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Autocorrelation Function Paper

*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: Thu, 11 Dec 2008 07:36:37 -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/11/t1229006242w0f030k5gp9lzur.htm/, Retrieved Thu, 11 Dec 2008 14:37:25 +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/11/t1229006242w0f030k5gp9lzur.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)

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

492865 480961 461935 456608 441977 439148 488180 520564 501492 485025 464196 460170 467037 460070 447988 442867 436087 431328 484015 509673 512927 502831 470984 471067 476049 474605 470439 461251 454724 455626 516847 525192 522975 518585 509239 512238 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

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	0.095676	0.8062	0.211415
2	-0.025395	-0.214	0.415587
3	-0.109741	-0.9247	0.179128
4	0.029906	0.252	0.400886
5	0.15625	1.3166	0.096106
6	0.000161	0.0014	0.49946
7	0.034891	0.294	0.38481
8	0.062066	0.523	0.30131
9	0.28015	2.3606	0.010498
10	-0.006824	-0.0575	0.477153
11	-0.188806	-1.5909	0.058037
12	-0.168978	-1.4238	0.079438
13	0.180438	1.5204	0.066426
14	0.378592	3.1901	0.001059
15	0.041306	0.3481	0.364415
16	0.076264	0.6426	0.261272
17	-0.154614	-1.3028	0.098426
18	0.087921	0.7408	0.230617
19	0.053753	0.4529	0.325991
20	0.017905	0.1509	0.440253
21	0.105602	0.8898	0.188283
22	0.101335	0.8539	0.198026
23	0.228138	1.9223	0.029289
24	-0.061218	-0.5158	0.303787
25	-0.21185	-1.7851	0.03926
26	-0.241984	-2.039	0.022588
27	0.120624	1.0164	0.156446
28	0.011597	0.0977	0.461215
29	0.126744	1.068	0.144577
30	-0.069875	-0.5888	0.278941
31	-0.106704	-0.8991	0.185817
32	0.091863	0.774	0.220736
33	-0.105477	-0.8888	0.188565
34	-0.08063	-0.6794	0.249548
35	-0.066257	-0.5583	0.289202
36	0.090686	0.7641	0.223659

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.095676	0.8062	0.211415
2	-0.034868	-0.2938	0.384882
3	-0.104978	-0.8846	0.189689
4	0.050875	0.4287	0.334728
5	0.14652	1.2346	0.110525
6	-0.0408	-0.3438	0.36601
7	0.05319	0.4482	0.32769
8	0.08955	0.7546	0.226503
9	0.266497	2.2455	0.013924
10	-0.072863	-0.614	0.270603
11	-0.177929	-1.4993	0.069121
12	-0.11079	-0.9335	0.176854
13	0.202065	1.7026	0.046506
14	0.295332	2.4885	0.007588
15	-0.035935	-0.3028	0.381467
16	0.121047	1.02	0.155605
17	-0.143585	-1.2099	0.11517
18	0.003842	0.0324	0.487131
19	0.039308	0.3312	0.370729
20	0.121699	1.0255	0.154315
21	0.155387	1.3093	0.097325
22	-0.051217	-0.4316	0.333684
23	-0.01198	-0.1009	0.459939
24	-0.056275	-0.4742	0.318413
25	-0.142484	-1.2006	0.11695
26	-0.151289	-1.2748	0.103271
27	0.073724	0.6212	0.268227
28	-0.201139	-1.6948	0.047245
29	0.056447	0.4756	0.317898
30	-0.156759	-1.3209	0.095393
31	-0.009554	-0.0805	0.468031
32	0.070454	0.5937	0.277315
33	-0.043698	-0.3682	0.356907
34	-0.096281	-0.8113	0.209958
35	-0.056464	-0.4758	0.317847
36	-0.084929	-0.7156	0.238285

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229006242w0f030k5gp9lzur/1qwn71229006195.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229006242w0f030k5gp9lzur/1qwn71229006195.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229006242w0f030k5gp9lzur/2rrth1229006195.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229006242w0f030k5gp9lzur/2rrth1229006195.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1.5 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1.5 ; 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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Error 001_3: History of computation (impact.txt) is not saved due to a technical problem. We are sorry for this inconveniance and will correct it A.S.A.P.