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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: Sat, 06 Dec 2008 04:22:40 -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/06/t12285628880tfac7w3zx8cq0x.htm/, Retrieved Sat, 06 Dec 2008 11:28:10 +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/06/t12285628880tfac7w3zx8cq0x.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 «

118.4 121.4 128.8 131.7 141.7 142.9 139.4 134.7 125.0 113.6 111.5 108.5 112.3 116.6 115.5 120.1 132.9 128.1 129.3 132.5 131.0 124.9 120.8 122.0 122.1 127.4 135.2 137.3 135.0 136.0 138.4 134.7 138.4 133.9 133.6 141.2 151.8 155.4 156.6 161.6 160.7 156.0 159.5 168.7 169.9 169.9 185.9 190.8 195.8 211.9 227.1 251.3 256.7 251.9 251.2 270.3 267.2 243.0 229.9 187.2

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	0.358101	2.7506	0.003943
2	0.144095	1.1068	0.136432
3	0.128758	0.989	0.163349
4	-0.130112	-0.9994	0.160839
5	-0.274747	-2.1104	0.019538
6	-0.201213	-1.5455	0.06378
7	-0.225071	-1.7288	0.044537
8	-0.210852	-1.6196	0.055328
9	-0.069114	-0.5309	0.298749
10	0.036115	0.2774	0.391221
11	0.137606	1.057	0.147416
12	0.139501	1.0715	0.144148
13	0.06829	0.5245	0.300932
14	0.118494	0.9102	0.183219
15	-0.105906	-0.8135	0.209606
16	-0.079833	-0.6132	0.271048
17	-0.115564	-0.8877	0.189162
18	-0.152281	-1.1697	0.123415
19	-0.000862	-0.0066	0.49737
20	0.047975	0.3685	0.356908
21	-0.015843	-0.1217	0.451779
22	-0.01641	-0.126	0.450062
23	0.043339	0.3329	0.370197
24	0.049828	0.3827	0.351646
25	0.008587	0.066	0.473818
26	-0.008132	-0.0625	0.475204
27	-0.112769	-0.8662	0.194947
28	-0.072345	-0.5557	0.290261
29	-0.159905	-1.2283	0.112115
30	0.014384	0.1105	0.456201
31	0.044383	0.3409	0.36719
32	0.003503	0.0269	0.489312
33	0.004984	0.0383	0.484797
34	-0.002849	-0.0219	0.491306
35	0.070647	0.5427	0.294707
36	0.056431	0.4335	0.333133

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.358101	2.7506	0.003943
2	0.018192	0.1397	0.444673
3	0.082138	0.6309	0.265266
4	-0.234593	-1.8019	0.038332
5	-0.201296	-1.5462	0.063704
6	-0.045559	-0.3499	0.363813
7	-0.093128	-0.7153	0.238613
8	-0.076092	-0.5845	0.280564
9	-0.005593	-0.043	0.48294
10	0.035532	0.2729	0.39293
11	0.096406	0.7405	0.230963
12	-0.02618	-0.2011	0.420658
13	-0.091105	-0.6998	0.243405
14	0.064019	0.4917	0.312365
15	-0.21337	-1.6389	0.053275
16	0.062579	0.4807	0.316263
17	-0.112169	-0.8616	0.196201
18	-0.004033	-0.031	0.487695
19	0.134545	1.0335	0.152803
20	-0.01021	-0.0784	0.468878
21	-0.070617	-0.5424	0.294786
22	-0.133439	-1.025	0.154783
23	-0.014634	-0.1124	0.45544
24	0.079971	0.6143	0.270699
25	-0.057425	-0.4411	0.33038
26	-0.026653	-0.2047	0.419246
27	-0.12203	-0.9373	0.176206
28	0.006187	0.0475	0.481129
29	-0.116146	-0.8921	0.187973
30	0.081076	0.6228	0.267921
31	-0.014472	-0.1112	0.455931
32	-0.031641	-0.243	0.40441
33	-0.12185	-0.9359	0.176558
34	-0.075417	-0.5793	0.282299
35	0.109663	0.8423	0.2015
36	0.013469	0.1035	0.458975

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t12285628880tfac7w3zx8cq0x/16w4h1228562558.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t12285628880tfac7w3zx8cq0x/16w4h1228562558.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t12285628880tfac7w3zx8cq0x/2imnv1228562558.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t12285628880tfac7w3zx8cq0x/2imnv1228562558.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = -1.0 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = -1.0 ; 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 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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