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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 11:08:51 -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/t1228673451yyx0elxfku6ksob.htm/, Retrieved Sun, 07 Dec 2008 18:10:55 +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/t1228673451yyx0elxfku6ksob.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 «

2174.56 2196.72 2350.44 2440.25 2408.64 2472.81 2407.6 2454.62 2448.05 2497.84 2645.64 2756.76 2849.27 2921.44 2981.85 3080.58 3106.22 3119.31 3061.26 3097.31 3161.69 3257.16 3277.01 3295.32 3363.99 3494.17 3667.03 3813.06 3917.96 3895.51 3801.06 3570.12 3701.61 3862.27 3970.1 4138.52 4199.75 4290.89 4443.91 4502.64 4356.98 4591.27 4696.96 4621.4 4562.84 4202.52 4296.49 4435.23 4105.18 4116.68 3844.49 3720.98 3674.4 3857.62 3801.06 3504.37 3032.6 3047.03 2962.34

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	0 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.947658	7.2791	0
2	0.886948	6.8128	0
3	0.828925	6.3671	0
4	0.780842	5.9978	0
5	0.735401	5.6487	0
6	0.683588	5.2507	1e-06
7	0.616621	4.7364	7e-06
8	0.549392	4.22	4.3e-05
9	0.477322	3.6664	0.000265
10	0.412264	3.1667	0.001221
11	0.35124	2.6979	0.004542
12	0.293217	2.2522	0.014021
13	0.232762	1.7879	0.039465
14	0.172354	1.3239	0.095325
15	0.117806	0.9049	0.184603
16	0.069192	0.5315	0.298543
17	0.023106	0.1775	0.42987
18	-0.022105	-0.1698	0.432877
19	-0.070806	-0.5439	0.294289
20	-0.114389	-0.8786	0.191581
21	-0.154687	-1.1882	0.119762
22	-0.191253	-1.469	0.073567
23	-0.224818	-1.7269	0.044713
24	-0.254599	-1.9556	0.027626
25	-0.283203	-2.1753	0.016812
26	-0.313732	-2.4098	0.009549
27	-0.342307	-2.6293	0.005446
28	-0.368576	-2.8311	0.003167
29	-0.383007	-2.9419	0.002328
30	-0.390739	-3.0013	0.001968
31	-0.39799	-3.057	0.001678
32	-0.414968	-3.1874	0.001148
33	-0.428913	-3.2945	0.000835
34	-0.437135	-3.3577	0.00069
35	-0.44093	-3.3869	0.000632
36	-0.433362	-3.3287	0.000754
37	-0.422002	-3.2415	0.000979
38	-0.405637	-3.1158	0.001416
39	-0.382117	-2.9351	0.002373
40	-0.357009	-2.7422	0.004033
41	-0.335854	-2.5797	0.006199
42	-0.299875	-2.3034	0.0124
43	-0.257479	-1.9777	0.026318
44	-0.214197	-1.6453	0.052615
45	-0.173854	-1.3354	0.093438
46	-0.145981	-1.1213	0.133352
47	-0.111093	-0.8533	0.198467
48	-0.069342	-0.5326	0.298146
49	-0.041779	-0.3209	0.374707
50	-0.01468	-0.1128	0.455302
51	-9e-04	-0.0069	0.497253
52	0.007778	0.0597	0.476282
53	0.013981	0.1074	0.457423
54	0.032386	0.2488	0.402204
55	0.049778	0.3824	0.351788
56	0.055408	0.4256	0.335976
57	0.039554	0.3038	0.381166
58	0.021795	0.1674	0.433811
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.947658	7.2791	0
2	-0.108962	-0.837	0.202999
3	0.000747	0.0057	0.497721
4	0.062299	0.4785	0.317022
5	-0.015426	-0.1185	0.453042
6	-0.088703	-0.6813	0.24916
7	-0.163837	-1.2585	0.106592
8	-0.02196	-0.1687	0.433312
9	-0.110064	-0.8454	0.200647
10	0.003644	0.028	0.488882
11	-0.018719	-0.1438	0.443081
12	-0.011713	-0.09	0.464308
13	-0.04867	-0.3738	0.354931
14	-0.033675	-0.2587	0.398397
15	0.02556	0.1963	0.422514
16	-0.016755	-0.1287	0.449018
17	-0.029296	-0.225	0.411367
18	-0.040508	-0.3111	0.378392
19	-0.07172	-0.5509	0.291893
20	0.000602	0.0046	0.498162
21	-0.039628	-0.3044	0.380952
22	-0.029081	-0.2234	0.412007
23	-0.027463	-0.2109	0.416828
24	-0.005178	-0.0398	0.484203
25	-0.027005	-0.2074	0.418195
26	-0.075237	-0.5779	0.282763
27	-0.022017	-0.1691	0.433141
28	-0.049105	-0.3772	0.353694
29	0.060638	0.4658	0.321548
30	0.003287	0.0252	0.489973
31	-0.029909	-0.2297	0.409546
32	-0.122021	-0.9373	0.176223
33	-0.001526	-0.0117	0.495343
34	0.00097	0.0075	0.49704
35	-0.055234	-0.4243	0.33646
36	0.0689	0.5292	0.299315
37	-0.003569	-0.0274	0.48911
38	0.05523	0.4242	0.33647
39	0.057992	0.4454	0.328814
40	0.007977	0.0613	0.475676
41	-0.072356	-0.5558	0.290231
42	0.123411	0.9479	0.173513
43	0.051884	0.3985	0.345839
44	-0.013905	-0.1068	0.457652
45	-0.012734	-0.0978	0.461205
46	-0.123923	-0.9519	0.172522
47	0.087347	0.6709	0.252442
48	0.03286	0.2524	0.400804
49	-0.164839	-1.2662	0.105218
50	0.033934	0.2607	0.397634
51	-0.128775	-0.9891	0.163317
52	-0.017738	-0.1362	0.446046
53	-0.041733	-0.3206	0.37484
54	0.120031	0.922	0.180147
55	-0.035522	-0.2728	0.392961
56	-0.123687	-0.9501	0.17298
57	-0.121696	-0.9348	0.17686
58	-0.012364	-0.095	0.46233
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/07/t1228673451yyx0elxfku6ksob/1db641228673329.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228673451yyx0elxfku6ksob/1db641228673329.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228673451yyx0elxfku6ksob/2tkqx1228673329.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228673451yyx0elxfku6ksob/2tkqx1228673329.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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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