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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 07:51:55 -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/t1228575207sgg1n4w2xegjlfe.htm/, Retrieved Sat, 06 Dec 2008 14:53:29 +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/t1228575207sgg1n4w2xegjlfe.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:

kleuter

Dataseries X:

» Textbox « » Textfile « » CSV «

104,3 119,8 116,8 118,2 107,4 110,8 94,8 96,5 113,4 109,8 118,7 117,2 110,3 111,6 128,1 121,3 107,3 120,5 98,5 97,7 113,2 114,6 118,3 123,9 113,6 117,5 130,1 124,7 114,2 127,3 105,9 101,5 120,2 117,1 131,1 130 120,6 123,1 135,3 134,1 123,7 134,6 108,3 110,4 127,8 126,6 131,4 141,1 127 127,3 143,6 149,4 126,6 136,5 116 118 131,4 140,7 144,9 143,9 127,1

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	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.167532	-1.1727	0.123287
2	-0.056633	-0.3964	0.346754
3	0.144549	1.0118	0.158291
4	0.140095	0.9807	0.165787
5	-0.120154	-0.8411	0.202196
6	0.16754	1.1728	0.123277
7	0.291567	2.041	0.02333
8	-0.091863	-0.643	0.261598
9	0.023766	0.1664	0.434279
10	-0.034984	-0.2449	0.403784
11	0.217515	1.5226	0.067143
12	-0.1845	-1.2915	0.101294
13	0.094661	0.6626	0.255337
14	0.02253	0.1577	0.437668
15	-0.016231	-0.1136	0.455003
16	-0.083966	-0.5878	0.279695
17	0.007999	0.056	0.477789
18	-0.009558	-0.0669	0.473466
19	-0.112629	-0.7884	0.21713
20	0.060673	0.4247	0.336452
21	-0.19498	-1.3649	0.089266
22	0.062433	0.437	0.332004
23	-0.025689	-0.1798	0.429017
24	-0.050007	-0.3501	0.363901
25	-0.115113	-0.8058	0.212129
26	0.020372	0.1426	0.443594
27	-0.037517	-0.2626	0.396972
28	-0.052081	-0.3646	0.358503
29	-0.008532	-0.0597	0.476309
30	-0.040749	-0.2852	0.388331
31	-0.100848	-0.7059	0.241786
32	-0.175809	-1.2307	0.112162
33	0.170476	1.1933	0.119242
34	-0.005598	-0.0392	0.48445
35	-0.149307	-1.0451	0.150542
36	-0.023523	-0.1647	0.434943
37	0.043864	0.3071	0.380053
38	-0.166738	-1.1672	0.124396
39	-0.016657	-0.1166	0.453826
40	0.176421	1.2349	0.11137
41	-0.014079	-0.0986	0.460948
42	-0.128135	-0.8969	0.187066
43	0.063398	0.4438	0.329575
44	-0.035418	-0.2479	0.402614
45	-0.09832	-0.6882	0.247274
46	0.028155	0.1971	0.422287
47	0.089288	0.625	0.267429
48	-0.008156	-0.0571	0.477351
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	-0.167532	-1.1727	0.123287
2	-0.087146	-0.61	0.272333
3	0.124031	0.8682	0.194753
4	0.191619	1.3413	0.092998
5	-0.048416	-0.3389	0.368062
6	0.143923	1.0075	0.159332
7	0.324613	2.2723	0.013747
8	0.047934	0.3355	0.369327
9	0.031981	0.2239	0.411897
10	-0.186273	-1.3039	0.099178
11	0.147187	1.0303	0.153962
12	-0.142119	-0.9948	0.162352
13	-0.053053	-0.3714	0.355982
14	-0.11176	-0.7823	0.218895
15	-0.046655	-0.3266	0.372686
16	-0.025195	-0.1764	0.430366
17	-0.068382	-0.4787	0.31715
18	-0.092144	-0.645	0.260965
19	-0.038315	-0.2682	0.394834
20	0.03462	0.2423	0.404764
21	-0.155117	-1.0858	0.141436
22	-0.002198	-0.0154	0.493893
23	0.104304	0.7301	0.234395
24	0.013259	0.0928	0.463216
25	-0.029859	-0.209	0.417653
26	-0.032796	-0.2296	0.40969
27	0.06063	0.4244	0.336562
28	0.092375	0.6466	0.260445
29	-0.057589	-0.4031	0.344305
30	-0.051354	-0.3595	0.36039
31	-0.151639	-1.0615	0.146839
32	-0.143404	-1.0038	0.160197
33	0.05703	0.3992	0.345736
34	0.047141	0.33	0.371409
35	-0.1	-0.7	0.243619
36	-0.055813	-0.3907	0.348859
37	0.003242	0.0227	0.490993
38	-0.019507	-0.1365	0.445974
39	0.004263	0.0298	0.488156
40	0.08723	0.6106	0.272139
41	0.132293	0.9261	0.179479
42	-0.00982	-0.0687	0.472737
43	0.086025	0.6022	0.274916
44	-0.105807	-0.7406	0.23122
45	-0.067567	-0.473	0.319168
46	-0.069163	-0.4841	0.315222
47	-0.072778	-0.5094	0.306364
48	-0.036924	-0.2585	0.398565
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/06/t1228575207sgg1n4w2xegjlfe/1bysy1228575113.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228575207sgg1n4w2xegjlfe/1bysy1228575113.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228575207sgg1n4w2xegjlfe/22t8f1228575113.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228575207sgg1n4w2xegjlfe/22t8f1228575113.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -0.1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -0.1 ; 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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