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b-r0245095

*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: Wed, 22 Dec 2010 15:32:51 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/22/t1293031854tqvml8ixswj3oug.htm/, Retrieved Wed, 22 Dec 2010 16:30:54 +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/2010/Dec/22/t1293031854tqvml8ixswj3oug.htm/},
    year = {2010},
}
@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 = {2010},
    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 «

0.86 0.88 0.93 0.98 0.97 1.03 1.06 1.06 1.08 1.09 1.04 1.00 1.01 1.02 1.04 1.06 1.06 1.06 1.06 1.06 1.02 0.98 0.99 0.99 0.94 0.96 0.98 1.01 1.01 1.02 1.04 1.03 1.05 1.08 1.17 1.11 1.11 1.11 1.11 1.21 1.31 1.37 1.37 1.26 1.23 1.17 1.06 0.95 0.92 0.92 0.90 0.93 0.93 0.97 0.96 0.99 0.98 0.96 1.00 0.99 1.03

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.410923	3.183	0.001155
2	0.21778	1.6869	0.048406
3	0.083618	0.6477	0.259825
4	-0.073801	-0.5717	0.284843
5	-0.145825	-1.1296	0.131579
6	-0.229493	-1.7776	0.040265
7	-0.09798	-0.7589	0.225427
8	-0.158757	-1.2297	0.111799
9	-0.121032	-0.9375	0.176127
10	-0.055701	-0.4315	0.33384
11	0.057118	0.4424	0.329882
12	-0.015028	-0.1164	0.45386
13	-0.10718	-0.8302	0.204855
14	-0.009788	-0.0758	0.469908
15	-0.111997	-0.8675	0.194556
16	-0.158491	-1.2277	0.112184
17	-0.119972	-0.9293	0.178229
18	-0.137549	-1.0654	0.145471
19	-0.007607	-0.0589	0.476603
20	-0.084072	-0.6512	0.258695
21	0.011717	0.0908	0.463992
22	0.052037	0.4031	0.344162
23	0.009846	0.0763	0.46973
24	0.108275	0.8387	0.202484
25	0.133442	1.0336	0.152727
26	0.194591	1.5073	0.068491
27	0.091422	0.7081	0.240797
28	0.037191	0.2881	0.38714
29	-0.075639	-0.5859	0.280072
30	-0.102005	-0.7901	0.216282
31	0.006221	0.0482	0.480863
32	0.023407	0.1813	0.428369
33	0.064398	0.4988	0.309864
34	0.052788	0.4089	0.342037
35	0.09471	0.7336	0.233019
36	0.146428	1.1342	0.130605
37	0.091953	0.7123	0.23953
38	0.007645	0.0592	0.476489
39	0.007678	0.0595	0.476386
40	-0.109867	-0.851	0.19907
41	-0.15337	-1.188	0.119758
42	-0.134216	-1.0396	0.151341
43	-0.091363	-0.7077	0.240937
44	-0.113274	-0.8774	0.191881
45	-0.083773	-0.6489	0.259438
46	0.004463	0.0346	0.48627
47	-0.009849	-0.0763	0.469723
48	0.003293	0.0255	0.489867
49	-0.006593	-0.0511	0.479721
50	0.019245	0.1491	0.440998
51	-0.006068	-0.047	0.481333
52	0.017008	0.1317	0.447815
53	0.022153	0.1716	0.432166
54	-0.012972	-0.1005	0.460147
55	0.025134	0.1947	0.423147
56	0.002552	0.0198	0.492146
57	0.01635	0.1266	0.449821
58	0.014034	0.1087	0.4569
59	0.005842	0.0453	0.482029
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.410923	3.183	0.001155
2	0.058862	0.4559	0.325038
3	-0.029934	-0.2319	0.408714
4	-0.132113	-1.0233	0.155128
5	-0.091608	-0.7096	0.240353
6	-0.139916	-1.0838	0.141398
7	0.088738	0.6874	0.247252
8	-0.129732	-1.0049	0.159491
9	-0.03616	-0.2801	0.390185
10	-0.014929	-0.1156	0.454162
11	0.101254	0.7843	0.217972
12	-0.131493	-1.0185	0.156256
13	-0.13388	-1.037	0.151942
14	0.032005	0.2479	0.402524
15	-0.116765	-0.9045	0.184685
16	-0.118686	-0.9193	0.180799
17	-0.024768	-0.1919	0.424252
18	-0.139376	-1.0796	0.142319
19	0.079171	0.6133	0.271012
20	-0.144115	-1.1163	0.13437
21	-0.025394	-0.1967	0.422363
22	-0.046172	-0.3576	0.360933
23	-0.060696	-0.4701	0.319977
24	0.064593	0.5003	0.309334
25	0.028	0.2169	0.414517
26	0.0558	0.4322	0.333564
27	-0.023287	-0.1804	0.428732
28	-0.092794	-0.7188	0.237534
29	-0.126038	-0.9763	0.166421
30	-0.04159	-0.3222	0.374229
31	0.120353	0.9323	0.177471
32	0.057817	0.4478	0.327939
33	-0.043569	-0.3375	0.368464
34	0.031472	0.2438	0.404116
35	0.036766	0.2848	0.388393
36	0.090536	0.7013	0.242916
37	0.038231	0.2961	0.384073
38	-0.118055	-0.9144	0.182071
39	0.120671	0.9347	0.17684
40	-0.073404	-0.5686	0.285879
41	-0.008898	-0.0689	0.472641
42	0.004201	0.0325	0.487073
43	0.003808	0.0295	0.488284
44	-0.026819	-0.2077	0.418068
45	-0.047319	-0.3665	0.357629
46	0.021598	0.1673	0.433849
47	-0.032994	-0.2556	0.399578
48	0.007797	0.0604	0.47602
49	0.03451	0.2673	0.395073
50	-0.089632	-0.6943	0.245091
51	0.003115	0.0241	0.490415
52	0.06618	0.5126	0.305047
53	-0.069598	-0.5391	0.295905
54	0.003623	0.0281	0.488853
55	0.066083	0.5119	0.305308
56	-0.047916	-0.3712	0.355916
57	-0.033836	-0.2621	0.397075
58	-0.108968	-0.8441	0.200993
59	0.008424	0.0653	0.474095
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/22/t1293031854tqvml8ixswj3oug/14js01293031966.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/22/t1293031854tqvml8ixswj3oug/14js01293031966.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/22/t1293031854tqvml8ixswj3oug/24js01293031966.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/22/t1293031854tqvml8ixswj3oug/24js01293031966.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1.0 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ;

Parameters (R input):

par1 = 60 ; par2 = 1.0 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ;

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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