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auto corr d cons

*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: Fri, 19 Dec 2008 04:13:02 -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/19/t1229685230i2fjdyskhheeu1l.htm/, Retrieved Fri, 19 Dec 2008 12:13:55 +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/19/t1229685230i2fjdyskhheeu1l.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 «

72,5 72,0 98,8 75,2 81,2 88,0 54,6 68,6 101,5 93,4 84,5 91,4 64,5 64,5 117,3 73,5 79,7 102,6 57,9 73,1 102,4 82,3 89,1 84,7 81,4 67,5 113,9 83,8 73,9 103,9 67,9 62,5 125,4 79,1 106,3 96,2 94,3 85,6 117,4 88,5 124,2 119,3 76,8 70,6 122,1 109,5 119,9 102,3 79,6 78,2 103,6 77,8 99,1 105,7 84,1 88,7 108,0 98,1 101,0 82,0

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.046682	0.3616	0.359461
2	-0.103845	-0.8044	0.212176
3	0.245145	1.8989	0.031196
4	-0.168898	-1.3083	0.097884
5	0.076027	0.5889	0.27907
6	0.604979	4.6862	8e-06
7	0.04709	0.3648	0.358286
8	-0.116609	-0.9032	0.185003
9	0.149016	1.1543	0.126483
10	-0.083371	-0.6458	0.260439
11	-0.065398	-0.5066	0.307157
12	0.626155	4.8502	5e-06
13	0.035081	0.2717	0.393379
14	-0.18667	-1.4459	0.076699
15	0.162271	1.2569	0.106822
16	-0.162955	-1.2622	0.105873
17	-0.044284	-0.343	0.366392
18	0.381536	2.9554	0.002229
19	-0.016853	-0.1305	0.448288
20	-0.117691	-0.9116	0.182806
21	0.053416	0.4138	0.340264
22	-0.181126	-1.403	0.082886
23	-0.131079	-1.0153	0.157013
24	0.294026	2.2775	0.013167
25	-0.012378	-0.0959	0.461969
26	-0.179669	-1.3917	0.084574
27	-0.001865	-0.0144	0.494261
28	-0.220922	-1.7113	0.0461
29	-0.124862	-0.9672	0.168669
30	0.160456	1.2429	0.109373
31	-0.046068	-0.3568	0.361232
32	-0.138847	-1.0755	0.143227
33	-0.052718	-0.4084	0.342234
34	-0.233544	-1.809	0.037729
35	-0.131999	-1.0225	0.155334
36	0.143804	1.1139	0.134882
37	-0.042949	-0.3327	0.370267
38	-0.13635	-1.0562	0.147564
39	-0.077538	-0.6006	0.275182
40	-0.201605	-1.5616	0.061818
41	-0.083934	-0.6502	0.259038
42	0.063048	0.4884	0.313536
43	-0.037017	-0.2867	0.387653
44	-0.073996	-0.5732	0.284337
45	-0.033548	-0.2599	0.397932
46	-0.098161	-0.7604	0.225011
47	-0.04348	-0.3368	0.368722
48	0.038794	0.3005	0.382419
49	-0.039255	-0.3041	0.381064
50	-0.061746	-0.4783	0.317093
51	-0.040874	-0.3166	0.37632
52	-0.062249	-0.4822	0.315716
53	-0.011742	-0.091	0.463917
54	-0.001935	-0.015	0.494046
55	-0.018228	-0.1412	0.444094
56	-0.013717	-0.1063	0.457869
57	-0.022143	-0.1715	0.432197
58	-0.007966	-0.0617	0.475502
59	0.002558	0.0198	0.492129
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.046682	0.3616	0.359461
2	-0.106256	-0.8231	0.206868
3	0.258949	2.0058	0.024696
4	-0.231219	-1.791	0.039167
5	0.201104	1.5577	0.062276
6	0.53238	4.1238	5.8e-05
7	0.086163	0.6674	0.253533
8	-0.149437	-1.1575	0.125821
9	-0.040603	-0.3145	0.377114
10	0.096404	0.7467	0.229067
11	-0.176947	-1.3706	0.087799
12	0.433057	3.3544	0.000691
13	-0.114619	-0.8878	0.189088
14	-0.050809	-0.3936	0.347649
15	-0.105496	-0.8172	0.208533
16	0.019513	0.1511	0.440182
17	-0.026175	-0.2028	0.420007
18	-0.21912	-1.6973	0.047411
19	0.035918	0.2782	0.390901
20	0.042349	0.328	0.372014
21	-0.002706	-0.021	0.491673
22	-0.257662	-1.9958	0.025248
23	0.057176	0.4429	0.32972
24	-0.070095	-0.543	0.294587
25	0.000451	0.0035	0.498613
26	-0.06356	-0.4923	0.312141
27	-0.102865	-0.7968	0.214357
28	-0.010308	-0.0798	0.468314
29	-0.038729	-0.3	0.382609
30	-0.008596	-0.0666	0.473567
31	-0.027197	-0.2107	0.41693
32	-0.030596	-0.237	0.406735
33	-0.040668	-0.315	0.376921
34	-0.006858	-0.0531	0.478904
35	0.05268	0.4081	0.342341
36	0.017558	0.136	0.446136
37	-0.034433	-0.2667	0.395301
38	0.001722	0.0133	0.494702
39	-0.00165	-0.0128	0.494922
40	0.065771	0.5095	0.306149
41	-0.045628	-0.3534	0.3625
42	-0.01125	-0.0871	0.465425
43	0.000458	0.0035	0.49859
44	0.062819	0.4866	0.31416
45	0.077552	0.6007	0.275146
46	0.137528	1.0653	0.145506
47	0.039783	0.3082	0.379515
48	-0.179306	-1.3889	0.084999
49	-0.015478	-0.1199	0.452486
50	-0.019821	-0.1535	0.439246
51	0.004988	0.0386	0.484655
52	-0.063602	-0.4927	0.312027
53	-0.016774	-0.1299	0.448528
54	0.004337	0.0336	0.486656
55	-0.030508	-0.2363	0.406996
56	-0.047369	-0.3669	0.357485
57	-0.081066	-0.6279	0.266214
58	0.000285	0.0022	0.499123
59	-0.067697	-0.5244	0.300973
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229685230i2fjdyskhheeu1l/1yzgd1229685180.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229685230i2fjdyskhheeu1l/1yzgd1229685180.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229685230i2fjdyskhheeu1l/2xhes1229685180.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229685230i2fjdyskhheeu1l/2xhes1229685180.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -1.6 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -1.6 ; par3 = 0 ; 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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