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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: Wed, 28 Nov 2007 11:09:48 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2007/Nov/28/t1196272876hgjwc2uvm50nr0a.htm/, Retrieved Wed, 28 Nov 2007 19:01:18 +0100

User-defined keywords:

Dataseries X:

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7.6 7.7 7.6 8.2 8 8.1 8.3 8.2 8.1 7.7 7.6 7.7 8.2 8.4 8.4 8.6 8.4 8.5 8.7 8.7 8.6 7.4 7.3 7.4 9 9.2 9.2 8.5 8.3 8.3 8.6 8.6 8.5 8.1 8.1 8 8.6 8.7 8.7 8.6 8.4 8.4 8.7 8.7 8.5 8.3 8.3 8.3 8.1 8.2 8.1 8.1 7.9 7.7 8.1 8 7.7 7.8 7.6 7.4 7.7

Text written by user:

Output produced by software:

Summary of compuational 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 0 1 7.8102 0 1 0.672818 5.2549 1e-06 2 0.272097 2.1251 0.018816 3 -0.066092 -0.5162 0.696209 4 -0.034108 -0.2664 0.604581 5 0.108442 0.847 0.200165 6 0.219851 1.7171 0.045518 7 0.162414 1.2685 0.104721 8 0.024598 0.1921 0.424144 9 -0.027037 -0.2112 0.583268 10 0.081755 0.6385 0.262761 11 0.229372 1.7915 0.03909 12 0.309474 2.4171 0.009326 13 0.129537 1.0117 0.157835 14 -0.100968 -0.7886 0.783296 15 -0.294309 -2.2986 0.987517 16 -0.277278 -2.1656 0.98287 17 -0.156357 -1.2212 0.886643 18 -0.048867 -0.3817 0.647982 19 -0.030854 -0.241 0.594808 20 -0.09063 -0.7078 0.759131 21 -0.070194 -0.5482 0.707232 22 -0.089732 -0.7008 0.756963 23 -0.064504 -0.5038 0.69189 24 -0.090772 -0.709 0.759473 25 -0.087907 -0.6866 0.752524 26 -0.140054 -1.0939 0.860841 27 -0.1643 -1.2832 0.897867 28 -0.189585 -1.4807 0.928084 29 -0.154 -1.2028 0.883146 30 -0.11332 -0.8851 0.810199 31 -0.115633 -0.9031 0.814994 32 -0.170397 -1.3308 0.905904 33 -0.18887 -1.4751 0.927338 34 -0.174456 -1.3625 0.910983 35 -0.102413 -0.7999 0.786556 36 -0.042223 -0.3298 0.62865 37 -0.007262 -0.0567 0.522521 38 -0.058024 -0.4532 0.673987 39 -0.108814 -0.8499 0.800638 40 -0.149469 -1.1674 0.876201 41 -0.1341 -1.0474 0.850465 42 -0.099277 -0.7754 0.779443 43 -0.060992 -0.4764 0.68224 44 -0.037121 -0.2899 0.613572 45 -0.013334 -0.1041 0.541299 46 0.027347 0.2136 0.415791 47 0.061215 0.4781 0.317144 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 0 0.672818 5.2549 1e-06 1 -0.329951 -2.577 0.9938 2 -0.179551 -1.4023 0.917058 3 0.398266 3.1106 0.001419 4 0.010301 0.0805 0.46807 5 -0.07029 -0.549 0.707489 6 0.012793 0.0999 0.460368 7 -0.038341 -0.2995 0.617194 8 0.123351 0.9634 0.169575 9 0.177656 1.3875 0.085163 10 -0.000691 -0.0054 0.502144 11 0.086018 0.6718 0.252118 12 -0.268382 -2.0961 0.979887 13 -0.060452 -0.4721 0.680746 14 -0.069624 -0.5438 0.705713 15 -0.132719 -1.0366 0.847986 16 0.009025 0.0705 0.472018 17 -0.07969 -0.6224 0.732001 18 0.009334 0.0729 0.47106 19 0.014041 0.1097 0.456517 20 0.109211 0.853 0.198508 21 -0.256817 -2.0058 0.975341 22 0.019016 0.1485 0.441213 23 0.03092 0.2415 0.404991 24 0.068608 0.5358 0.297006 25 -0.078863 -0.6159 0.729886 26 0.006152 0.0481 0.480917 27 -0.071143 -0.5556 0.709758 28 0.000198 0.0015 0.499387 29 -0.043043 -0.3362 0.631055 30 -0.234249 -1.8295 0.963897 31 -0.066107 -0.5163 0.696249 32 -0.039585 -0.3092 0.620876 33 0.048008 0.375 0.354497 34 -0.004819 -0.0376 0.51495 35 0.0633 0.4944 0.311405 36 -0.065915 -0.5148 0.695727 37 -0.064091 -0.5006 0.69076 38 -0.029156 -0.2277 0.589687 39 -0.030818 -0.2407 0.5947 40 -0.047229 -0.3689 0.643248 41 -0.108207 -0.8451 0.799327 42 0.107478 0.8394 0.202253 43 0.036253 0.2831 0.389012 44 0.040526 0.3165 0.376344 45 -0.09193 -0.718 0.76225 46 -0.056854 -0.444 0.670708 47 0.007284 0.0569 0.477409

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/28/t1196272876hgjwc2uvm50nr0a/1gpwq1196273386.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/28/t1196272876hgjwc2uvm50nr0a/1gpwq1196273386.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/28/t1196272876hgjwc2uvm50nr0a/2kkpx1196273386.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/28/t1196272876hgjwc2uvm50nr0a/2kkpx1196273386.ps (open in new window)

Parameters:

par1 = 48 ; par2 = 1 ; 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 1:par1) { 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(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-1,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(mytstat,lengthx),6)) a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable1.tab')

Copyright

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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