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Autocorrelation2 Brutoschuld/Samira Allouch

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 04 Jun 2009 02:03:30 -0600

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Jun/04/t1244102692a3amagbolwz4lrg.htm/, Retrieved Thu, 04 Jun 2009 10:04:54 +0200

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/2009/Jun/04/t1244102692a3amagbolwz4lrg.htm/},
    year = {2009},
}
@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 = {2009},
    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 «

260288 261544 259886 257006 259670 258873 264416 263596 262586 260237 261690 259295 264170 264451 265538 261723 266189 265073 267007 266376 267406 262742 260300 263074 265940 264771 268403 264264 264118 266817 269296 269001 266707 267507 267510 267420 270845 270671 273653 271567 268372 268160 267879 271142 271323 269478 271008 269145 271684 273582 279475 276188 278422 281084 278618 280738 288897 282129 286406 284288 286139 288275 287670 286864 288798 288316 286915 288006 293338 303730 306248 305700 314849

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.187577	-1.5916	0.057923
2	0.053833	0.4568	0.324598
3	-0.017327	-0.147	0.441763
4	0.015662	0.1329	0.447323
5	-0.062736	-0.5323	0.298067
6	0.222534	1.8883	0.03151
7	-0.081954	-0.6954	0.24452
8	0.126438	1.0729	0.143458
9	-0.23203	-1.9688	0.026411
10	0.053812	0.4566	0.324662
11	-0.130455	-1.1069	0.136002
12	0.200749	1.7034	0.046402
13	0.048217	0.4091	0.341827
14	0.121562	1.0315	0.152882
15	-0.226889	-1.9252	0.029076
16	-0.012745	-0.1081	0.457091
17	0.061156	0.5189	0.302701
18	0.03713	0.3151	0.376816
19	0.115371	0.979	0.16544
20	0.226568	1.9225	0.02925
21	-0.230615	-1.9568	0.027122
22	0.062463	0.53	0.298865
23	-0.026362	-0.2237	0.411816
24	0.056483	0.4793	0.316597
25	-0.000395	-0.0033	0.498669
26	0.112003	0.9504	0.172551
27	-0.062494	-0.5303	0.298774
28	-0.169121	-1.435	0.077803
29	-0.093554	-0.7938	0.214951
30	0.100306	0.8511	0.198762
31	-0.073317	-0.6221	0.267916
32	0.12771	1.0837	0.141066
33	-0.090529	-0.7682	0.22245
34	-0.002165	-0.0184	0.492697
35	-0.118548	-1.0059	0.158913
36	0.087342	0.7411	0.230516
37	-0.041372	-0.3511	0.363287
38	0.064619	0.5483	0.292588
39	-0.042276	-0.3587	0.360427
40	0.065004	0.5516	0.291473
41	-0.195067	-1.6552	0.051118
42	0.052464	0.4452	0.328766
43	0.00342	0.029	0.488465
44	0.120321	1.021	0.155347
45	-0.123113	-1.0446	0.149841
46	0.121024	1.0269	0.153947
47	-0.202473	-1.718	0.045043
48	-0.029224	-0.248	0.402429

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.187577	-1.5916	0.057923
2	0.019329	0.164	0.435092
3	-0.003938	-0.0334	0.486717
4	0.011132	0.0945	0.462505
5	-0.05947	-0.5046	0.307683
6	0.207696	1.7624	0.041126
7	-0.002977	-0.0253	0.489959
8	0.104821	0.8894	0.188365
9	-0.207451	-1.7603	0.041304
10	-0.025504	-0.2164	0.41464
11	-0.117594	-0.9978	0.160855
12	0.14613	1.24	0.109509
13	0.140212	1.1897	0.119029
14	0.123911	1.0514	0.148291
15	-0.142134	-1.2061	0.115873
16	-0.141471	-1.2004	0.116955
17	0.142955	1.213	0.114545
18	-0.01525	-0.1294	0.448701
19	0.169045	1.4344	0.077895
20	0.177199	1.5036	0.068531
21	-0.078306	-0.6645	0.254262
22	-0.000858	-0.0073	0.497107
23	0.025118	0.2131	0.415913
24	0.031676	0.2688	0.394435
25	-0.110941	-0.9414	0.174832
26	0.015358	0.1303	0.448338
27	0.025006	0.2122	0.416283
28	-0.133139	-1.1297	0.131171
29	-0.052914	-0.449	0.327394
30	0.005939	0.0504	0.479976
31	-0.08328	-0.7067	0.241032
32	0.001318	0.0112	0.495554
33	-0.045953	-0.3899	0.348873
34	0.047916	0.4066	0.342761
35	0.002182	0.0185	0.492639
36	0.011683	0.0991	0.460654
37	-0.11502	-0.976	0.166173
38	-0.023872	-0.2026	0.420024
39	-0.088459	-0.7506	0.227671
40	0.070718	0.6001	0.275173
41	-0.006397	-0.0543	0.478431
42	-0.040924	-0.3473	0.364708
43	-0.008557	-0.0726	0.47116
44	0.04671	0.3963	0.34651
45	-0.005538	-0.047	0.481325
46	0.027277	0.2314	0.408811
47	-0.055434	-0.4704	0.319754
48	-0.062336	-0.5289	0.299239

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244102692a3amagbolwz4lrg/1lcpf1244102608.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244102692a3amagbolwz4lrg/1lcpf1244102608.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244102692a3amagbolwz4lrg/2bh2a1244102608.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244102692a3amagbolwz4lrg/2bh2a1244102608.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; 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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