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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: Sat, 06 Dec 2008 11:22:51 -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/06/t1228587810i1c62cpt2g8dhh2.htm/, Retrieved Sat, 06 Dec 2008 18:23:32 +0000

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/06/t1228587810i1c62cpt2g8dhh2.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},
}

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
test

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

2648.9 2669.6 3042.3 2604.2 2732.1 2621.7 2483.7 2479.3 2684.6 2834.7 2566.1 2251.2 2350 2299.8 2542.8 2530.2 2508.1 2616.8 2534.1 2181.8 2578.9 2841.9 2529.9 2103.2 2326.2 2452.6 2782.1 2727.3 2648.2 2760.7 2613 2225.4 2713.9 2923.3 2707 2473.9 2521 2531.8 3068.8 2826.9 2674.2 2966.6 2798.8 2629.6 3124.6 3115.7 3083 2863.9 2728.7 2789.4 3225.7 3148.2 2836.5 3153.5 2656.9 2834.7 3172.5 2998.8 3103.1 2735.6 2818.1 2874.4 3438.5 2949.1 3306.8 3530 3003.8 3206.4 3514.6 3522.6 3525.5 2996.2 3231.1 3030 3541.7 3113.2 3390.8 3424.2 3079.8 3123.4 3317.1 3579.9 3317.9 2668.1 3609.2 3535.2 3644.7 3925.7 3663.2 3905.3 3990 3695.8

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	-0.449656	-3.9966	7.2e-05
2	-0.117433	-1.0438	0.149888
3	0.299291	2.6602	0.004727
4	-0.198313	-1.7626	0.040914
5	0.007989	0.071	0.471784
6	0.176299	1.567	0.060558
7	-0.198396	-1.7634	0.040851
8	-0.075577	-0.6717	0.251854
9	0.294694	2.6193	0.00528
10	-0.203844	-1.8118	0.036908
11	-0.00504	-0.0448	0.482191
12	0.036714	0.3263	0.372521
13	-0.118145	-1.0501	0.148439
14	0.047995	0.4266	0.33542
15	0.035756	0.3178	0.375737
16	-0.188857	-1.6786	0.048591
17	0.160793	1.4292	0.07845
18	0.076284	0.678	0.249867
19	-0.199247	-1.7709	0.040213
20	0.188347	1.6741	0.049036
21	0.039227	0.3487	0.364139
22	-0.216762	-1.9266	0.028812
23	0.308746	2.7442	0.003752
24	-0.229651	-2.0412	0.022286
25	0.000743	0.0066	0.497374
26	0.246713	2.1928	0.015631
27	-0.147259	-1.3089	0.097187
28	-0.122509	-1.0889	0.139758
29	0.207575	1.845	0.034395
30	-0.110852	-0.9853	0.163749
31	-0.031765	-0.2823	0.389212
32	0.09285	0.8253	0.205853
33	-0.181861	-1.6164	0.054996
34	0.096621	0.8588	0.196529
35	0.060215	0.5352	0.297007
36	-0.121311	-1.0782	0.142106

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.449656	-3.9966	7.2e-05
2	-0.400626	-3.5608	0.000315
3	0.06747	0.5997	0.275216
4	-0.044439	-0.395	0.346961
5	-0.021353	-0.1898	0.424981
6	0.121761	1.0822	0.14122
7	-0.030465	-0.2708	0.393633
8	-0.221987	-1.9731	0.025993
9	0.094235	0.8376	0.202397
10	0.029095	0.2586	0.398309
11	0.013834	0.123	0.451227
12	-0.151818	-1.3494	0.090534
13	-0.156863	-1.3942	0.083579
14	-0.128828	-1.145	0.127823
15	-0.094335	-0.8385	0.202149
16	-0.227133	-2.0188	0.02345
17	0.008906	0.0792	0.468553
18	0.118904	1.0568	0.146903
19	-0.035894	-0.319	0.375271
20	0.038585	0.3429	0.366274
21	0.200431	1.7815	0.03934
22	-0.023748	-0.2111	0.416686
23	0.17661	1.5697	0.060236
24	-0.164434	-1.4615	0.07392
25	0.015496	0.1377	0.445401
26	0.070055	0.6227	0.267651
27	0.054176	0.4815	0.315738
28	-0.167703	-1.4906	0.070028
29	-0.022933	-0.2038	0.419505
30	-0.060265	-0.5357	0.296852
31	0.071342	0.6341	0.263924
32	-0.095222	-0.8463	0.199957
33	0.025816	0.2295	0.409554
34	0.077189	0.6861	0.247338
35	0.048271	0.429	0.334529
36	-0.084375	-0.7499	0.227759

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228587810i1c62cpt2g8dhh2/16mo61228587769.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228587810i1c62cpt2g8dhh2/16mo61228587769.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228587810i1c62cpt2g8dhh2/25tv51228587769.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228587810i1c62cpt2g8dhh2/25tv51228587769.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = -0.1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = -0.1 ; 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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