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autocorrelation < 20 d=1

*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, 18 Dec 2008 07:42:48 -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/18/t1229611414zyoay8rmcd9urdv.htm/, Retrieved Thu, 18 Dec 2008 15:43:36 +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/18/t1229611414zyoay8rmcd9urdv.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 «

12460 12870 14122 15366 15366 15046 10356 10194 11027 11449 12107 12862 12587 13951 15210 17511 17247 16900 12237 12188 12801 13276 14171 14629 16242 17239 18516 19862 19542 18515 13182 13148 13853 14341 14895 15317 15649 16373 17543 18911 19401 18295 12665 12246 12969 13563 15714 16094 15823 15460 16827 18279 18789 18041 12129 11708 12387 12982 13664 14073 14222 14715 15697 16908 17412 16232 10281 10258 11013 11779 12333 12684 12654 13239 14729 16146 16324 13797 9399 9626 10290 10931 11382 11704 11716 12470 13662 15097 15821 13083 9081 9479 10295 10999 11643 12055 12431 12940 14168 16031 16445 14245 9820 10389 11298 12156 12759 13414 13683 14070 15176 16694 17694 14294 9255 9868 10878 11685 12496 12488

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.311452	3.3975	0.000463
2	-0.145977	-1.5924	0.056971
3	-0.336563	-3.6715	0.000181
4	-0.269402	-2.9388	0.001979
5	-0.070579	-0.7699	0.221433
6	0.023519	0.2566	0.39898
7	-0.059146	-0.6452	0.260018
8	-0.237085	-2.5863	0.005453
9	-0.283386	-3.0914	0.001241
10	-0.121366	-1.3239	0.09403
11	0.310263	3.3846	0.000483
12	0.862154	9.405	0
13	0.259278	2.8284	0.002746
14	-0.124625	-1.3595	0.088279
15	-0.306919	-3.3481	0.000545
16	-0.247702	-2.7021	0.003949
17	-0.067214	-0.7332	0.232432
18	0.008069	0.088	0.465004
19	-0.053066	-0.5789	0.281881
20	-0.213206	-2.3258	0.010861
21	-0.238472	-2.6014	0.005231
22	-0.101657	-1.109	0.134844
23	0.298139	3.2523	0.000745
24	0.761313	8.3049	0
25	0.206374	2.2513	0.013102
26	-0.11905	-1.2987	0.098281
27	-0.276805	-3.0196	0.001549
28	-0.221268	-2.4138	0.008657
29	-0.057476	-0.627	0.265934
30	0.021186	0.2311	0.408814
31	-0.045492	-0.4963	0.310315
32	-0.185369	-2.0221	0.022703
33	-0.2139	-2.3334	0.010653
34	-0.103799	-1.1323	0.129889
35	0.284749	3.1062	0.001185
36	0.664393	7.2477	0
37	0.163881	1.7877	0.038183
38	-0.099133	-1.0814	0.14085
39	-0.250269	-2.7301	0.003647
40	-0.198548	-2.1659	0.016157
41	-0.052272	-0.5702	0.2848
42	0.023451	0.2558	0.399266
43	-0.040697	-0.444	0.328942
44	-0.162981	-1.7779	0.038986
45	-0.187158	-2.0417	0.021698
46	-0.081015	-0.8838	0.189302
47	0.272608	2.9738	0.001781
48	0.563731	6.1496	0
49	0.106473	1.1615	0.123884
50	-0.09222	-1.006	0.158229
51	-0.210489	-2.2962	0.011708
52	-0.146462	-1.5977	0.05638
53	-0.039293	-0.4286	0.334481
54	0.016517	0.1802	0.428658
55	-0.05148	-0.5616	0.287729
56	-0.138419	-1.51	0.06685
57	-0.149135	-1.6269	0.053204
58	-0.057501	-0.6273	0.265846
59	0.250559	2.7333	0.003614
60	0.451079	4.9207	1e-06

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.311452	3.3975	0.000463
2	-0.269081	-2.9353	0.002
3	-0.232873	-2.5403	0.006181
4	-0.139836	-1.5254	0.064903
5	-0.053198	-0.5803	0.281399
6	-0.104215	-1.1368	0.128943
7	-0.209317	-2.2834	0.012091
8	-0.341044	-3.7203	0.000153
9	-0.397807	-4.3396	1.5e-05
10	-0.464481	-5.0669	1e-06
11	-0.251731	-2.7461	0.003484
12	0.663414	7.237	0
13	-0.262323	-2.8616	0.00249
14	0.110199	1.2021	0.115851
15	0.121197	1.3221	0.094334
16	0.059535	0.6495	0.258649
17	0.044261	0.4828	0.315051
18	-0.008891	-0.097	0.461451
19	0.062366	0.6803	0.248808
20	-0.016173	-0.1764	0.430129
21	0.008106	0.0884	0.464842
22	-0.021725	-0.237	0.406536
23	-0.035716	-0.3896	0.348759
24	0.079636	0.8687	0.193373
25	-0.11555	-1.2605	0.104978
26	-0.036769	-0.4011	0.344532
27	0.01382	0.1508	0.440211
28	-0.042068	-0.4589	0.323569
29	-0.011411	-0.1245	0.450572
30	0.074848	0.8165	0.207926
31	-0.014855	-0.1621	0.435769
32	0.06518	0.711	0.239229
33	-0.025714	-0.2805	0.389788
34	-0.026706	-0.2913	0.385652
35	0.034047	0.3714	0.355496
36	-0.057737	-0.6298	0.265006
37	-0.019189	-0.2093	0.417275
38	0.014778	0.1612	0.436101
39	-0.043391	-0.4733	0.318418
40	-0.016463	-0.1796	0.428891
41	-0.050019	-0.5456	0.293165
42	-0.025147	-0.2743	0.392155
43	-0.052832	-0.5763	0.282742
44	-0.050598	-0.552	0.291004
45	-0.00973	-0.1061	0.457826
46	0.038536	0.4204	0.337482
47	-0.024437	-0.2666	0.395128
48	-0.053221	-0.5806	0.281315
49	-0.086273	-0.9411	0.174274
50	-0.01495	-0.1631	0.435364
51	-0.01423	-0.1552	0.43845
52	0.031645	0.3452	0.365273
53	-0.03461	-0.3775	0.353219
54	-0.036814	-0.4016	0.344351
55	-0.01539	-0.1679	0.433481
56	0.03326	0.3628	0.358688
57	0.020357	0.2221	0.412322
58	0.012851	0.1402	0.444373
59	-0.03168	-0.3456	0.365133
60	-0.089146	-0.9725	0.166394

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229611414zyoay8rmcd9urdv/1nqrd1229611366.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229611414zyoay8rmcd9urdv/1nqrd1229611366.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229611414zyoay8rmcd9urdv/28yr91229611366.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229611414zyoay8rmcd9urdv/28yr91229611366.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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