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law of averages q8 (d)

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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, 02 Dec 2008 13:23:08 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/02/t1228249435i4k6wmqtd0efzlt.htm/, Retrieved Tue, 02 Dec 2008 20:23:55 +0000

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/2008/Dec/02/t1228249435i4k6wmqtd0efzlt.htm/},
    year = {2008},
}
@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 = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
test

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

61,5 88,5 93,3 89,2 101,3 97 102,2 100,3 78,2 105,9 119,9 108 77 93,1 109,5 100,4 99 113,9 102,1 101,6 84 110,7 111,6 110,7 73,1 87,5 109,6 99,3 92,1 109,3 94,5 91,4 82,9 103,3 96 104,8 65,8 78,7 100,3 85 94,5 97,9 91,9 87,2 84,4 99,2 105,4 110,9 69,8 86,8 106,7 88,8 96,9 108,1 93,7 94,8 79,8 95,6 107,9 104,9 61,9 85,7 92,4 86,4 99,3 95,5 97 102,1 77,8 105,5 113,2 108,8 66,9 89,3 93,6 92 99,5 98,6 94,6 96,7 75,3 102,5 115,1 104,7 71,4

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	-0.595441	-5.0525	2e-06
2	-0.002026	-0.0172	0.493164
3	0.357942	3.0372	0.001662
4	-0.225373	-1.9124	0.029905
5	-0.082765	-0.7023	0.242384
6	0.318605	2.7035	0.004278
7	-0.269097	-2.2834	0.012681
8	-0.004941	-0.0419	0.483337
9	0.228272	1.9369	0.028338
10	-0.287119	-2.4363	0.008657
11	0.145229	1.2323	0.110922
12	-0.016	-0.1358	0.446194
13	-0.075265	-0.6386	0.26254
14	0.008878	0.0753	0.470081
15	0.109657	0.9305	0.177619
16	-0.174069	-1.477	0.072015
17	0.087586	0.7432	0.229893
18	0.085174	0.7227	0.236096
19	-0.133894	-1.1361	0.129836
20	0.044063	0.3739	0.354794
21	0.130178	1.1046	0.136506
22	-0.250573	-2.1262	0.018459
23	0.301732	2.5603	0.006278
24	-0.165098	-1.4009	0.08277
25	-0.066812	-0.5669	0.286266
26	0.140968	1.1962	0.117781
27	-0.038737	-0.3287	0.37167
28	-0.121386	-1.03	0.153231
29	0.201024	1.7057	0.046183
30	-0.186781	-1.5849	0.058687
31	0.022513	0.191	0.424522
32	0.137221	1.1644	0.124061
33	-0.194209	-1.6479	0.051863
34	0.079215	0.6722	0.251816
35	0.051688	0.4386	0.331136
36	-0.091308	-0.7748	0.220504

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.595441	-5.0525	2e-06
2	-0.552446	-4.6877	6e-06
3	0.060473	0.5131	0.304715
4	0.287697	2.4412	0.008549
5	0.026987	0.229	0.409761
6	0.149017	1.2644	0.105073
7	0.027014	0.2292	0.409672
8	-0.162518	-1.379	0.08608
9	-0.066186	-0.5616	0.288064
10	-0.181329	-1.5386	0.064139
11	-0.006448	-0.0547	0.47826
12	-0.117913	-1.0005	0.160204
13	-0.050241	-0.4263	0.335577
14	-0.090448	-0.7675	0.222654
15	0.074916	0.6357	0.263499
16	0.071832	0.6095	0.272052
17	-0.023706	-0.2012	0.420573
18	0.108224	0.9183	0.180761
19	0.128857	1.0934	0.138934
20	-0.031917	-0.2708	0.393652
21	0.058644	0.4976	0.310136
22	-0.242841	-2.0606	0.021479
23	0.194427	1.6498	0.051673
24	0.005516	0.0468	0.481401
25	-0.085644	-0.7267	0.234878
26	-0.224629	-1.906	0.030319
27	-0.099477	-0.8441	0.200707
28	0.043318	0.3676	0.357138
29	0.154557	1.3115	0.096934
30	-0.014289	-0.1212	0.451918
31	0.0176	0.1493	0.440852
32	-0.041494	-0.3521	0.362902
33	0.01503	0.1275	0.449436
34	-0.139896	-1.1871	0.119553
35	0.020561	0.1745	0.430993
36	-0.0161	-0.1366	0.44586

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228249435i4k6wmqtd0efzlt/14kxj1228249384.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228249435i4k6wmqtd0efzlt/14kxj1228249384.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228249435i4k6wmqtd0efzlt/2bl661228249384.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228249435i4k6wmqtd0efzlt/2bl661228249384.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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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