387226
36	0.01229	0.105	0.458328
37	-0.025669	-0.2193	0.413507
38	-0.084277	-0.7201	0.236892
39	-0.111573	-0.9533	0.171797
40	0.051344	0.4387	0.331094
41	0.05009	0.428	0.334967
42	0.029772	0.2544	0.399962
43	-0.057035	-0.4873	0.313751
44	0.006771	0.0578	0.477014
45	0.02604	0.2225	0.412277
46	0.002835	0.0242	0.49037
47	-0.002762	-0.0236	0.490618
48	0.113136	0.9666	0.168458

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.033423	0.2856	0.388011
2	-0.23218	-1.9837	0.025523
3	-0.014855	-0.1269	0.449675
4	-0.006973	-0.0596	0.476329
5	0.048454	0.414	0.340048
6	-0.148444	-1.2683	0.10436
7	-0.093792	-0.8014	0.212762
8	0.235515	2.0122	0.023942
9	-0.127355	-1.0881	0.14006
10	-0.186175	-1.5907	0.058002
11	-0.145697	-1.2448	0.108586
12	0.204843	1.7502	0.042145
13	-0.087068	-0.7439	0.229659
14	-0.164064	-1.4018	0.082611
15	-0.208404	-1.7806	0.039569
16	0.04145	0.3541	0.362124
17	-0.07954	-0.6796	0.249456
18	-0.072213	-0.617	0.269582
19	-0.026681	-0.228	0.410156
20	-0.027611	-0.2359	0.407083
21	-0.036796	-0.3144	0.377062
22	0.093225	0.7965	0.214157
23	0.083302	0.7117	0.23945
24	0.0779	0.6656	0.253891
25	-0.139278	-1.19	0.118953
26	0.181525	1.5509	0.06262
27	0.008021	0.0685	0.472776
28	-0.101091	-0.8637	0.195284
29	-0.041166	-0.3517	0.36303
30	-0.114422	-0.9776	0.165745
31	-0.041613	-0.3555	0.361605
32	-0.117035	-0.9999	0.16032
33	0.03975	0.3396	0.367556
34	-0.018898	-0.1615	0.436088
35	0.058763	0.5021	0.308563
36	-0.009255	-0.0791	0.468595
37	-0.023336	-0.1994	0.421259
38	-0.073475	-0.6278	0.266055
39	-0.078408	-0.6699	0.252513
40	0.021794	0.1862	0.4264
41	-0.048956	-0.4183	0.338485
42	-0.00401	-0.0343	0.48638
43	-0.129033	-1.1025	0.136943
44	-0.029888	-0.2554	0.39958
45	-0.090516	-0.7734	0.2209
46	-0.096318	-0.8229	0.20661
47	-0.040896	-0.3494	0.363892
48	0.012307	0.1051	0.458273

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230058781y1hc0y4078hhohl/130sd1230058734.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230058781y1hc0y4078hhohl/130sd1230058734.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230058781y1hc0y4078hhohl/2xgml1230058734.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230058781y1hc0y4078hhohl/2xgml1230058734.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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