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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: Tue, 23 Dec 2008 09:11:12 -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/23/t123004877899f1ize00d44zwu.htm/, Retrieved Tue, 23 Dec 2008 17:12:58 +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/23/t123004877899f1ize00d44zwu.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 «

0.2 0.8 1.2 4.5 0.4 5.9 6.5 12.8 4.2 -3.3 -12.5 -16.3 -10.5 -11.8 -11.4 -17.7 -17.3 -18.6 -17.9 -21.4 -19.4 -15.5 -7.7 -0.7 -1.6 1.4 0.7 9.5 1.4 4.1 6.6 18.4 16.9 9.2 -4.3 -5.9 -7.7 -5.4 -2.3 -4.8 2.3 -5.2 -10 -17.1 -14.4 -3.9 3.7 6.5 0.9 -4.1 -7 -12.2 -2.5 4.4 13.7 12.3 13.4 2.2 1.7 -7.2 -4.8 -2.9 -2.4 -2.5 -5.3 -7.1 -8 -8.9 -7.7 -1.1 4 9.6 10.9 13

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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.215169	1.8384	0.035035
2	0.153704	1.3132	0.096606
3	-0.456506	-3.9004	0.000106
4	-0.191758	-1.6384	0.052823
5	-0.145984	-1.2473	0.108139
6	0.031728	0.2711	0.393544
7	0.154062	1.3163	0.096095
8	0.219404	1.8746	0.032425
9	0.260283	2.2239	0.014626
10	-0.12638	-1.0798	0.141894
11	-0.300342	-2.5661	0.006168
12	-0.553781	-4.7315	5e-06
13	-0.168942	-1.4434	0.076587
14	-0.024465	-0.209	0.417505
15	0.258726	2.2106	0.0151
16	0.134232	1.1469	0.127589
17	0.067929	0.5804	0.281722
18	0.004759	0.0407	0.483837
19	-0.142639	-1.2187	0.11344
20	-0.133471	-1.1404	0.128929
21	-0.166749	-1.4247	0.079252
22	0.021691	0.1853	0.426742
23	0.217576	1.859	0.033531
24	0.294872	2.5194	0.006972
25	0.210495	1.7985	0.038119
26	0.017973	0.1536	0.439188
27	-0.108928	-0.9307	0.177544
28	-0.141353	-1.2077	0.115527
29	-0.015442	-0.1319	0.447699
30	-0.035559	-0.3038	0.381065
31	0.129831	1.1093	0.135476
32	0.042042	0.3592	0.360239
33	0.152892	1.3063	0.097774
34	-0.043491	-0.3716	0.355638
35	-0.12273	-1.0486	0.148909
36	-0.244502	-2.089	0.020096
37	-0.196897	-1.6823	0.048393
38	9.9e-05	8e-04	0.499663
39	0.040074	0.3424	0.36652
40	0.162533	1.3887	0.084575
41	0.010681	0.0913	0.463767
42	0.037128	0.3172	0.375991
43	-0.096272	-0.8226	0.206721
44	-0.061042	-0.5215	0.301783
45	-0.070904	-0.6058	0.273263
46	0.027251	0.2328	0.408272
47	0.124375	1.0627	0.14572
48	0.09951	0.8502	0.198994

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.215169	1.8384	0.035035
2	0.11262	0.9622	0.169556
3	-0.54172	-4.6285	8e-06
4	0.009935	0.0849	0.466294
5	0.124054	1.0599	0.146339
6	-0.245487	-2.0974	0.019709
7	0.153597	1.3123	0.096759
8	0.273157	2.3339	0.01118
9	0.039993	0.3417	0.366778
10	-0.351965	-3.0072	0.001807
11	-0.16827	-1.4377	0.077396
12	-0.229098	-1.9574	0.027061
13	-0.106263	-0.9079	0.183457
14	-0.08455	-0.7224	0.23618
15	-0.101952	-0.8711	0.193282
16	-0.051955	-0.4439	0.329211
17	-0.101404	-0.8664	0.194555
18	0.103129	0.8811	0.190568
19	-0.009028	-0.0771	0.469363
20	-0.054081	-0.4621	0.322702
21	0.045291	0.387	0.349952
22	-0.212715	-1.8174	0.036627
23	0.004557	0.0389	0.484525
24	0.070021	0.5983	0.275759
25	-0.019908	-0.1701	0.432702
26	0.012405	0.106	0.45794
27	0.010964	0.0937	0.462811
28	-0.028655	-0.2448	0.403639
29	0.129873	1.1096	0.135399
30	-0.058856	-0.5029	0.308287
31	0.002933	0.0251	0.490038
32	-0.015997	-0.1367	0.44583
33	-0.033501	-0.2862	0.387754
34	-0.040742	-0.3481	0.364384
35	-0.036216	-0.3094	0.37894
36	-0.038613	-0.3299	0.371208
37	-0.069687	-0.5954	0.276706
38	0.030079	0.257	0.398954
39	-0.058445	-0.4994	0.309515
40	0.06923	0.5915	0.278005
41	0.027344	0.2336	0.407964
42	-0.07106	-0.6071	0.272823
43	0.045302	0.3871	0.349917
44	-0.052617	-0.4496	0.327181
45	0.09519	0.8133	0.209345
46	-0.018204	-0.1555	0.438414
47	-0.055672	-0.4757	0.317869
48	-0.076108	-0.6503	0.258782

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t123004877899f1ize00d44zwu/1rpe21230048666.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t123004877899f1ize00d44zwu/1rpe21230048666.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t123004877899f1ize00d44zwu/244bc1230048666.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t123004877899f1ize00d44zwu/244bc1230048666.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1.0 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; 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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