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PaperTimDamen

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 01 Feb 2011 18:25:09 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2011/Feb/01/t12965845405m9d6weaepopp8b.htm/, Retrieved Tue, 01 Feb 2011 19:22:23 +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/2011/Feb/01/t12965845405m9d6weaepopp8b.htm/},
    year = {2011},
}
@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 = {2011},
    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 «

349 336 331 327 323 322 385 405 412 411 410 415 414 411 408 410 411 416 479 498 502 498 499 506 510 509 502 495 490 490 553 570 573 572 575 580 580 574 563 556 546 545 605 628 631 626 614 606 602 589 574 558 552 546 607 636 631 623 618 605 619 596 570 546 528 506 555 568 564 553 541 542 540 521 505 491 482 478 523 531 532 540 525 533 531 508 495 482 470 466 515 518 516 511 500 498 494 476 458 443 430 424 476 481 470 460 451 450 444 429 421 400 389 384 432 446 431 423 416 416 413 399 386 374 365 365 418 428 424 421 417 423 423 419 406 398 390 391 444 460 455 456 452 459 461 451 443 439 430 436 488 506 502 501 501 515 521 520 512 509 505 511 570 592 594 586 586 592 594 594 586 586 572 572 563 563 555 555 554 554 601 601 622 622 617 617 606 606 595 595 599 599 600 600 592 592 575 575 567 567 555 555 555 555 608 etc...

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' @ www.yougetit.org

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.062233	1.362	0.086913
2	0.341927	7.4834	0
3	0.020876	0.4569	0.323974
4	-0.004315	-0.0944	0.4624
5	-0.002764	-0.0605	0.475897
6	-0.06016	-1.3167	0.094292
7	-0.001918	-0.042	0.483267
8	-0.028726	-0.6287	0.264924
9	0.010467	0.2291	0.40945
10	-0.281446	-6.1597	0
11	0.000932	0.0204	0.49187
12	-0.753589	-16.4931	0
13	-0.014013	-0.3067	0.37961
14	-0.285597	-6.2506	0
15	-0.027313	-0.5978	0.27514
16	0.001748	0.0383	0.484745
17	0.010223	0.2237	0.411524
18	0.084829	1.8566	0.031993
19	0.020884	0.4571	0.323911
20	0.05198	1.1376	0.127918
21	0.013607	0.2978	0.382987
22	0.26108	5.714	0
23	0.005797	0.1269	0.449549
24	0.639696	14.0004	0
25	-0.005194	-0.1137	0.454768
26	0.255728	5.5969	0
27	-0.014232	-0.3115	0.377788
28	-0.011931	-0.2611	0.397053
29	-0.019131	-0.4187	0.33781
30	-0.110241	-2.4127	0.008104
31	-0.022684	-0.4965	0.3099
32	-0.072075	-1.5774	0.057677
33	-0.01589	-0.3478	0.364079
34	-0.271239	-5.9363	0
35	-0.01754	-0.3839	0.350616
36	-0.623063	-13.6364	0
37	-0.000922	-0.0202	0.49195
38	-0.244347	-5.3478	0
39	0.007492	0.164	0.434909
40	0.014664	0.3209	0.374196
41	0.021212	0.4642	0.32134
42	0.106742	2.3362	0.009947
43	0.00543	0.1188	0.452728
44	0.077958	1.7062	0.044309
45	-0.006984	-0.1528	0.439292
46	0.270148	5.9125	0
47	0.016973	0.3715	0.355222
48	0.580456	12.7039	0
49	-0.001982	-0.0434	0.482709
50	0.211951	4.6388	2e-06
51	0.000459	0.01	0.495997
52	-0.020229	-0.4427	0.32908
53	-0.026588	-0.5819	0.280449
54	-0.087246	-1.9095	0.028399
55	0.002395	0.0524	0.479112
56	-0.068065	-1.4897	0.068484
57	0.015441	0.3379	0.367781
58	-0.261108	-5.7146	0
59	-0.015182	-0.3323	0.369912
60	-0.548126	-11.9963	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.062233	1.362	0.086913
2	0.339368	7.4274	0
3	-0.016226	-0.3551	0.36133
4	-0.136802	-2.9941	0.001448
5	0.001433	0.0314	0.487498
6	-0.013233	-0.2896	0.386117
7	0.005397	0.1181	0.453009
8	-0.002102	-0.046	0.481663
9	0.011626	0.2544	0.399632
10	-0.322451	-7.0572	0
11	0.024026	0.5258	0.299625
12	-0.702208	-15.3686	0
13	0.164895	3.6089	0.00017
14	0.115004	2.517	0.006081
15	-0.029884	-0.654	0.256699
16	-0.095074	-2.0808	0.018991
17	0.07368	1.6126	0.053748
18	-0.0868	-1.8997	0.029035
19	0.076225	1.6683	0.047959
20	0.003322	0.0727	0.471037
21	0.090117	1.9723	0.024574
22	0.007102	0.1554	0.438269
23	0.088504	1.937	0.026666
24	0.106907	2.3398	0.009853
25	-0.035948	-0.7868	0.215908
26	-0.025778	-0.5642	0.286448
27	-0.076652	-1.6776	0.047037
28	0.020748	0.4541	0.324986
29	0.043086	0.943	0.173082
30	-0.008848	-0.1937	0.423263
31	-0.021905	-0.4794	0.315931
32	-0.0148	-0.3239	0.373074
33	-0.025373	-0.5553	0.289465
34	-0.094458	-2.0673	0.01962
35	-0.01561	-0.3416	0.366389
36	-0.19912	-4.358	8e-06
37	0.038199	0.836	0.201777
38	0.048515	1.0618	0.144432
39	-0.036008	-0.7881	0.21552
40	-0.065989	-1.4442	0.074663
41	0.043831	0.9593	0.168949
42	-0.130564	-2.8575	0.002228
43	-0.000165	-0.0036	0.498559
44	0.043613	0.9545	0.17015
45	-0.017633	-0.3859	0.349862
46	0.02158	0.4723	0.318465
47	0.070277	1.5381	0.062344
48	0.014934	0.3268	0.371963
49	-0.031526	-0.69	0.245273
50	-0.031723	-0.6943	0.243921
51	0.029605	0.6479	0.258667
52	0.026535	0.5808	0.280841
53	0.025271	0.5531	0.290231
54	0.085765	1.8771	0.030559
55	-0.016	-0.3502	0.363178
56	0.009149	0.2002	0.420692
57	-0.020124	-0.4404	0.329911
58	-0.023317	-0.5103	0.305032
59	-0.004973	-0.1088	0.456689
60	-0.049333	-1.0797	0.140408

