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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: Sun, 07 Dec 2008 03:46:55 -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/07/t1228646853imgz66tvsrln6vh.htm/, Retrieved Sun, 07 Dec 2008 10:47:35 +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/07/t1228646853imgz66tvsrln6vh.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

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

235.1 280.7 264.6 240.7 201.4 240.8 241.1 223.8 206.1 174.7 203.3 220.5 299.5 347.4 338.3 327.7 351.6 396.6 438.8 395.6 363.5 378.8 357 369 464.8 479.1 431.3 366.5 326.3 355.1 331.6 261.3 249 205.5 235.6 240.9 264.9 253.8 232.3 193.8 177 213.2 207.2 180.6 188.6 175.4 199 179.6 225.8 234 200.2 183.6 178.2 203.2 208.5 191.8 172.8 148 159.4 154.5 213.2 196.4 182.8 176.4 153.6 173.2 171 151.2 161.9 157.2 201.7 236.4 356.1 398.3 403.7 384.6 365.8 368.1 367.9 347 343.3 292.9 311.5 300.9 366.9 356.9 329.7 316.2 269 289.3 266.2 253.6 233.8 228.4 253.6 260.1 306.6 309.2 309.5 271 279.9 317.9 298.4 246.7 227.3 209.1 259.9 266 320.6 308.5 282.2 262.7 263.5 313.1 284.3 252.6 250.3 246.5 312.7 333.2 446.4 511.6 515.5 506.4 483.2 522.3 509.8 460.7 405.8 375 378.5 406.8 467.8 469.8 429.8 355.8 332.7 378 360.5 334.7 319.5 323.1 363.6 352.1 411.9 388.6 416.4 360.7 338 417.2 388.4 371.1 331.5 353.7 396.7 447 533.5 565.4 542.3 488.7 467.1 531.3 496.1 444 403.4 386.3 394.1 404.1 462.1 448.1 432.3 386.3 395.2 421.9 382.9 384.2 345.5 323.4 372.6 376 462.7 487 444.2 399.3 394.9 455.4 414 375.5 347 339.4 385.8 378.8 451.8 446.1 422.5 383.1 352.8 445.3 367.5 355.1 326.2 319.8 331.8 340.9 394.1 417.2 369.9 349.2 321.4 405.7 342.9 316.5 284.2 270.9 288.8 278.8 324.4 310.9 299 273 279.3 359.2 305 282.1 250.3 246.5 257.9 266.5 315.9 318.4 295.4 266.4 245.8 362.8 324.9 294.2 289.5 295.2 290.3 272 307.4 328.7 292.9 249.1 230.4 361.5 321.7 277.2 260.7 251 257.6 241.8 287.5 292.3 274.7 254.2 230 339 318.2 287 295.8 284 271 262.7 340.6 379.4 373.3 355.2 338.4 466.9 451 422 429.2 425.9 460.7 463.6 541.4 544.2 517.5 469.4 439.4 549 533 506.1 484 457 481.5 469.5 544.7 541.2 521.5 469.7 434.4 542.6 517.3 485.7 465.8 447 426.6 411.6 467.5 484.5 451.2 417.4 379.9 484.7 455 420.8 416.5 376.3 405.6 405.8 500.8 514 475.5 430.1 414.4 538 526 488.5 520.2 504.4 568.5 610.6 818 830.9 835.9 782 762.3 856.9 820.9 769.6 752.2 724.4 723.1 719.5 817.4 803.3 752.5 689 630.4 765.5 757.7 732.2 702.6 683.3 709.5 702.2 784.8 810.9 755.6 656.8 615.1 745.3 694.1 675.7 643.7 622.1 634.6 588 689.7 673.9 647.9 568.8 545.7 632.6 643.8 593.1 579.7 546 562.9 572.5

