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Paper Analyse (17)

*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 04:57:49 -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/t1229860711nxyrcd2lw9igpty.htm/, Retrieved Sun, 21 Dec 2008 12:58:33 +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/t1229860711nxyrcd2lw9igpty.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	-0.470806	-4.6129	6e-06
2	0.028955	0.2837	0.388625
3	0.019131	0.1874	0.425854
4	-0.141787	-1.3892	0.083989
5	0.144464	1.4154	0.080087
6	-0.08808	-0.863	0.195144
7	0.106807	1.0465	0.148981
8	-0.019216	-0.1883	0.425528
9	-0.059788	-0.5858	0.279692
10	-0.087748	-0.8597	0.196035
11	-0.048008	-0.4704	0.319574
12	0.358957	3.517	0.000334
13	-0.293163	-2.8724	0.002507
14	0.163973	1.6066	0.055713
15	-0.125559	-1.2302	0.110811
16	-0.052004	-0.5095	0.305773
17	0.0636	0.6232	0.267331
18	0.052236	0.5118	0.304982
19	-0.046881	-0.4593	0.323515
20	0.088023	0.8624	0.195296
21	-0.072758	-0.7129	0.238825
22	-0.082899	-0.8122	0.209331
23	0.034289	0.336	0.368818
24	0.197827	1.9383	0.027762
25	-0.166618	-1.6325	0.052923
26	0.178573	1.7497	0.041687
27	-0.257605	-2.524	0.006622
28	0.038539	0.3776	0.353278
29	0.1663	1.6294	0.053253
30	-0.180616	-1.7697	0.039979
31	0.075086	0.7357	0.231856
32	0.097503	0.9553	0.170906
33	-0.137846	-1.3506	0.089998
34	-0.00845	-0.0828	0.467092
35	-0.056841	-0.5569	0.289438
36	0.229738	2.251	0.013335
37	-0.128851	-1.2625	0.104917
38	0.032979	0.3231	0.373652
39	-0.108138	-1.0595	0.146009
40	0.029717	0.2912	0.385776
41	0.063885	0.6259	0.266418
42	-0.095306	-0.9338	0.176373
43	0.152308	1.4923	0.069449
44	-0.003339	-0.0327	0.486985
45	-0.174728	-1.712	0.045065
46	0.137567	1.3479	0.090435
47	-0.161222	-1.5796	0.058739
48	0.146836	1.4387	0.076745
49	-0.017731	-0.1737	0.431224
50	-0.031276	-0.3064	0.379966
51	-0.016251	-0.1592	0.436912
52	-0.015327	-0.1502	0.440473
53	0.039068	0.3828	0.351361
54	-0.025086	-0.2458	0.403183
55	0.085443	0.8372	0.202289
56	-0.054009	-0.5292	0.29895
57	-0.021064	-0.2064	0.418463
58	0.014766	0.1447	0.442634
59	-0.111176	-1.0893	0.139375
60	0.219394	2.1496	0.01705

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.470806	-4.6129	6e-06
2	-0.247581	-2.4258	0.008572
3	-0.110075	-1.0785	0.141755
4	-0.239425	-2.3459	0.01052
5	-0.065093	-0.6378	0.262569
6	-0.099742	-0.9773	0.165445
7	0.044299	0.434	0.332617
8	0.0565	0.5536	0.290573
9	0.000998	0.0098	0.496108
10	-0.18823	-1.8443	0.034114
11	-0.279713	-2.7406	0.003657
12	0.243205	2.3829	0.009573
13	-0.009136	-0.0895	0.46443
14	0.066625	0.6528	0.257727
15	-0.078242	-0.7666	0.222597
16	-0.082331	-0.8067	0.210923
17	-0.122846	-1.2036	0.115843
18	0.12468	1.2216	0.112424
19	-0.112103	-1.0984	0.137393
20	0.025516	0.25	0.401558
21	0.032152	0.315	0.376714
22	0.006683	0.0655	0.473963
23	-0.086208	-0.8447	0.200199
24	0.178592	1.7498	0.041671
25	0.027469	0.2691	0.3942
26	0.149518	1.465	0.073098
27	-0.093152	-0.9127	0.181844
28	-0.082914	-0.8124	0.209291
29	0.137251	1.3448	0.090932
30	-0.050178	-0.4916	0.312047
31	-0.111395	-1.0914	0.138904
32	0.00055	0.0054	0.497854
33	0.047102	0.4615	0.32274
34	-0.027577	-0.2702	0.393794
35	-0.110535	-1.083	0.140756
36	0.057471	0.5631	0.287341
37	0.04435	0.4345	0.332437
38	-0.099054	-0.9705	0.167112
39	0.009563	0.0937	0.462771
40	-0.097157	-0.9519	0.17176
41	-0.044946	-0.4404	0.330327
42	0.000246	0.0024	0.499041
43	0.077995	0.7642	0.223312
44	-0.039649	-0.3885	0.349261
45	-0.069738	-0.6833	0.248033
46	0.075253	0.7373	0.231361
47	-0.12943	-1.2682	0.103905
48	-0.149124	-1.4611	0.073626
49	-0.052432	-0.5137	0.30431
50	-0.100524	-0.9849	0.163567
51	0.015924	0.156	0.438171
52	-0.019398	-0.1901	0.42483
53	-0.003559	-0.0349	0.486129
54	-0.008009	-0.0785	0.468809
55	0.02914	0.2855	0.387935
56	-0.024457	-0.2396	0.405563
57	-0.026822	-0.2628	0.396635
58	-0.077294	-0.7573	0.225354
59	0.020002	0.196	0.422519
60	0.081478	0.7983	0.213328

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229860711nxyrcd2lw9igpty/1oqzm1229860667.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229860711nxyrcd2lw9igpty/1oqzm1229860667.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229860711nxyrcd2lw9igpty/2ogik1229860667.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229860711nxyrcd2lw9igpty/2ogik1229860667.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -1.0 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -1.0 ; 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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