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/Feb/01/t12965845405m9d6weaepopp8b/1ppqj1296584706.png (open in new window)

http://www.freestatistics.org/blog/date/2011/Feb/01/t12965845405m9d6weaepopp8b/1ppqj1296584706.ps (open in new window)

http://www.freestatistics.org/blog/date/2011/Feb/01/t12965845405m9d6weaepopp8b/2kzsu1296584706.png (open in new window)

http://www.freestatistics.org/blog/date/2011/Feb/01/t12965845405m9d6weaepopp8b/2kzsu1296584706.ps (open in new window)

http://www.freestatistics.org/blog/date/2011/Feb/01/t12965845405m9d6weaepopp8b/3qj5d1296584706.png (open in new window)

http://www.freestatistics.org/blog/date/2011/Feb/01/t12965845405m9d6weaepopp8b/3qj5d1296584706.ps (open in new window)

Parameters (Session):

par1 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

if (par8 != '') par8 <- as.numeric(par8)

ox <- x

if (par8 == '') {

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

} else {

x <- log(x,base=par8)

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='picts.png')

op <- par(mfrow=c(2,1))

plot(ox,type='l',main='Original Time Series',xlab='time',ylab='value')

if (par8=='') {

mytitle <- paste('Working Time Series (lambda=',par2,', d=',par3,', D=',par4,')',sep='')

mysub <- paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')

} else {

mytitle <- paste('Working Time Series (base=',par8,', d=',par3,', D=',par4,')',sep='')

mysub <- paste('(base=',par8,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')

}

plot(x,type='l', main=mytitle,xlab='time',ylab='value')

par(op)

dev.off()

bitmap(file='pic1.png')

racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=mysub)

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF',sub=mysub)

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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