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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 07:50:15 -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/t1230130279xds78vojwmfqquf.htm/, Retrieved Wed, 24 Dec 2008 15:51:19 +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/t1230130279xds78vojwmfqquf.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	2 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.587588	-4.9511	2e-06
2	0.106875	0.9005	0.185438
3	0.090339	0.7612	0.224527
4	-0.095532	-0.805	0.211764
5	0.066269	0.5584	0.289167
6	-0.021553	-0.1816	0.428204
7	0.019893	0.1676	0.433679
8	-0.156882	-1.3219	0.095221
9	0.295742	2.492	0.00752
10	-0.249621	-2.1033	0.01949
11	0.132653	1.1178	0.133721
12	-0.145923	-1.2296	0.111459
13	0.045884	0.3866	0.350094
14	0.057495	0.4845	0.314774
15	-0.061342	-0.5169	0.303423
16	0.07578	0.6385	0.262592
17	-0.186221	-1.5691	0.060533
18	0.33624	2.8332	0.002997
19	-0.27502	-2.3174	0.011686
20	0.074141	0.6247	0.267077
21	0.050931	0.4292	0.334555
22	-0.117591	-0.9908	0.162564
23	0.236879	1.996	0.024886
24	-0.212739	-1.7926	0.038651
25	0.053328	0.4494	0.327273
26	0.028748	0.2422	0.404649
27	0.038251	0.3223	0.374082
28	-0.195902	-1.6507	0.051608
29	0.276998	2.334	0.011215
30	-0.242967	-2.0473	0.022166
31	0.083786	0.706	0.24125
32	0.10499	0.8847	0.189662
33	-0.168522	-1.42	0.079993
34	0.084197	0.7095	0.240183
35	-0.092608	-0.7803	0.218897
36	0.081147	0.6838	0.248176

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.587588	-4.9511	2e-06
2	-0.364091	-3.0679	0.001525
3	-0.066792	-0.5628	0.287673
4	-0.027482	-0.2316	0.408771
5	0.034302	0.289	0.386698
6	0.034284	0.2889	0.386757
7	0.062864	0.5297	0.298985
8	-0.219509	-1.8496	0.034265
9	0.120883	1.0186	0.155931
10	0.016167	0.1362	0.446015
11	0.083515	0.7037	0.241957
12	-0.207518	-1.7486	0.042343
13	-0.20098	-1.6935	0.047373
14	-0.094197	-0.7937	0.215003
15	0.02374	0.2	0.421013
16	0.122997	1.0364	0.151769
17	-0.106424	-0.8967	0.186444
18	0.185308	1.5614	0.061434
19	0.065629	0.553	0.290999
20	-0.080838	-0.6812	0.248996
21	0.015495	0.1306	0.448245
22	-0.076716	-0.6464	0.260046
23	0.229307	1.9322	0.028664
24	-0.008733	-0.0736	0.470774
25	-0.150704	-1.2699	0.104141
26	0.012999	0.1095	0.456546
27	0.027657	0.233	0.408198
28	-0.168619	-1.4208	0.079875
29	0.112065	0.9443	0.174115
30	0.031271	0.2635	0.396465
31	0.046631	0.3929	0.347779
32	-0.105359	-0.8878	0.188831
33	-0.002192	-0.0185	0.492658
34	-0.016389	-0.1381	0.445276
35	-0.079383	-0.6689	0.252868
36	-0.218089	-1.8377	0.035149

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230130279xds78vojwmfqquf/1up4g1230130209.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230130279xds78vojwmfqquf/1up4g1230130209.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230130279xds78vojwmfqquf/2xka41230130209.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230130279xds78vojwmfqquf/2xka41230130209.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; 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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