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svd

*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, 20 Dec 2009 14:15:30 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/20/t1261343770t8c1tybh45oz1cs.htm/, Retrieved Sun, 20 Dec 2009 22:16:13 +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/2009/Dec/20/t1261343770t8c1tybh45oz1cs.htm/},
    year = {2009},
}
@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 = {2009},
    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 «

101.0 98.7 105.1 98.4 101.7 102.9 92.2 94.9 92.8 98.5 94.3 87.4 103.4 101.2 109.6 111.9 108.9 105.6 107.8 97.5 102.4 105.6 99.8 96.2 113.1 107.4 116.8 112.9 105.3 109.3 107.9 101.1 114.7 116.2 108.4 113.4 108.7 112.6 124.2 114.9 110.5 121.5 118.1 111.7 132.7 119.0 116.7 120.1 113.4 106.6 116.3 112.6 111.6 125.1 110.7 109.6 114.2 113.4 116.0 109.6 117.8 115.8 125.3 113.0 120.5 116.6 111.8 115.2 118.6 122.4 116.4 114.5 119.8 115.8 127.8 118.8 119.7 118.6 120.8 115.9 109.7 114.8 116.2 112.2

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.473847	-4.317	2.2e-05
2	-0.088583	-0.807	0.210978
3	0.280608	2.5565	0.006198
4	-0.223456	-2.0358	0.022481
5	-0.086249	-0.7858	0.21712
6	0.254984	2.323	0.011313
7	-0.205669	-1.8737	0.032243
8	-0.087378	-0.796	0.214138
9	0.326584	2.9753	0.001916
10	-0.282602	-2.5746	0.005905
11	-0.057832	-0.5269	0.299843
12	0.426436	3.885	0.000102
13	-0.367363	-3.3468	0.000615
14	0.128176	1.1677	0.123129
15	0.026827	0.2444	0.40376
16	-0.138031	-1.2575	0.106046
17	0.056746	0.517	0.303274
18	0.157106	1.4313	0.078049
19	-0.283538	-2.5832	0.005772
20	0.208981	1.9039	0.030194
21	0.056712	0.5167	0.30338
22	-0.239021	-2.1776	0.016138
23	0.09759	0.8891	0.188264
24	0.113757	1.0364	0.151518
25	-0.155053	-1.4126	0.080757
26	0.096843	0.8823	0.190086
27	-0.04094	-0.373	0.355056
28	-0.045497	-0.4145	0.339789
29	0.077534	0.7064	0.240967
30	0.057925	0.5277	0.29955
31	-0.134149	-1.2222	0.112554
32	0.160322	1.4606	0.07395
33	-0.097415	-0.8875	0.188688
34	-0.053953	-0.4915	0.312172
35	0.02031	0.185	0.426828
36	0.049772	0.4534	0.325705
37	-0.018116	-0.165	0.434655
38	0.016128	0.1469	0.44177
39	-0.046415	-0.4229	0.336744
40	0.035107	0.3198	0.374946
41	-0.005098	-0.0464	0.481533
42	-0.020801	-0.1895	0.425078
43	-0.021162	-0.1928	0.423794
44	0.068822	0.627	0.266191
45	-0.049859	-0.4542	0.325421
46	0.034826	0.3173	0.375914
47	-0.113227	-1.0315	0.152641
48	0.152663	1.3908	0.083998
49	-0.047522	-0.4329	0.333089
50	0.027423	0.2498	0.401667
51	-0.058175	-0.53	0.298763
52	0.018497	0.1685	0.433294
53	0.015606	0.1422	0.443643
54	-0.030399	-0.2769	0.391255
55	0.005518	0.0503	0.480014
56	-0.019147	-0.1744	0.430974
57	0.023856	0.2173	0.414239
58	0.001192	0.0109	0.49568
59	-0.059604	-0.543	0.294287
60	0.117094	1.0668	0.144583

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.473847	-4.317	2.2e-05
2	-0.403774	-3.6786	0.000208
3	0.046774	0.4261	0.335556
4	-0.08176	-0.7449	0.229228
5	-0.242454	-2.2089	0.01497
6	0.001081	0.0098	0.496084
7	-0.081392	-0.7415	0.230237
8	-0.244483	-2.2273	0.014316
9	0.066655	0.6073	0.27267
10	-0.086787	-0.7907	0.215695
11	-0.252532	-2.3007	0.011959
12	0.198519	1.8086	0.037068
13	0.009385	0.0855	0.466035
14	0.11615	1.0582	0.146522
15	-0.158605	-1.445	0.076116
16	-0.05849	-0.5329	0.297773
17	0.007817	0.0712	0.471699
18	0.071262	0.6492	0.258993
19	-0.11607	-1.0575	0.146687
20	0.12432	1.1326	0.13032
21	0.021691	0.1976	0.421915
22	-0.008022	-0.0731	0.470959
23	-0.146629	-1.3359	0.092624
24	-0.030708	-0.2798	0.390177
25	0.087489	0.7971	0.213844
26	-0.057008	-0.5194	0.302442
27	-0.090055	-0.8204	0.207157
28	0.042834	0.3902	0.348681
29	-0.013406	-0.1221	0.451542
30	0.021403	0.195	0.42294
31	0.095433	0.8694	0.193559
32	0.085734	0.7811	0.21849
33	-0.014792	-0.1348	0.446564
34	-0.070563	-0.6429	0.261043
35	-0.036577	-0.3332	0.369901
36	0.061097	0.5566	0.289643
37	0.050138	0.4568	0.32451
38	-0.029405	-0.2679	0.394722
39	0.007405	0.0675	0.473188
40	0.04445	0.405	0.343276
41	-0.053757	-0.4897	0.312803
42	-0.124381	-1.1332	0.130204
43	-0.056599	-0.5156	0.303736
44	0.010344	0.0942	0.462573
45	-0.009741	-0.0887	0.46475
46	0.024847	0.2264	0.410735
47	-0.100508	-0.9157	0.181246
48	0.039599	0.3608	0.359595
49	-0.047479	-0.4326	0.333231
50	0.094243	0.8586	0.196519
51	-0.003035	-0.0277	0.489003
52	-0.044604	-0.4064	0.342762
53	0.056252	0.5125	0.304837
54	0.021883	0.1994	0.421233
55	0.002689	0.0245	0.490258
56	-0.085952	-0.7831	0.21791
57	-0.105646	-0.9625	0.169303
58	-0.001788	-0.0163	0.493521
59	0.027397	0.2496	0.401757
60	-0.035272	-0.3213	0.374381

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261343770t8c1tybh45oz1cs/1zs401261343728.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261343770t8c1tybh45oz1cs/1zs401261343728.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261343770t8c1tybh45oz1cs/2l9wf1261343728.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261343770t8c1tybh45oz1cs/2l9wf1261343728.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ;

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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