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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 05:06:44 -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/t1228565241yplk35uqp6gjosw.htm/, Retrieved Sat, 06 Dec 2008 12:07:22 +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/t1228565241yplk35uqp6gjosw.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 «

104.0 107.9 113.8 113.8 123.1 125.1 137.6 134.0 140.3 152.1 150.6 167.3 153.2 142.0 154.4 158.5 180.9 181.3 172.4 192.0 199.3 215.4 214.3 201.5 190.5 196.0 215.7 209.4 214.1 237.8 239.0 237.8 251.5 248.8 215.4 201.2 203.1 214.2 188.9 203.0 213.3 228.5 228.2 240.9 258.8 248.5 269.2 289.6 323.4 317.2 322.8 340.9 368.2 388.5 441.2 474.3 483.9 417.9 365.9 263.0

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	0.109784	0.7526	0.227709
2	-0.033751	-0.2314	0.40901
3	0.062803	0.4306	0.33438
4	0.097476	0.6683	0.253618
5	0.008763	0.0601	0.476175
6	-0.041732	-0.2861	0.388029
7	0.098876	0.6779	0.250592
8	-0.089994	-0.617	0.270118
9	-0.263199	-1.8044	0.038789
10	0.149663	1.026	0.155063
11	-0.007315	-0.0501	0.480109
12	-0.386641	-2.6507	0.005456
13	-0.2397	-1.6433	0.053497
14	-0.013867	-0.0951	0.462333
15	0.03575	0.2451	0.403728
16	-0.152176	-1.0433	0.151081
17	0.000149	0.001	0.499594
18	0.056103	0.3846	0.351127
19	-0.178879	-1.2263	0.113091
20	0.024465	0.1677	0.43376
21	0.188734	1.2939	0.101012
22	-0.030477	-0.2089	0.417698
23	-0.100732	-0.6906	0.246613
24	0.023106	0.1584	0.437407
25	0.184382	1.2641	0.106222
26	0.031232	0.2141	0.415691
27	0.00879	0.0603	0.476102
28	0.042943	0.2944	0.384875
29	-0.055194	-0.3784	0.353421
30	-0.049533	-0.3396	0.367841
31	0.122468	0.8396	0.202692
32	0.001092	0.0075	0.497028
33	-0.070647	-0.4843	0.3152
34	-0.096269	-0.66	0.256243
35	0.040435	0.2772	0.391419
36	0.100914	0.6918	0.246223

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.109784	0.7526	0.227709
2	-0.046362	-0.3178	0.376005
3	0.072802	0.4991	0.310017
4	0.081797	0.5608	0.288809
5	-0.006033	-0.0414	0.483592
6	-0.039383	-0.27	0.394172
7	0.099569	0.6826	0.249102
8	-0.128779	-0.8829	0.190901
9	-0.236681	-1.6226	0.055682
10	0.215627	1.4783	0.073004
11	-0.084997	-0.5827	0.281438
12	-0.391706	-2.6854	0.004989
13	-0.11821	-0.8104	0.210896
14	0.00493	0.0338	0.48659
15	0.033283	0.2282	0.410248
16	-0.066812	-0.458	0.324518
17	-0.017699	-0.1213	0.45197
18	0.01008	0.0691	0.472599
19	-0.07482	-0.5129	0.305198
20	-0.011725	-0.0804	0.468137
21	0.012674	0.0869	0.465565
22	-0.050493	-0.3462	0.365383
23	-0.035076	-0.2405	0.405505
24	-0.109491	-0.7506	0.228308
25	-0.0437	-0.2996	0.382905
26	0.047978	0.3289	0.371838
27	0.046818	0.321	0.374829
28	-0.152147	-1.0431	0.151127
29	-0.052811	-0.3621	0.359467
30	0.027633	0.1894	0.42528
31	0.009743	0.0668	0.473515
32	-0.129131	-0.8853	0.190257
33	0.011635	0.0798	0.46838
34	-0.027699	-0.1899	0.425104
35	-0.080037	-0.5487	0.292902
36	0.070332	0.4822	0.315962

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228565241yplk35uqp6gjosw/1h07s1228565202.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228565241yplk35uqp6gjosw/1h07s1228565202.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228565241yplk35uqp6gjosw/2ko081228565202.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228565241yplk35uqp6gjosw/2ko081228565202.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = -0.2 ; par3 = 1 ; 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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