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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 04:35:59 -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/t1228563476sucjulrt1w2cl7d.htm/, Retrieved Sat, 06 Dec 2008 11:37:56 +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/t1228563476sucjulrt1w2cl7d.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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.966547	7.4868	0
2	0.90477	7.0083	0
3	0.831977	6.4445	0
4	0.747844	5.7928	0
5	0.666305	5.1612	1e-06
6	0.589038	4.5627	1.3e-05
7	0.512466	3.9695	9.8e-05
8	0.440078	3.4088	0.000586
9	0.377672	2.9254	0.002425
10	0.321984	2.4941	0.007701
11	0.274388	2.1254	0.01884
12	0.230962	1.789	0.039329
13	0.18759	1.4531	0.075708
14	0.148365	1.1492	0.127511
15	0.110932	0.8593	0.196805
16	0.076007	0.5887	0.27912
17	0.046245	0.3582	0.36072
18	0.018726	0.1451	0.442577
19	-0.005653	-0.0438	0.482611
20	-0.031711	-0.2456	0.403403
21	-0.058971	-0.4568	0.324737
22	-0.085212	-0.6601	0.255873
23	-0.109408	-0.8475	0.200049
24	-0.131347	-1.0174	0.156522
25	-0.151154	-1.1708	0.123147
26	-0.169086	-1.3097	0.09764
27	-0.186752	-1.4466	0.07661
28	-0.20217	-1.566	0.061304
29	-0.21651	-1.6771	0.049365
30	-0.228269	-1.7682	0.041058
31	-0.238723	-1.8491	0.034683
32	-0.250515	-1.9405	0.028512
33	-0.26113	-2.0227	0.023784
34	-0.271718	-2.1047	0.019757
35	-0.279424	-2.1644	0.017211
36	-0.286657	-2.2204	0.015089

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.966547	7.4868	0
2	-0.447564	-3.4668	0.00049
3	-0.025285	-0.1959	0.422691
4	-0.179163	-1.3878	0.085167
5	0.142805	1.1062	0.136536
6	-0.063118	-0.4889	0.313343
7	-0.052296	-0.4051	0.343428
8	-0.013999	-0.1084	0.457005
9	0.096053	0.744	0.229884
10	-0.043902	-0.3401	0.367498
11	0.039822	0.3085	0.3794
12	-0.108762	-0.8425	0.201437
13	-0.022603	-0.1751	0.430802
14	0.028314	0.2193	0.413572
15	-0.047531	-0.3682	0.35702
16	0.012724	0.0986	0.460909
17	0.004297	0.0333	0.486779
18	-0.032497	-0.2517	0.401059
19	0.02777	0.2151	0.415206
20	-0.140305	-1.0868	0.140736
21	0.014659	0.1136	0.454986
22	-0.024456	-0.1894	0.425194
23	0.020876	0.1617	0.43604
24	-0.027874	-0.2159	0.414894
25	-0.016592	-0.1285	0.449085
26	-0.02894	-0.2242	0.411694
27	-0.010257	-0.0794	0.468471
28	-0.021583	-0.1672	0.433894
29	-0.037773	-0.2926	0.385422
30	0.013802	0.1069	0.457608
31	-0.056777	-0.4398	0.330833
32	-0.026362	-0.2042	0.419446
33	-0.006541	-0.0507	0.479879
34	-0.0415	-0.3215	0.37449
35	0.050829	0.3937	0.347593
36	-0.108018	-0.8367	0.203041

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228563476sucjulrt1w2cl7d/1zlfu1228563355.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228563476sucjulrt1w2cl7d/1zlfu1228563355.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228563476sucjulrt1w2cl7d/2pvvv1228563355.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228563476sucjulrt1w2cl7d/2pvvv1228563355.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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