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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: Wed, 17 Dec 2008 05:54:04 -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/17/t1229518475voucyo6e8uof24o.htm/, Retrieved Wed, 17 Dec 2008 13:54:38 +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/17/t1229518475voucyo6e8uof24o.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 «

15023.6 12083 15761.3 16943 15070.3 13659.6 14768.9 14725.1 15998.1 15370.6 14956.9 15469.7 15101.8 11703.7 16283.6 16726.5 14968.9 14861 14583.3 15305.8 17903.9 16379.4 15420.3 17870.5 15912.8 13866.5 17823.2 17872 17420.4 16704.4 15991.2 16583.6 19123.5 17838.7 17209.4 18586.5 16258.1 15141.6 19202.1 17746.5 19090.1 18040.3 17515.5 17751.8 21072.4 17170 19439.5 19795.4 17574.9 16165.4 19464.6 19932.1 19961.2 17343.4 18924.2 18574.1 21350.6 18840.1 20304.8 21132.4 19753.9

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	-0.012684	-0.0888	0.464806
2	0.128889	0.9022	0.185676
3	0.407305	2.8511	0.003179
4	0.007927	0.0555	0.477987
5	0.063812	0.4467	0.328536
6	0.147304	1.0311	0.153772
7	-0.277862	-1.945	0.028761
8	0.047597	0.3332	0.370211
9	0.004299	0.0301	0.488056
10	-0.204971	-1.4348	0.078848
11	-0.080207	-0.5615	0.288524
12	-0.204417	-1.4309	0.0794
13	-0.115423	-0.808	0.211509
14	0.051513	0.3606	0.359976
15	-0.176537	-1.2358	0.11122
16	-0.180007	-1.26	0.10681
17	0.095404	0.6678	0.253688
18	0.034209	0.2395	0.405874
19	-0.070706	-0.4949	0.311427
20	0.00145	0.0102	0.495971
21	0.05384	0.3769	0.353945
22	-0.156724	-1.0971	0.138987
23	0.178444	1.2491	0.10878
24	-0.066564	-0.4659	0.321659
25	-0.184562	-1.2919	0.10122
26	0.093291	0.653	0.258392
27	-0.043735	-0.3061	0.380396
28	-0.131976	-0.9238	0.180051
29	0.015696	0.1099	0.45648
30	-0.121461	-0.8502	0.199668
31	0.049176	0.3442	0.366073
32	0.085633	0.5994	0.275824
33	-0.137058	-0.9594	0.171031
34	0.100982	0.7069	0.241496
35	0.050221	0.3515	0.363342
36	-0.064731	-0.4531	0.326232
37	0.17223	1.2056	0.116879
38	0.028506	0.1995	0.421333
39	-0.02092	-0.1464	0.442086
40	0.154467	1.0813	0.142435
41	0.023048	0.1613	0.436246
42	-0.047181	-0.3303	0.371303
43	0.035266	0.2469	0.403024
44	-0.052609	-0.3683	0.357131
45	-0.060088	-0.4206	0.337937
46	-0.025655	-0.1796	0.429109
47	-0.059637	-0.4175	0.339083
48	-0.034793	-0.2435	0.404299
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.012684	-0.0888	0.464806
2	0.128749	0.9012	0.185934
3	0.417347	2.9214	0.002628
4	0.027609	0.1933	0.423775
5	-0.051854	-0.363	0.35909
6	-0.032477	-0.2273	0.410554
7	-0.352364	-2.4665	0.008594
8	-0.032693	-0.2289	0.409969
9	0.04925	0.3448	0.365879
10	0.054036	0.3783	0.353438
11	-0.076876	-0.5381	0.296461
12	-0.269244	-1.8847	0.032704
13	-0.043534	-0.3047	0.380928
14	0.155144	1.086	0.141395
15	0.104459	0.7312	0.234065
16	-0.162672	-1.1387	0.130182
17	-0.059889	-0.4192	0.338443
18	0.148502	1.0395	0.151835
19	-0.012072	-0.0845	0.466499
20	-0.109781	-0.7685	0.222948
21	0.033545	0.2348	0.407665
22	-0.287802	-2.0146	0.024725
23	0.066347	0.4644	0.3222
24	0.024835	0.1738	0.431352
25	-0.021262	-0.1488	0.441149
26	-0.04134	-0.2894	0.386756
27	-0.176304	-1.2341	0.111521
28	-0.048211	-0.3375	0.3686
29	-0.006786	-0.0475	0.481154
30	0.14296	1.0007	0.160939
31	0.119717	0.838	0.203044
32	-0.077692	-0.5438	0.294507
33	-0.13847	-0.9693	0.168581
34	-0.034335	-0.2403	0.405531
35	0.035609	0.2493	0.402099
36	0.001516	0.0106	0.495788
37	0.014738	0.1032	0.459125
38	0.047289	0.331	0.37102
39	0.037378	0.2616	0.397345
40	-0.070387	-0.4927	0.312209
41	-0.079261	-0.5548	0.290768
42	-0.114961	-0.8047	0.212433
43	0.01758	0.1231	0.45128
44	-0.070973	-0.4968	0.310771
45	0.01349	0.0944	0.462577
46	0.038547	0.2698	0.394212
47	0.016348	0.1144	0.45468
48	0.026526	0.1857	0.426729
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229518475voucyo6e8uof24o/1khev1229518442.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229518475voucyo6e8uof24o/1khev1229518442.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229518475voucyo6e8uof24o/2m2zs1229518442.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229518475voucyo6e8uof24o/2m2zs1229518442.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; 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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