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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: Tue, 09 Dec 2008 04:16:28 -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/09/t12288214272pfkobp5gd8r2or.htm/, Retrieved Tue, 09 Dec 2008 11:17:09 +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/09/t12288214272pfkobp5gd8r2or.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 «

5.1 4.9 5.2 5.1 4.6 3.7 3.9 3.1 2.8 2.6 2.2 1.8 1.3 1.2 1.4 1.3 1.3 1.9 1.9 2.1 2.0 1.9 1.9 1.9 1.8 1.7 1.6 1.7 1.9 1.7 1.3 2.0 2.0 2.3 2.0 1.7 2.3 2.4 2.4 2.3 2.1 2.1 2.5 2.0 1.8 1.7 1.9 2.1 1.4 1.6 1.7 1.6 1.9 1.6 1.1 1.3 1.6 1.6 1.7 1.6 1.7 1.6 1.5 1.6 1.1 1.5 1.4 1.3 0.9 1.2 0.9 1.1 1.3 1.3 1.4 1.2 1.7 2.0 3.0 3.1 3.2 2.7 2.8 3.0 2.8 3.1 3.1 3.2 3.1 2.7 2.2 2.2 2.1 2.3 2.5 2.3 2.6

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.208543	-2.0433	0.021882
2	0.038482	0.377	0.353487
3	-0.033678	-0.33	0.371069
4	0.030052	0.2944	0.384526
5	0.063366	0.6209	0.268081
6	0.043971	0.4308	0.333779
7	-0.060096	-0.5888	0.278684
8	-0.14584	-1.4289	0.078135
9	0.071729	0.7028	0.24194
10	-0.059585	-0.5838	0.280357
11	0.111685	1.0943	0.138284
12	-0.381994	-3.7428	0.000155
13	0.075195	0.7368	0.231534
14	0.170998	1.6754	0.048552
15	-0.096136	-0.9419	0.174295
16	0.103465	1.0137	0.156626
17	-0.118493	-1.161	0.124262
18	-0.0382	-0.3743	0.35451
19	0.094906	0.9299	0.17738
20	0.107027	1.0486	0.148487
21	-0.096325	-0.9438	0.173824
22	0.081469	0.7982	0.213355
23	-0.082167	-0.8051	0.211385
24	0.004221	0.0414	0.483548
25	0.058409	0.5723	0.284233
26	-0.186378	-1.8261	0.03547
27	0.120743	1.183	0.119859
28	-0.083188	-0.8151	0.208524
29	0.036769	0.3603	0.359723
30	-0.021351	-0.2092	0.417368
31	-0.087289	-0.8553	0.197271
32	-0.006204	-0.0608	0.475828
33	0.014038	0.1375	0.445446
34	-0.022304	-0.2185	0.413739
35	-0.029099	-0.2851	0.388086
36	0.095052	0.9313	0.177013
37	-0.167212	-1.6383	0.052313
38	0.187348	1.8356	0.034754
39	-0.081324	-0.7968	0.213764
40	0.032733	0.3207	0.374563
41	0.116098	1.1375	0.129075
42	0.009599	0.094	0.462633
43	0.012685	0.1243	0.450672
44	-0.020656	-0.2024	0.420021
45	0.007212	0.0707	0.471906
46	0.030667	0.3005	0.382234
47	0.001108	0.0109	0.495682
48	-0.048634	-0.4765	0.317396
49	0.027816	0.2725	0.392896
50	-0.03445	-0.3375	0.368223
51	-0.050365	-0.4935	0.311403
52	0.08464	0.8293	0.204496
53	-0.105944	-1.038	0.15093
54	0.016347	0.1602	0.436544
55	0.090503	0.8867	0.188717
56	0.009156	0.0897	0.464353
57	0.046178	0.4524	0.325983
58	-0.010309	-0.101	0.459878
59	0.036237	0.3551	0.361665
60	0.045525	0.4461	0.328282

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.208543	-2.0433	0.021882
2	-0.005236	-0.0513	0.479596
3	-0.027918	-0.2735	0.392515
4	0.018406	0.1803	0.428631
5	0.077509	0.7594	0.224729
6	0.075439	0.7392	0.230809
7	-0.037982	-0.3721	0.355303
8	-0.175482	-1.7194	0.044385
9	0.00356	0.0349	0.486123
10	-0.052491	-0.5143	0.304111
11	0.085322	0.836	0.202622
12	-0.353336	-3.462	0.000401
13	-0.05301	-0.5194	0.302342
14	0.247872	2.4286	0.008509
15	-0.063105	-0.6183	0.268922
16	0.057457	0.563	0.287386
17	-0.04905	-0.4806	0.315952
18	-0.054356	-0.5326	0.297777
19	0.068614	0.6723	0.251511
20	-0.007258	-0.0711	0.471727
21	-0.030626	-0.3001	0.382385
22	0.10069	0.9866	0.16317
23	-0.023836	-0.2335	0.407917
24	-0.169989	-1.6655	0.049532
25	-0.004177	-0.0409	0.48372
26	-0.032141	-0.3149	0.376756
27	0.04354	0.4266	0.335312
28	-0.016086	-0.1576	0.437549
29	-0.033534	-0.3286	0.371601
30	-0.052009	-0.5096	0.305756
31	-0.034828	-0.3412	0.366833
32	0.02186	0.2142	0.41543
33	-0.084547	-0.8284	0.204752
34	-0.003435	-0.0337	0.486611
35	-0.044059	-0.4317	0.333467
36	-0.012046	-0.118	0.453149
37	-0.068539	-0.6715	0.251744
38	0.061395	0.6015	0.274449
39	0.015771	0.1545	0.43876
40	0.038127	0.3736	0.354777
41	0.096241	0.943	0.174033
42	0.039199	0.3841	0.350886
43	-0.038295	-0.3752	0.354165
44	-0.007881	-0.0772	0.469306
45	-0.012416	-0.1217	0.451713
46	0.060274	0.5906	0.278101
47	-0.066387	-0.6505	0.258476
48	0.003444	0.0337	0.486576
49	-0.03246	-0.318	0.375571
50	0.06197	0.6072	0.272582
51	-0.049955	-0.4895	0.312818
52	0.001789	0.0175	0.493027
53	0.086798	0.8504	0.198598
54	-0.036619	-0.3588	0.360268
55	0.062286	0.6103	0.271561
56	0.034478	0.3378	0.368121
57	0.055755	0.5463	0.29307
58	0.051176	0.5014	0.30861
59	0.029786	0.2918	0.38552
60	0.007748	0.0759	0.469821

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t12288214272pfkobp5gd8r2or/1p13d1228821386.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t12288214272pfkobp5gd8r2or/1p13d1228821386.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t12288214272pfkobp5gd8r2or/23eik1228821386.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t12288214272pfkobp5gd8r2or/23eik1228821386.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -0.5 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -0.5 ; 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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