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	0.175278	3.321	0.000494
2	0.306803	5.8131	0
3	0.184434	3.4945	0.000267
4	0.14526	2.7523	0.003109
5	0.136427	2.5849	0.005067
6	0.061022	1.1562	0.124183
7	-0.050731	-0.9612	0.168546
8	-0.007436	-0.1409	0.444017
9	-0.079927	-1.5144	0.065401
10	-0.174831	-3.3126	0.000509
11	-0.046133	-0.8741	0.191326
12	-0.476916	-9.0363	0
13	-0.164363	-3.1142	0.000996
14	-0.17172	-3.2536	0.000624
15	-0.136172	-2.5801	0.005137
16	-0.163867	-3.1048	0.001028
17	-0.127264	-2.4113	0.008199
18	-0.105195	-1.9932	0.0235
19	0.017748	0.3363	0.368432
20	0.003225	0.0611	0.475657
21	-0.015383	-0.2915	0.385434
22	-0.001117	-0.0212	0.491562
23	-0.010267	-0.1945	0.422933
24	-0.002458	-0.0466	0.481439
25	0.099979	1.8943	0.029492
26	0.007141	0.1353	0.446221
27	0.033096	0.6271	0.265503
28	0.090534	1.7154	0.04357
29	0.057799	1.0951	0.137098
30	0.049462	0.9372	0.174651
31	0.033775	0.6399	0.261309
32	-0.072609	-1.3757	0.08488
33	0.011228	0.2127	0.415825
34	-0.003363	-0.0637	0.474617
35	-0.077708	-1.4724	0.0709
36	-0.035494	-0.6725	0.250842
37	-0.109588	-2.0764	0.019284
38	-0.009189	-0.1741	0.430942
39	-0.054097	-1.025	0.15303
40	-0.083472	-1.5816	0.057315
41	-0.105339	-1.9959	0.023351
42	-0.033705	-0.6386	0.261738
43	-0.1635	-3.0979	0.001051
44	0.023949	0.4538	0.325132
45	-0.037912	-0.7183	0.236512
46	0.023387	0.4431	0.328976
47	0.052721	0.9989	0.159253
48	0.090578	1.7162	0.043493
49	0.117647	2.2291	0.013213
50	0.084907	1.6088	0.054274
51	0.081549	1.5451	0.061598
52	0.138688	2.6278	0.004482
53	0.175222	3.32	0.000496
54	0.033233	0.6297	0.264656
55	0.166088	3.1469	0.000894
56	0.035697	0.6764	0.249622
57	0.058064	1.1002	0.135999
58	0.046282	0.8769	0.190558
59	0.032854	0.6225	0.267005
60	-0.026682	-0.5055	0.306744

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.175278	3.321	0.000494
2	0.284831	5.3968	0
3	0.107844	2.0434	0.020874
4	0.029153	0.5524	0.290517
5	0.042302	0.8015	0.211685
6	-0.024381	-0.462	0.322198
7	-0.137788	-2.6107	0.004707
8	-0.030739	-0.5824	0.280323
9	-0.050056	-0.9484	0.171777
10	-0.159388	-3.02	0.001355
11	0.041714	0.7904	0.214918
12	-0.422224	-8	0
13	-0.044203	-0.8375	0.201429
14	0.107564	2.038	0.021139
15	0.046725	0.8853	0.188292
16	-0.065466	-1.2404	0.107818
17	-0.010171	-0.1927	0.423643
18	0.006509	0.1233	0.450959
19	0.029387	0.5568	0.289004
20	0.061307	1.1616	0.123084
21	-0.048452	-0.918	0.17961
22	-0.155409	-2.9446	0.001722
23	0.006502	0.1232	0.451008
24	-0.253997	-4.8125	1e-06
25	0.057671	1.0927	0.137626
26	0.025782	0.4885	0.312749
27	0.001552	0.0294	0.488277
28	0.027349	0.5182	0.302321
29	0.016533	0.3133	0.377131
30	-0.029202	-0.5533	0.290204
31	0.04179	0.7918	0.214496
32	-0.075172	-1.4243	0.077614
33	-0.053731	-1.0181	0.154669
34	-0.087263	-1.6534	0.049563
35	-0.08393	-1.5902	0.05633
36	-0.210182	-3.9824	4.1e-05
37	-0.005922	-0.1122	0.455358
38	0.063343	1.2002	0.115432
39	-0.05345	-1.0127	0.155934
40	-0.029687	-0.5625	0.287069
41	-0.052421	-0.9932	0.160633
42	-0.002404	-0.0455	0.48185
43	-0.111941	-2.121	0.017304
44	-0.004508	-0.0854	0.465988
45	-0.019826	-0.3756	0.353703
46	-0.001122	-0.0213	0.491525
47	-0.025458	-0.4824	0.314925
48	-0.056383	-1.0683	0.143052
49	0.044024	0.8341	0.202377
50	0.036368	0.6891	0.245613
51	-0.029473	-0.5584	0.28845
52	0.065512	1.2413	0.107659
53	0.020387	0.3863	0.349759
54	-0.094724	-1.7948	0.036766
55	-0.031072	-0.5887	0.278205
56	-0.039711	-0.7524	0.226149
57	-0.062938	-1.1925	0.116924
58	0.037402	0.7087	0.239495
59	0.004845	0.0918	0.463457
60	-0.046568	-0.8823	0.189091

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228646853imgz66tvsrln6vh/1fdwu1228646813.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228646853imgz66tvsrln6vh/1fdwu1228646813.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228646853imgz66tvsrln6vh/2v3if1228646813.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228646853imgz66tvsrln6vh/2v3if1228646813.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 0.3 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 0.3 ; 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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