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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, 03 Dec 2008 09:58:16 -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/03/t1228323645tmxqg3su20rzc4u.htm/, Retrieved Wed, 03 Dec 2008 17:00:47 +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/03/t1228323645tmxqg3su20rzc4u.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

Post a new message

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

92 95.9 108.8 103.4 102.1 110.1 83.2 82.7 106.8 113.7 102.5 96.6 92.1 95.6 102.3 98.6 98.2 104.5 84 73.8 103.9 106 97.2 102.6 89 93.8 116.7 106.8 98.5 118.7 90 91.9 113.3 113.1 104.1 108.7 96.7 101 116.9 105.8 99 129.4 83 88.9 115.9 104.2 113.4 112.2 100.8 107.3 126.6 102.9 117.9 128.8 87.5 93.8 122.7 126.2 124.6 116.7 115.2 111.1 129.9 113.3 118.5 137.9 103.6 101.7 127.4 137.5 128.3 118.2 117.1

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	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.327082	2.7946	0.003317
2	0.046708	0.3991	0.345503
3	0.364344	3.113	0.001322
4	0.168139	1.4366	0.077555
5	0.261832	2.2371	0.014167
6	0.555093	4.7427	5e-06
7	0.253831	2.1687	0.016681
8	0.133657	1.142	0.128599
9	0.267379	2.2845	0.012626
10	-0.043063	-0.3679	0.356994
11	0.180005	1.538	0.06419
12	0.651265	5.5644	0
13	0.136941	1.17	0.122898
14	-0.080562	-0.6883	0.246716
15	0.142264	1.2155	0.114045
16	-0.02723	-0.2326	0.408342
17	0.069357	0.5926	0.277645
18	0.314028	2.6831	0.004509
19	0.081984	0.7005	0.24293
20	-0.016411	-0.1402	0.444439
21	0.092743	0.7924	0.215348
22	-0.184464	-1.5761	0.059668
23	0.023218	0.1984	0.421653
24	0.352421	3.0111	0.001787
25	-0.043093	-0.3682	0.356901
26	-0.157789	-1.3481	0.09089
27	-0.018785	-0.1605	0.436466
28	-0.139622	-1.1929	0.118379
29	-0.0477	-0.4076	0.342398
30	0.120892	1.0329	0.15253
31	-0.028026	-0.2395	0.405711
32	-0.075733	-0.6471	0.259811
33	-0.0644	-0.5502	0.29192
34	-0.244053	-2.0852	0.020274
35	-0.070441	-0.6019	0.274569
36	0.169776	1.4506	0.075592

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.327082	2.7946	0.003317
2	-0.067496	-0.5767	0.282964
3	0.416348	3.5573	0.000331
4	-0.130028	-1.111	0.135116
5	0.412125	3.5212	0.000372
6	0.291292	2.4888	0.007549
7	0.058399	0.499	0.309654
8	0.061484	0.5253	0.300476
9	-0.043952	-0.3755	0.354181
10	-0.375978	-3.2124	0.00098
11	0.216429	1.8492	0.034241
12	0.36203	3.0932	0.001403
13	-0.24277	-2.0742	0.020793
14	-0.125581	-1.073	0.14341
15	-0.214726	-1.8346	0.035318
16	-0.003937	-0.0336	0.486628
17	-0.043102	-0.3683	0.356872
18	-0.039275	-0.3356	0.369082
19	0.07403	0.6325	0.264514
20	0.006225	0.0532	0.478864
21	0.109354	0.9343	0.17661
22	-0.073644	-0.6292	0.265587
23	0.080229	0.6855	0.247607
24	-0.142518	-1.2177	0.113635
25	-0.026363	-0.2252	0.411209
26	-0.026151	-0.2234	0.41191
27	-0.070008	-0.5981	0.275797
28	0.073458	0.6276	0.266105
29	-0.071419	-0.6102	0.271811
30	-0.020902	-0.1786	0.429377
31	0.056187	0.4801	0.316311
32	0.019209	0.1641	0.435043
33	-0.092293	-0.7886	0.216463
34	0.060218	0.5145	0.304228
35	-0.116096	-0.9919	0.162256
36	0.13593	1.1614	0.124635

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228323645tmxqg3su20rzc4u/12auk1228323494.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228323645tmxqg3su20rzc4u/12auk1228323494.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228323645tmxqg3su20rzc4u/2mrhd1228323494.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228323645tmxqg3su20rzc4u/2mrhd1228323494.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; 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 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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