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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: Mon, 22 Dec 2008 01:38:52 -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/22/t1229942090jdz0akzwk3493st.htm/, Retrieved Mon, 22 Dec 2008 11:34:52 +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/22/t1229942090jdz0akzwk3493st.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 «

3999 4864 5134 5410 4669 3546 5040 4850 4808 4441 4227 3620 3153 3936 4159 4209 4282 3174 4686 4131 4486 4625 3971 3397 3228 3441 3832 5267 3580 2617 3874 3431 4023 4151 3180 2916 2640 2700 3603 4348 3322 2312 3472 3592 3481 3451 2725 2574 2429 3160 3371 3448 3229 1986 2955 3000 8255 4191 3520 2497

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	0.20759	1.608	0.056544
2	0.03541	0.2743	0.392403
3	-0.100439	-0.778	0.219813
4	0.065919	0.5106	0.30575
5	0.161376	1.25	0.108074
6	0.181982	1.4096	0.081906
7	0.101557	0.7867	0.21729
8	-0.033525	-0.2597	0.397999
9	-0.051962	-0.4025	0.344374
10	-0.053204	-0.4121	0.340861
11	0.078042	0.6045	0.273891
12	0.177832	1.3775	0.08674
13	0.086464	0.6697	0.252793
14	0.005903	0.0457	0.481841
15	-0.092287	-0.7149	0.238735
16	-0.033434	-0.259	0.398269
17	0.131605	1.0194	0.156051
18	0.088763	0.6876	0.247192
19	-0.022474	-0.1741	0.431195
20	-0.100009	-0.7747	0.220789
21	-0.105315	-0.8158	0.20893
22	-0.103034	-0.7981	0.213981
23	0.031503	0.244	0.404022
24	0.093135	0.7214	0.236726
25	-0.020126	-0.1559	0.438321
26	-0.057261	-0.4435	0.329485
27	-0.180451	-1.3978	0.083664
28	-0.119788	-0.9279	0.178595
29	0.105592	0.8179	0.208323
30	-0.012843	-0.0995	0.460544
31	-0.08119	-0.6289	0.265902
32	-0.149628	-1.159	0.125521
33	-0.143246	-1.1096	0.135804
34	-0.100077	-0.7752	0.220636
35	-0.00223	-0.0173	0.493138
36	0.036972	0.2864	0.387784
37	-0.032672	-0.2531	0.400538
38	-0.01186	-0.0919	0.463554
39	-0.152323	-1.1799	0.12135
40	-0.061758	-0.4784	0.317061
41	-0.038054	-0.2948	0.384594
42	-0.023875	-0.1849	0.426951
43	-0.06818	-0.5281	0.299681
44	-0.151422	-1.1729	0.122734
45	-0.135211	-1.0473	0.149571
46	-0.06978	-0.5405	0.295421
47	-0.025574	-0.1981	0.42182
48	0.0361	0.2796	0.390363
49	0.032171	0.2492	0.402032
50	0.045537	0.3527	0.362763
51	-0.10299	-0.7978	0.214078
52	-0.004048	-0.0314	0.487545
53	0.109122	0.8453	0.200663
54	0.114734	0.8887	0.18885
55	0.074255	0.5752	0.283662
56	-0.019598	-0.1518	0.439924
57	-0.024599	-0.1905	0.424764
58	-0.015704	-0.1216	0.451795
59	-0.001391	-0.0108	0.495718
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.20759	1.608	0.056544
2	-0.008029	-0.0622	0.475307
3	-0.110971	-0.8596	0.196721
4	0.115702	0.8962	0.186857
5	0.138253	1.0709	0.144252
6	0.11074	0.8578	0.197211
7	0.058091	0.45	0.327177
8	-0.049548	-0.3838	0.351242
9	-0.033374	-0.2585	0.398449
10	-0.064075	-0.4963	0.31074
11	0.047449	0.3675	0.357256
12	0.131041	1.015	0.157082
13	0.014093	0.1092	0.456719
14	0.015862	0.1229	0.451313
15	-0.053057	-0.411	0.341276
16	-0.021763	-0.1686	0.433348
17	0.108437	0.8399	0.202136
18	-0.029816	-0.231	0.409067
19	-0.078327	-0.6067	0.273163
20	-0.044288	-0.3431	0.366378
21	-0.058139	-0.4503	0.327044
22	-0.089651	-0.6944	0.245045
23	0.027026	0.2093	0.417446
24	0.065108	0.5043	0.307941
25	-0.049589	-0.3841	0.351126
26	0.009646	0.0747	0.470344
27	-0.099794	-0.773	0.221277
28	-0.082408	-0.6383	0.262845
29	0.122186	0.9464	0.173859
30	-0.126861	-0.9827	0.16486
31	-0.078482	-0.6079	0.272769
32	-0.007745	-0.06	0.476181
33	-0.063164	-0.4893	0.313219
34	-0.042469	-0.329	0.371664
35	0.005835	0.0452	0.482049
36	0.042524	0.3294	0.371505
37	-0.008999	-0.0697	0.472329
38	0.067581	0.5235	0.301285
39	-0.058484	-0.453	0.326087
40	-0.025279	-0.1958	0.422711
41	-0.070719	-0.5478	0.292935
42	-0.067927	-0.5262	0.300357
43	-0.064403	-0.4989	0.309851
44	-0.069226	-0.5362	0.296894
45	-0.013517	-0.1047	0.458482
46	-0.024835	-0.1924	0.42405
47	-0.034194	-0.2649	0.396011
48	0.097835	0.7578	0.225761
49	0.044662	0.3459	0.365296
50	0.073214	0.5671	0.286376
51	-0.037966	-0.2941	0.384854
52	-0.007911	-0.0613	0.475669
53	0.085765	0.6643	0.254511
54	0.027267	0.2112	0.416719
55	-0.003137	-0.0243	0.490349
56	0.045738	0.3543	0.362182
57	0.035523	0.2752	0.392069
58	-0.046577	-0.3608	0.359763
59	-0.055128	-0.427	0.335447
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229942090jdz0akzwk3493st/1r6ve1229935130.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229942090jdz0akzwk3493st/1r6ve1229935130.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229942090jdz0akzwk3493st/271m51229935130.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229942090jdz0akzwk3493st/271m51229935130.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 2.0 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 2.0 ; 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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