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Q2_T3

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 29 Nov 2007 08:52:36 -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/29/t1196350918m4xr3vudz5ooufo.htm/, Retrieved Thu, 29 Nov 2007 16:41:59 +0100

User-defined keywords:

Dataseries X:

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5,74 5,72 5,24 5,16 5,1 4,89 5,14 5,39 5,29 5,24 4,97 4,73 4,57 4,65 5,09 5,04 4,91 5,28 5,21 5,16 4,93 4,65 4,26 3,87 3,94 4,05 4,03 4,05 3,9 3,81 3,96 3,57 3,33 3,97 4,44 4,27 4,29 4,3 4,27 4,15 4,08 3,83 4,35 4,72 4,73 4,5 4,28 4,13 4,1 4,19 4,23 4,22 4,17 4,5 4,34 4,14 4 4,18 4,26 4,2 4,46 4,53 4,47 4,42 4,57 4,72 4,99 5,11 5,11 5,09 4,88 4,72 4,73 4,6 4,56 4,76 4,72 4,56 4,7 4,75 5,1 5 4,67 4,52 4,53

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 2 seconds R Server 'Herman Ole Andreas Wold' @ 193.190.124.10:1001 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 0 1 9.1652 0 1 0.216727 1.9863 0.025128 2 -0.213327 -1.9552 0.973056 3 -0.079409 -0.7278 0.76562 4 -0.140606 -1.2887 0.899475 5 -0.155308 -1.4234 0.920842 6 -0.055585 -0.5094 0.694112 7 -0.010324 -0.0946 0.537578 8 0.126407 1.1585 0.124964 9 0.206776 1.8951 0.030758 10 0.120877 1.1079 0.135544 11 -0.068205 -0.6251 0.733202 12 -0.215517 -1.9752 0.974238 13 -0.071252 -0.653 0.742242 14 -0.094237 -0.8637 0.804894 15 -0.032901 -0.3015 0.618127 16 0.090395 0.8285 0.204873 17 0.032988 0.3023 0.38157 18 0.068477 0.6276 0.265983 19 0.132639 1.2157 0.11376 20 0.078162 0.7164 0.237877 21 -0.129116 -1.1834 0.879999 22 -0.168089 -1.5406 0.936408 23 0.050071 0.4589 0.323742 24 0.057767 0.5294 0.298949 25 0.003163 0.029 0.488472 26 0.085537 0.784 0.217634 27 0.156989 1.4388 0.076957 28 -0.015946 -0.1461 0.557922 29 -0.023201 -0.2126 0.583938 30 -0.003943 -0.0361 0.514371 31 -0.113075 -1.0363 0.848492 32 -0.070506 -0.6462 0.740043 33 0.029852 0.2736 0.392532 34 -0.060824 -0.5575 0.710651 35 0.016736 0.1534 0.439231 36 0.179079 1.6413 0.052239 37 -0.025915 -0.2375 0.593584 38 -0.061075 -0.5598 0.711435 39 -0.063514 -0.5821 0.718976 40 -0.164761 -1.5101 0.932609 41 -0.064231 -0.5887 0.721175 42 0.034026 0.3119 0.377964 43 0.00439 0.0402 0.484001 44 -0.015271 -0.14 0.555487 45 -0.004762 -0.0436 0.517355 46 0.065049 0.5962 0.276327 47 0.059963 0.5496 0.292035 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 0 0.216727 1.9863 0.025128 1 -0.273126 -2.5032 0.992879 2 0.043819 0.4016 0.344495 3 -0.213675 -1.9584 0.973247 4 -0.085973 -0.788 0.783529 5 -0.090147 -0.8262 0.794487 6 -0.059789 -0.548 0.707418 7 0.097895 0.8972 0.186081 8 0.107945 0.9893 0.162671 9 0.08791 0.8057 0.211343 10 -0.060757 -0.5569 0.710445 11 -0.138663 -1.2709 0.896358 12 0.050168 0.4598 0.323425 13 -0.151428 -1.3879 0.915575 14 0.059355 0.544 0.293944 15 -0.024882 -0.2281 0.58992 16 -0.062371 -0.5716 0.715455 17 0.037664 0.3452 0.365405 18 0.04738 0.4342 0.332613 19 0.137131 1.2568 0.10615 20 -0.104019 -0.9534 0.828426 21 -0.020502 -0.1879 0.574296 22 0.118178 1.0831 0.140928 23 -0.038239 -0.3505 0.636568 24 0.067801 0.6214 0.268008 25 0.0048 0.044 0.482506 26 0.169909 1.5572 0.061586 27 -0.119549 -1.0957 0.861826 28 0.070036 0.6419 0.261345 29 0.071345 0.6539 0.257484 30 -0.068594 -0.6287 0.734367 31 0.056396 0.5169 0.3033 32 -0.067504 -0.6187 0.731101 33 -0.08994 -0.8243 0.793953 34 0.047152 0.4322 0.333367 35 0.050745 0.4651 0.321537 36 -0.040963 -0.3754 0.645858 37 -0.003514 -0.0322 0.512807 38 -0.095434 -0.8747 0.807875 39 -0.140058 -1.2837 0.898604 40 0.053542 0.4907 0.312453 41 -0.047066 -0.4314 0.666345 42 -0.099515 -0.9121 0.81783 43 -0.064433 -0.5905 0.721792 44 -0.134896 -1.2363 0.890111 45 6.5e-05 6e-04 0.499763 46 0.03118 0.2858 0.387881 47 -0.055554 -0.5092 0.694014

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t1196350918m4xr3vudz5ooufo/1f8pa1196351551.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t1196350918m4xr3vudz5ooufo/1f8pa1196351551.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t1196350918m4xr3vudz5ooufo/2at5b1196351551.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t1196350918m4xr3vudz5ooufo/2at5b1196351551.ps (open in new window)

Parameters:

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 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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