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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: Fri, 05 Dec 2008 02:55:25 -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/05/t1228470979mutx47j43glas2l.htm/, Retrieved Fri, 05 Dec 2008 09:56:21 +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/05/t1228470979mutx47j43glas2l.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 «

8.4 8.4 8.4 8.6 8.9 8.8 8.3 7.5 7.2 7.5 8.8 9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.6 8.2 8.1 8 8.6 8.7 8.8 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8.1 8.2 8.1 8.1 7.9 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.6 6.2 6.2 6.8 6.9

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.822063	5.6954	0
2	0.583023	4.0393	9.6e-05
3	0.395438	2.7397	0.004304
4	0.311104	2.1554	0.018088
5	0.365564	2.5327	0.007321
6	0.458108	3.1739	0.001313
7	0.494964	3.4292	0.000626
8	0.452945	3.1381	0.001453
9	0.334758	2.3193	0.012341
10	0.240606	1.667	0.051017
11	0.213651	1.4802	0.072675
12	0.213439	1.4788	0.07287
13	0.201041	1.3929	0.085041
14	0.148697	1.0302	0.15404
15	0.062839	0.4354	0.332627
16	-0.001523	-0.0106	0.495811
17	-0.042019	-0.2911	0.386108
18	-0.045108	-0.3125	0.378
19	-0.04295	-0.2976	0.383659
20	-0.085647	-0.5934	0.277857
21	-0.155425	-1.0768	0.143473
22	-0.244838	-1.6963	0.048155
23	-0.289904	-2.0085	0.025117
24	-0.307041	-2.1272	0.019283
25	-0.29642	-2.0537	0.022739
26	-0.294093	-2.0375	0.023565
27	-0.325279	-2.2536	0.014413
28	-0.338863	-2.3477	0.01153
29	-0.31927	-2.212	0.015881
30	-0.262949	-1.8218	0.037363
31	-0.184115	-1.2756	0.104121
32	-0.165708	-1.1481	0.128318
33	-0.19554	-1.3547	0.090921
34	-0.239421	-1.6588	0.051843
35	-0.316139	-2.1903	0.016697
36	-0.345464	-2.3934	0.010325
37	-0.284741	-1.9727	0.02715
38	-0.204045	-1.4137	0.081956
39	-0.11878	-0.8229	0.207309
40	-0.088016	-0.6098	0.272437
41	-0.100245	-0.6945	0.245352
42	-0.125677	-0.8707	0.194122
43	-0.148908	-1.0317	0.153699
44	-0.129655	-0.8983	0.186762
45	-0.069101	-0.4787	0.317146
46	-0.029198	-0.2023	0.420273
47	-0.002158	-0.015	0.494066
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.822063	5.6954	0
2	-0.286125	-1.9823	0.026591
3	0.047821	0.3313	0.370925
4	0.150135	1.0402	0.151737
5	0.310752	2.153	0.018188
6	0.090108	0.6243	0.267698
7	-0.018978	-0.1315	0.447971
8	-0.024119	-0.1671	0.433996
9	-0.089286	-0.6186	0.269554
10	0.08138	0.5638	0.287752
11	0.037231	0.2579	0.398777
12	-0.095799	-0.6637	0.255025
13	-0.133452	-0.9246	0.179904
14	-0.091715	-0.6354	0.264086
15	-0.054374	-0.3767	0.354024
16	0.013879	0.0962	0.461898
17	-0.086253	-0.5976	0.276464
18	-0.028995	-0.2009	0.42082
19	-0.06668	-0.462	0.323095
20	-0.098945	-0.6855	0.24816
21	-0.038093	-0.2639	0.396487
22	-0.117667	-0.8152	0.209486
23	0.037165	0.2575	0.398951
24	-0.129756	-0.899	0.186577
25	0.01157	0.0802	0.468222
26	-0.078334	-0.5427	0.294919
27	-0.056786	-0.3934	0.347875
28	0.122234	0.8469	0.200637
29	0.091206	0.6319	0.265228
30	0.128163	0.8879	0.189502
31	0.09557	0.6621	0.255528
32	-0.063198	-0.4378	0.331731
33	0.047403	0.3284	0.372013
34	0.049082	0.34	0.367652
35	-0.196255	-1.3597	0.09014
36	-0.066704	-0.4621	0.323036
37	0.046155	0.3198	0.375264
38	-0.025311	-0.1754	0.430768
39	0.023425	0.1623	0.435878
40	-0.056334	-0.3903	0.349024
41	0.024445	0.1694	0.433113
42	-0.07183	-0.4976	0.310502
43	0.001696	0.0118	0.495336
44	-0.011435	-0.0792	0.468593
45	0.020313	0.1407	0.444336
46	-0.089276	-0.6185	0.269578
47	0.014609	0.1012	0.4599
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228470979mutx47j43glas2l/1i0qp1228470923.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228470979mutx47j43glas2l/1i0qp1228470923.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228470979mutx47j43glas2l/225261228470923.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228470979mutx47j43glas2l/225261228470923.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; 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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