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Paper Autocorrelation F T1

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 24 Dec 2008 07:44:07 -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/24/t1230129895i29n8jjiiz6blnz.htm/, Retrieved Wed, 24 Dec 2008 15:44:57 +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/24/t1230129895i29n8jjiiz6blnz.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 «

105.7 109.5 105.3 102.8 100.6 97.6 110.3 107.2 107.2 108.1 97.1 92.2 112.2 111.6 115.7 111.3 104.2 103.2 112.7 106.4 102.6 110.6 95.2 89 112.5 116.8 107.2 113.6 101.8 102.6 122.7 110.3 110.5 121.6 100.3 100.7 123.4 127.1 124.1 131.2 111.6 114.2 130.1 125.9 119 133.8 107.5 113.5 134.4 126.8 135.6 139.9 129.8 131 153.1 134.1 144.1 155.9 123.3 128.1 144.3 153 149.9 150.9 141 138.9 157.4 142.9 151.7 161 138.5 135.9 151.5 164 159.1 157 142.1 144.8 152.1 154.6 148.7 157.7 146.4 136.5

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	0.824167	7.5536	0
2	0.739401	6.7767	0
3	0.777512	7.126	0
4	0.696738	6.3857	0
5	0.722867	6.6252	0
6	0.800566	7.3373	0
7	0.677792	6.2121	0
8	0.61028	5.5933	0
9	0.636138	5.8303	0
10	0.526168	4.8224	3e-06
11	0.559548	5.1283	1e-06
12	0.655541	6.0081	0
13	0.51479	4.7181	5e-06
14	0.431753	3.9571	7.9e-05
15	0.452693	4.149	4e-05
16	0.367928	3.3721	0.000565
17	0.383469	3.5145	0.000356
18	0.443255	4.0625	5.4e-05
19	0.321509	2.9467	0.002078
20	0.258786	2.3718	0.009994
21	0.257819	2.363	0.01022
22	0.1581	1.449	0.075529
23	0.180161	1.6512	0.051216
24	0.235986	2.1628	0.016698
25	0.121619	1.1147	0.134088
26	0.058925	0.5401	0.295294
27	0.050221	0.4603	0.32325
28	-0.035021	-0.321	0.374514
29	-0.021895	-0.2007	0.42072
30	0.002766	0.0253	0.489919
31	-0.078889	-0.723	0.235835
32	-0.129203	-1.1842	0.119845
33	-0.147783	-1.3545	0.089612
34	-0.213981	-1.9612	0.026586
35	-0.18905	-1.7327	0.043412
36	-0.140198	-1.2849	0.101173

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.824167	7.5536	0
2	0.187526	1.7187	0.044676
3	0.413115	3.7863	0.000143
4	-0.149056	-1.3661	0.087774
5	0.395	3.6202	0.000251
6	0.231799	2.1245	0.018285
7	-0.293977	-2.6943	0.004258
8	-0.113755	-1.0426	0.150067
9	0.012025	0.1102	0.456254
10	-0.260266	-2.3854	0.009656
11	0.275653	2.5264	0.0067
12	0.165037	1.5126	0.067069
13	-0.304274	-2.7887	0.003272
14	-0.177983	-1.6312	0.053292
15	0.059601	0.5463	0.293169
16	0.043458	0.3983	0.34571
17	-0.009935	-0.0911	0.463834
18	-0.07294	-0.6685	0.252822
19	-0.034919	-0.32	0.374866
20	-0.069109	-0.6334	0.264098
21	-0.104835	-0.9608	0.169697
22	0.039925	0.3659	0.357672
23	0.033823	0.31	0.378668
24	-0.13921	-1.2759	0.102757
25	0.008096	0.0742	0.470512
26	0.024295	0.2227	0.412167
27	-0.105725	-0.969	0.167667
28	-0.046544	-0.4266	0.335386
29	-0.010112	-0.0927	0.463188
30	-0.1356	-1.2428	0.1087
31	0.144069	1.3204	0.095142
32	-0.116853	-1.071	0.143623
33	0.009428	0.0864	0.465672
34	0.061033	0.5594	0.288697
35	-0.00553	-0.0507	0.479851
36	0.111512	1.022	0.154851

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230129895i29n8jjiiz6blnz/1wgrk1230129845.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230129895i29n8jjiiz6blnz/1wgrk1230129845.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230129895i29n8jjiiz6blnz/2ha7b1230129845.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230129895i29n8jjiiz6blnz/2ha7b1230129845.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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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