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Paper Analyse (16)

*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, 21 Dec 2008 04:54:36 -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/21/t1229860528p9t8qt3kj92aufj.htm/, Retrieved Sun, 21 Dec 2008 12:55:30 +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/21/t1229860528p9t8qt3kj92aufj.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 «

1593 1477.9 1733.7 1569.7 1843.7 1950.3 1657.5 1772.1 1568.3 1809.8 1646.7 1808.5 1763.9 1625.5 1538.8 1342.4 1645.1 1619.9 1338.1 1505.5 1529.1 1511.9 1656.7 1694.4 1662.3 1588.7 1483.3 1585.6 1658.9 1584.4 1470.6 1618.7 1407.6 1473.9 1515.3 1485.4 1496.1 1493.5 1298.4 1375.3 1507.9 1455.3 1363.3 1392.8 1348.8 1880.3 1669.2 1543.6 1701.2 1516.5 1466.8 1484.1 1577.2 1684.5 1414.7 1674.5 1598.7 1739.1 1674.6 1671.8 1802 1526.8 1580.9 1634.8 1610.3 1712 1678.8 1708.1 1680.6 2056 1624 2021.4 1861.1 1750.8 1767.5 1710.3 2151.5 2047.9 1915.4 1984.7 1896.5 2170.8 2139.9 2330.5 2121.8 2226.8 1857.9 2155.9 2341.7 2290.2 2006.5 2111.9 1731.3 1762.2 1863.2 1943.5 1975.2

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	0.688625	6.7822	0
2	0.661553	6.5155	0
3	0.62525	6.158	0
4	0.578731	5.6998	0
5	0.624741	6.153	0
6	0.568762	5.6017	0
7	0.565151	5.5661	0
8	0.489087	4.817	3e-06
9	0.419034	4.127	3.9e-05
10	0.39497	3.89	9.2e-05
11	0.432432	4.259	2.4e-05
12	0.488143	4.8076	3e-06
13	0.328274	3.2331	0.000837
14	0.33718	3.3208	0.000633
15	0.250077	2.463	0.007771
16	0.232722	2.292	0.012032
17	0.263778	2.5979	0.00542
18	0.251915	2.4811	0.00741
19	0.203913	2.0083	0.023696
20	0.183116	1.8035	0.037208
21	0.105399	1.0381	0.150912
22	0.08933	0.8798	0.190572
23	0.123568	1.217	0.113278
24	0.138383	1.3629	0.088033
25	0.027184	0.2677	0.394737
26	0.008972	0.0884	0.464883
27	-0.101919	-1.0038	0.158989
28	-0.074022	-0.729	0.233869
29	-0.051828	-0.5104	0.305451
30	-0.133685	-1.3166	0.09553
31	-0.107076	-1.0546	0.14712
32	-0.124777	-1.2289	0.11104
33	-0.201137	-1.981	0.025213
34	-0.193787	-1.9086	0.029636
35	-0.177363	-1.7468	0.041916
36	-0.123857	-1.2198	0.11274
37	-0.225017	-2.2162	0.014509
38	-0.241729	-2.3808	0.009615
39	-0.284225	-2.7993	0.00309
40	-0.262612	-2.5864	0.005592
41	-0.248355	-2.446	0.008123
42	-0.278682	-2.7447	0.003609
43	-0.237149	-2.3356	0.010785
44	-0.304744	-3.0014	0.001708
45	-0.365767	-3.6024	0.00025
46	-0.303803	-2.9921	0.001757
47	-0.327566	-3.2262	0.000856
48	-0.259385	-2.5546	0.006092
49	-0.288217	-2.8386	0.00276
50	-0.301054	-2.965	0.001905
51	-0.303691	-2.991	0.001762
52	-0.306621	-3.0199	0.001616
53	-0.26655	-2.6252	0.005031
54	-0.251548	-2.4775	0.007481
55	-0.224845	-2.2145	0.014569
56	-0.251366	-2.4757	0.007516
57	-0.250218	-2.4644	0.007743
58	-0.223896	-2.2051	0.014904
59	-0.200976	-1.9794	0.025303
60	-0.125759	-1.2386	0.109244

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.688625	6.7822	0
2	0.356313	3.5093	0.000342
3	0.188752	1.859	0.03303
4	0.075187	0.7405	0.230391
5	0.226612	2.2319	0.013963
6	0.029514	0.2907	0.385959
7	0.058997	0.5811	0.281276
8	-0.103396	-1.0183	0.155526
9	-0.131399	-1.2941	0.099347
10	-0.07268	-0.7158	0.237913
11	0.148694	1.4645	0.07315
12	0.225811	2.224	0.014235
13	-0.272153	-2.6804	0.004321
14	-0.02816	-0.2773	0.391053
15	-0.112259	-1.1056	0.135813
16	-0.005277	-0.052	0.479327
17	0.034985	0.3446	0.365585
18	0.093575	0.9216	0.179511
19	-0.156381	-1.5402	0.063387
20	0.084012	0.8274	0.205015
21	-0.04945	-0.487	0.313671
22	-0.042386	-0.4175	0.338635
23	-0.010568	-0.1041	0.45866
24	0.092619	0.9122	0.181964
25	-0.222966	-2.196	0.015239
26	-0.060618	-0.597	0.275944
27	-0.139778	-1.3767	0.085894
28	0.054068	0.5325	0.297797
29	0.034738	0.3421	0.366498
30	-0.143826	-1.4165	0.079914
31	0.028306	0.2788	0.390502
32	0.112857	1.1115	0.134548
33	0.026118	0.2572	0.398773
34	-0.074927	-0.7379	0.231164
35	-0.002055	-0.0202	0.491947
36	0.090527	0.8916	0.187411
37	-0.118862	-1.1707	0.122302
38	-0.08647	-0.8516	0.19826
39	0.03158	0.311	0.378223
40	-0.065177	-0.6419	0.261218
41	0.034168	0.3365	0.368605
42	0.004632	0.0456	0.481855
43	-0.023267	-0.2292	0.409617
44	-0.126608	-1.2469	0.10771
45	-0.006063	-0.0597	0.476253
46	0.058454	0.5757	0.283075
47	-0.098266	-0.9678	0.167773
48	0.103526	1.0196	0.155224
49	0.111128	1.0945	0.138228
50	-0.001457	-0.0144	0.494289
51	0.048317	0.4759	0.31762
52	-0.082754	-0.815	0.208524
53	-0.01338	-0.1318	0.447715
54	0.010045	0.0989	0.460699
55	-0.006691	-0.0659	0.473797
56	-0.065684	-0.6469	0.259609
57	0.044082	0.4342	0.332571
58	0.029605	0.2916	0.385615
59	0.086344	0.8504	0.198602
60	-0.023857	-0.235	0.407367

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229860528p9t8qt3kj92aufj/1fysv1229860474.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229860528p9t8qt3kj92aufj/1fysv1229860474.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229860528p9t8qt3kj92aufj/29aqo1229860474.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229860528p9t8qt3kj92aufj/29aqo1229860474.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -1.0 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -1.0 ; 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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