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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 06:57:05 -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/t1228658278lxkbc7rc60321lb.htm/, Retrieved Sun, 07 Dec 2008 13:57:58 +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/t1228658278lxkbc7rc60321lb.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 «

132.7 128.6 127.8 128.9 124.6 129.2 130.5 124.3 125.8 123.5 120.7 123.1 122.0 121.0 121.2 117.4 113.0 113.1 116.1 121.3 108.6 114.3 113.5 111.2 109.3 108.2 102.7 110.4 108.1 112.8 108.1 102.6 109.2 108.2 107.1 108.4 103.6 104.0 111.5 105.4 105.5 101.3 103.8 100.3 108.2 105.6 103.0 100.5 104.3 99.1 91.5

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	2 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.40228	-2.8446	0.003214
2	-0.067851	-0.4798	0.316739
3	0.024837	0.1756	0.430649
4	-0.034838	-0.2463	0.403214
5	-0.018913	-0.1337	0.447075
6	0.221472	1.566	0.061823
7	-0.263246	-1.8614	0.034284
8	0.116523	0.8239	0.206943
9	-0.125451	-0.8871	0.189643
10	0.162389	1.1483	0.128162
11	0.153203	1.0833	0.141934
12	-0.358438	-2.5345	0.007218
13	0.164853	1.1657	0.124636
14	-0.081447	-0.5759	0.283628
15	-0.006078	-0.043	0.482945
16	0.192863	1.3637	0.089378
17	-0.043134	-0.305	0.380816
18	-0.279658	-1.9775	0.026756
19	0.262492	1.8561	0.034669
20	-0.151697	-1.0727	0.144287
21	0.133064	0.9409	0.175639
22	-0.157156	-1.1113	0.135885
23	0.027403	0.1938	0.423572
24	0.026857	0.1899	0.425075
25	-0.041255	-0.2917	0.385855
26	0.041026	0.2901	0.386472
27	0.151572	1.0718	0.144484
28	-0.25416	-1.7972	0.039174
29	0.067231	0.4754	0.318289
30	0.12856	0.9091	0.18384
31	-0.149811	-1.0593	0.147271
32	0.019358	0.1369	0.445836
33	0.036576	0.2586	0.398491
34	-0.011666	-0.0825	0.467293
35	0.023436	0.1657	0.434524
36	-0.000526	-0.0037	0.498522
37	-0.032111	-0.2271	0.410652
38	-0.011179	-0.079	0.468654
39	0.045734	0.3234	0.373875
40	0.002043	0.0144	0.494266
41	-0.028707	-0.203	0.419985
42	0.022165	0.1567	0.438045
43	0.028471	0.2013	0.420632
44	-0.056558	-0.3999	0.345456
45	-0.00752	-0.0532	0.478902
46	0.022706	0.1606	0.436545
47	-0.030979	-0.2191	0.41375
48	0.01552	0.1097	0.456526

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.40228	-2.8446	0.003214
2	-0.274026	-1.9377	0.029162
3	-0.155015	-1.0961	0.139139
4	-0.141945	-1.0037	0.160177
5	-0.137522	-0.9724	0.167759
6	0.181286	1.2819	0.102898
7	-0.110773	-0.7833	0.218577
8	0.020591	0.1456	0.44241
9	-0.170746	-1.2074	0.116488
10	0.078562	0.5555	0.290508
11	0.305982	2.1636	0.017649
12	-0.234137	-1.6556	0.052034
13	0.090816	0.6422	0.261849
14	-0.21124	-1.4937	0.07077
15	-0.019918	-0.1408	0.44428
16	0.094846	0.6707	0.252761
17	0.050001	0.3536	0.362576
18	-0.085508	-0.6046	0.274078
19	-0.053749	-0.3801	0.352754
20	-0.031852	-0.2252	0.41136
21	-0.075432	-0.5334	0.298065
22	-0.17922	-1.2673	0.105464
23	-0.003061	-0.0216	0.491409
24	-0.030484	-0.2156	0.415106
25	-0.110087	-0.7784	0.21999
26	-0.078579	-0.5556	0.290468
27	0.063277	0.4474	0.328247
28	0.055041	0.3892	0.34939
29	-0.056778	-0.4015	0.344888
30	0.074773	0.5287	0.299669
31	-0.024659	-0.1744	0.431142
32	-0.200546	-1.4181	0.081186
33	0.019148	0.1354	0.44642
34	-0.008777	-0.0621	0.475381
35	0.068735	0.486	0.314536
36	-0.079554	-0.5625	0.288134
37	-0.07156	-0.506	0.307538
38	-0.058796	-0.4158	0.339685
39	0.093937	0.6642	0.254797
40	-0.092081	-0.6511	0.258977
41	0.017775	0.1257	0.450243
42	0.06978	0.4934	0.311938
43	-0.07528	-0.5323	0.298435
44	-0.0787	-0.5565	0.290179
45	-0.101597	-0.7184	0.237928
46	-0.065077	-0.4602	0.323697
47	-0.044185	-0.3124	0.378004
48	0.059627	0.4216	0.337553

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228658278lxkbc7rc60321lb/1jytb1228658220.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228658278lxkbc7rc60321lb/1jytb1228658220.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228658278lxkbc7rc60321lb/2keok1228658220.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228658278lxkbc7rc60321lb/2keok1228658220.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; 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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