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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: Mon, 08 Dec 2008 14:30:43 -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/08/t1228771868kx8v8t1smr8qumb.htm/, Retrieved Mon, 08 Dec 2008 21:31:08 +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/08/t1228771868kx8v8t1smr8qumb.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 «

299,63 305,945 382,252 348,846 335,367 373,617 312,612 312,232 337,161 331,476 350,103 345,127 297,256 295,979 361,007 321,803 354,937 349,432 290,979 349,576 327,625 349,377 336,777 339,134 323,321 318,86 373,583 333,03 408,556 414,646 291,514 348,857 349,368 375,765 364,136 349,53 348,167 332,856 360,551 346,969 392,815 372,02 371,027 342,672 367,343 390,786 343,785 362,6 349,468 340,624 369,536 407,782 392,239 404,824 373,669 344,902 396,7 398,911 366,009 392,484

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.554872	-3.804	0.000205
2	-0.021245	-0.1456	0.442411
3	0.216894	1.4869	0.071853
4	-0.268238	-1.8389	0.036123
5	0.211138	1.4475	0.077199
6	-0.072967	-0.5002	0.309621
7	-0.09136	-0.6263	0.267064
8	0.054125	0.3711	0.356129
9	0.181074	1.2414	0.110312
10	-0.152186	-1.0433	0.151065
11	0.063016	0.432	0.333853
12	-0.162583	-1.1146	0.135342
13	0.067336	0.4616	0.323236
14	0.092457	0.6339	0.264626
15	-0.097841	-0.6708	0.252828
16	0.018715	0.1283	0.449229
17	0.016168	0.1108	0.456107
18	0.060415	0.4142	0.340311
19	-0.062374	-0.4276	0.335442
20	-0.022774	-0.1561	0.438299
21	0.047183	0.3235	0.373888
22	-0.164773	-1.1296	0.132183
23	0.251533	1.7244	0.045602
24	-0.084285	-0.5778	0.283069
25	-0.11778	-0.8075	0.211736
26	0.177136	1.2144	0.115334
27	-0.103303	-0.7082	0.241156
28	0.029495	0.2022	0.420313
29	-0.030397	-0.2084	0.417911
30	0.010725	0.0735	0.470849
31	-0.047697	-0.327	0.372562
32	0.135967	0.9321	0.178013
33	-0.107263	-0.7354	0.232888
34	0.003832	0.0263	0.489577
35	0.088277	0.6052	0.273981
36	-0.120207	-0.8241	0.207024
37	0.091845	0.6297	0.265984
38	-0.050227	-0.3443	0.366064
39	-0.008431	-0.0578	0.477077
40	0.046558	0.3192	0.375501
41	-0.025497	-0.1748	0.430993
42	0.002407	0.0165	0.493451
43	0.004726	0.0324	0.487144
44	-0.000414	-0.0028	0.498873
45	-0.003322	-0.0228	0.490963
46	-0.000986	-0.0068	0.497317
47	NA	NA	NA
48	NA	NA	NA
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	-0.554872	-3.804	0.000205
2	-0.475539	-3.2601	0.001037
3	-0.120171	-0.8238	0.207093
4	-0.297682	-2.0408	0.023455
5	-0.093814	-0.6432	0.261625
6	-0.097248	-0.6667	0.254112
7	-0.16706	-1.1453	0.12894
8	-0.324466	-2.2244	0.01548
9	0.102771	0.7046	0.24228
10	0.177582	1.2174	0.114757
11	0.331868	2.2752	0.01375
12	-0.086335	-0.5919	0.278383
13	-0.179756	-1.2323	0.111975
14	-0.246998	-1.6933	0.048505
15	-0.057594	-0.3948	0.347372
16	-0.085236	-0.5843	0.28089
17	-0.031717	-0.2174	0.414404
18	-0.092737	-0.6358	0.264005
19	-0.142708	-0.9784	0.166454
20	-0.218249	-1.4962	0.070638
21	0.211385	1.4492	0.076963
22	-0.073465	-0.5036	0.30843
23	0.096072	0.6586	0.256672
24	-0.056874	-0.3899	0.349182
25	-0.041763	-0.2863	0.387949
26	-0.142473	-0.9767	0.166848
27	0.070541	0.4836	0.315456
28	-0.001179	-0.0081	0.496792
29	-0.057422	-0.3937	0.347805
30	-0.133849	-0.9176	0.181751
31	-0.126171	-0.865	0.195721
32	-0.095056	-0.6517	0.258894
33	-0.015436	-0.1058	0.458086
34	-0.143151	-0.9814	0.165712
35	0.020854	0.143	0.443465
36	-0.032241	-0.221	0.413013
37	0.022078	0.1514	0.440171
38	-0.010232	-0.0701	0.472187
39	0.098129	0.6727	0.252204
40	0.043202	0.2962	0.384201
41	-0.049432	-0.3389	0.368101
42	-0.069626	-0.4773	0.317668
43	-0.061796	-0.4236	0.336877
44	-0.161862	-1.1097	0.136394
45	-0.037686	-0.2584	0.398627
46	-0.073805	-0.506	0.307618
47	NA	NA	NA
48	NA	NA	NA
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/08/t1228771868kx8v8t1smr8qumb/1plrr1228771838.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228771868kx8v8t1smr8qumb/1plrr1228771838.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228771868kx8v8t1smr8qumb/2zhwm1228771838.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228771868kx8v8t1smr8qumb/2zhwm1228771838.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; 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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