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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: Thu, 04 Dec 2008 09:11:33 -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/04/t1228407119cc0dadeadlzv4vp.htm/, Retrieved Thu, 04 Dec 2008 16:11:59 +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/04/t1228407119cc0dadeadlzv4vp.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 «

100.8 100.7 86.2 83.2 71.7 77.5 89.8 80.3 78.7 93.8 57.6 60.6 91 85.3 77.4 77.3 68.3 69.9 81.7 75.1 69.9 84 54.3 60 89.9 77 85.3 77.6 69.2 75.5 85.7 72.2 79.9 85.3 52.2 61.2 82.4 85.4 78.2 70.2 70.2 69.3 77.5 66.1 69 79.2 56.2 63.3 77.8 92 78.1 65.1 71.1 70.9 72 81.9 70.6 72.5 65.1 61.1

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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.16531	1.1453	0.128881
2	0.177121	1.2271	0.112879
3	0.465728	3.2267	0.001129
4	0.042611	0.2952	0.384549
5	0.093185	0.6456	0.260806
6	0.211663	1.4664	0.074524
7	-0.053613	-0.3714	0.355971
8	-0.011701	-0.0811	0.467864
9	0.057203	0.3963	0.346816
10	-0.203551	-1.4102	0.082458
11	-0.220645	-1.5287	0.066455
12	-0.193214	-1.3386	0.093499
13	-0.243572	-1.6875	0.048996
14	-0.229694	-1.5914	0.059046
15	-0.148959	-1.032	0.153618
16	-0.218743	-1.5155	0.068103
17	-0.142711	-0.9887	0.163876
18	0.072104	0.4996	0.309836
19	-0.130959	-0.9073	0.184387
20	0.001955	0.0135	0.494625
21	0.143122	0.9916	0.163188
22	-0.011963	-0.0829	0.467145
23	0.287348	1.9908	0.026106
24	0.051575	0.3573	0.361208
25	0.060725	0.4207	0.337919
26	0.253001	1.7528	0.043007
27	0.074542	0.5164	0.303957
28	0.023202	0.1607	0.436485
29	0.178431	1.2362	0.111198
30	0.044648	0.3093	0.379204
31	0.03272	0.2267	0.410813
32	0.072845	0.5047	0.308045
33	-0.088976	-0.6164	0.270258
34	-0.129869	-0.8998	0.18637
35	-0.112358	-0.7784	0.220065
36	-0.083809	-0.5806	0.282097

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.16531	1.1453	0.128881
2	0.154002	1.067	0.145663
3	0.43755	3.0314	0.001958
4	-0.104075	-0.7211	0.237187
5	-0.02791	-0.1934	0.423744
6	0.013023	0.0902	0.464243
7	-0.075163	-0.5207	0.30247
8	-0.064834	-0.4492	0.32766
9	-0.015037	-0.1042	0.45873
10	-0.169765	-1.1762	0.122664
11	-0.218711	-1.5153	0.068131
12	-0.19714	-1.3658	0.089179
13	-0.016677	-0.1155	0.45425
14	-0.014589	-0.1011	0.459957
15	0.055616	0.3853	0.350852
16	-0.049201	-0.3409	0.367343
17	0.031786	0.2202	0.413318
18	0.250632	1.7364	0.044452
19	0.010569	0.0732	0.470966
20	0.074596	0.5168	0.303828
21	0.028978	0.2008	0.420865
22	-0.028892	-0.2002	0.421098
23	0.238552	1.6527	0.052456
24	-0.28215	-1.9548	0.028222
25	-0.039944	-0.2767	0.391583
26	-0.104091	-0.7212	0.237153
27	-0.034871	-0.2416	0.405063
28	-0.096256	-0.6669	0.254021
29	0.016332	0.1132	0.45519
30	0.108315	0.7504	0.228329
31	0.08759	0.6068	0.273408
32	0.025759	0.1785	0.429556
33	0.049905	0.3458	0.36552
34	-0.065669	-0.455	0.325592
35	-0.058753	-0.4071	0.34289
36	-0.033575	-0.2326	0.408526

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/04/t1228407119cc0dadeadlzv4vp/11whg1228407088.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/04/t1228407119cc0dadeadlzv4vp/11whg1228407088.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/04/t1228407119cc0dadeadlzv4vp/2wj7c1228407088.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/04/t1228407119cc0dadeadlzv4vp/2wj7c1228407088.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 = 0 ; 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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