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Autocorrelation Function

*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, 07 Dec 2008 02:03:28 -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/07/t1228640633urakb2o8mzasv11.htm/, Retrieved Sun, 07 Dec 2008 09:03:53 +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/07/t1228640633urakb2o8mzasv11.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 «

519164 517009 509933 509127 500857 506971 569323 579714 577992 565464 547344 554788 562325 560854 555332 543599 536662 542722 593530 610763 612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799 574205 572775 572942 619567 625809 619916 587625 565742 557274 560576 548854 531673 525919 511038 498662 555362 564591 541657 527070 509846 514258

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	-0.028248	-0.1937	0.423639
2	0.012334	0.0846	0.466486
3	0.020239	0.1388	0.44512
4	-0.027093	-0.1857	0.426723
5	-0.08185	-0.5611	0.288685
6	-0.046971	-0.322	0.374435
7	-0.000198	-0.0014	0.499461
8	-0.058733	-0.4026	0.344516
9	0.116261	0.797	0.214717
10	-0.196611	-1.3479	0.092076
11	0.054564	0.3741	0.355017
12	-0.200142	-1.3721	0.088272
13	-0.10183	-0.6981	0.244274
14	0.029309	0.2009	0.420808
15	-0.005969	-0.0409	0.483765
16	-0.017505	-0.12	0.452493
17	-0.101864	-0.6983	0.244201
18	0.168813	1.1573	0.126494
19	0.075867	0.5201	0.302712
20	0.118612	0.8132	0.210112
21	-0.004015	-0.0275	0.489078
22	0.001588	0.0109	0.49568
23	0.094372	0.647	0.260396
24	-0.191646	-1.3139	0.097635
25	-0.081461	-0.5585	0.289587
26	-0.17898	-1.227	0.112962
27	0.08706	0.5969	0.276735
28	-0.070579	-0.4839	0.315364
29	0.100559	0.6894	0.246982
30	-0.060778	-0.4167	0.339406
31	-0.077206	-0.5293	0.299546
32	0.057986	0.3975	0.346388
33	-0.087823	-0.6021	0.275006
34	0.012998	0.0891	0.464686
35	-0.021638	-0.1483	0.441352
36	-0.018511	-0.1269	0.449777

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.028248	-0.1937	0.423639
2	0.011545	0.0792	0.468625
3	0.020929	0.1435	0.443262
4	-0.026117	-0.1791	0.429333
5	-0.08401	-0.5759	0.283702
6	-0.051952	-0.3562	0.361655
7	-1.3e-05	-1e-04	0.499964
8	-0.055346	-0.3794	0.353039
9	0.111553	0.7648	0.224117
10	-0.203428	-1.3946	0.084842
11	0.042493	0.2913	0.386044
12	-0.223481	-1.5321	0.0661
13	-0.105027	-0.72	0.237537
14	0.021229	0.1455	0.442454
15	-0.02405	-0.1649	0.434874
16	-0.043174	-0.296	0.384272
17	-0.15399	-1.0557	0.148251
18	0.101979	0.6991	0.243958
19	0.125883	0.863	0.196258
20	0.066564	0.4563	0.325123
21	0.040901	0.2804	0.390201
22	-0.094283	-0.6464	0.260592
23	0.1029	0.7054	0.242007
24	-0.221472	-1.5183	0.067814
25	-0.118656	-0.8135	0.210027
26	-0.207286	-1.4211	0.080948
27	0.025373	0.1739	0.431326
28	-0.051225	-0.3512	0.363511
29	0.02575	0.1765	0.430316
30	-0.060897	-0.4175	0.339112
31	-0.032949	-0.2259	0.411134
32	0.070032	0.4801	0.316687
33	-0.014792	-0.1014	0.459828
34	-0.088076	-0.6038	0.274434
35	0.054435	0.3732	0.355344
36	-0.23388	-1.6034	0.057773

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228640633urakb2o8mzasv11/1drqe1228640603.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228640633urakb2o8mzasv11/1drqe1228640603.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228640633urakb2o8mzasv11/2s7tu1228640603.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228640633urakb2o8mzasv11/2s7tu1228640603.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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