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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 04:18:29 -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/t1228821539gmy6vut7v449rqr.htm/, Retrieved Tue, 09 Dec 2008 11:19:01 +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/t1228821539gmy6vut7v449rqr.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	0.845169	8.324	0
2	0.747451	7.3615	0
3	0.63577	6.2616	0
4	0.534843	5.2676	0
5	0.431795	4.2527	2.4e-05
6	0.3204	3.1556	0.001067
7	0.195261	1.9231	0.0287
8	0.091821	0.9043	0.184029
9	0.028274	0.2785	0.390622
10	-0.050345	-0.4958	0.310564
11	-0.103938	-1.0237	0.154268
12	-0.17397	-1.7134	0.044916
13	-0.121806	-1.1997	0.116598
14	-0.083764	-0.825	0.205704
15	-0.099465	-0.9796	0.164856
16	-0.084211	-0.8294	0.204462
17	-0.098185	-0.967	0.167971
18	-0.106677	-1.0506	0.148015
19	-0.104677	-1.0309	0.152564
20	-0.125062	-1.2317	0.110515
21	-0.166431	-1.6392	0.05221
22	-0.171321	-1.6873	0.047378
23	-0.20142	-1.9838	0.025055
24	-0.208724	-2.0557	0.021249
25	-0.213955	-2.1072	0.01884
26	-0.226077	-2.2266	0.014144
27	-0.180638	-1.7791	0.039179
28	-0.179002	-1.763	0.040528
29	-0.154808	-1.5247	0.065296
30	-0.144084	-1.4191	0.079543
31	-0.111303	-1.0962	0.13785
32	-0.086768	-0.8546	0.197448
33	-0.052581	-0.5179	0.302867
34	-0.04025	-0.3964	0.346335
35	-0.012756	-0.1256	0.450142
36	0.0306	0.3014	0.381886
37	0.029813	0.2936	0.384835
38	0.070737	0.6967	0.243834
39	0.061997	0.6106	0.271447
40	0.077656	0.7648	0.223118
41	0.089908	0.8855	0.18904
42	0.077428	0.7626	0.223783
43	0.057014	0.5615	0.287868
44	0.035764	0.3522	0.362713
45	0.022195	0.2186	0.413713
46	0.014298	0.1408	0.444154
47	-0.010045	-0.0989	0.4607
48	-0.039404	-0.3881	0.3494
49	-0.026894	-0.2649	0.395832
50	-0.040223	-0.3962	0.346431
51	-0.046591	-0.4589	0.323678
52	-0.033606	-0.331	0.370687
53	-0.054742	-0.5391	0.295511
54	-0.040117	-0.3951	0.346815
55	-0.006539	-0.0644	0.474391
56	-0.005406	-0.0532	0.478824
57	-0.02121	-0.2089	0.417484
58	-0.0507	-0.4993	0.309337
59	-0.082365	-0.8112	0.209618
60	-0.119294	-1.1749	0.121454

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.845169	8.324	0
2	0.116001	1.1425	0.128033
3	-0.07349	-0.7238	0.235467
4	-0.039998	-0.3939	0.347247
5	-0.06306	-0.6211	0.268005
6	-0.104175	-1.026	0.153721
7	-0.143417	-1.4125	0.080502
8	-0.041019	-0.404	0.343555
9	0.07399	0.7287	0.233965
10	-0.081495	-0.8026	0.212075
11	-0.007901	-0.0778	0.469069
12	-0.096694	-0.9523	0.171649
13	0.347406	3.4216	0.000456
14	0.073761	0.7265	0.234654
15	-0.271929	-2.6782	0.004347
16	0.035027	0.345	0.365431
17	-0.071827	-0.7074	0.240502
18	-0.103994	-1.0242	0.154139
19	-0.057211	-0.5635	0.28721
20	-0.080379	-0.7916	0.21525
21	0.008348	0.0822	0.467321
22	0.03705	0.3649	0.357992
23	-0.113389	-1.1167	0.13343
24	0.034905	0.3438	0.36588
25	0.173769	1.7114	0.045099
26	-0.016389	-0.1614	0.436053
27	-0.013306	-0.131	0.448004
28	-0.109518	-1.0786	0.141714
29	0.014641	0.1442	0.442824
30	-0.09962	-0.9811	0.164481
31	0.037618	0.3705	0.355912
32	-0.029554	-0.2911	0.38581
33	-0.015645	-0.1541	0.43893
34	0.07484	0.7371	0.231424
35	0.009573	0.0943	0.46254
36	0.105019	1.0343	0.151779
37	-0.009895	-0.0975	0.461282
38	0.065327	0.6434	0.260744
39	-0.03462	-0.341	0.366934
40	-0.06833	-0.673	0.251284
41	-0.047976	-0.4725	0.318814
42	-0.123496	-1.2163	0.113412
43	-0.01967	-0.1937	0.423396
44	-0.033291	-0.3279	0.371854
45	-0.006504	-0.0641	0.474528
46	0.092976	0.9157	0.181046
47	-0.050022	-0.4927	0.311684
48	0.08971	0.8835	0.189563
49	0.105517	1.0392	0.150642
50	-0.031251	-0.3078	0.379451
51	-0.083005	-0.8175	0.207822
52	0.00613	0.0604	0.475993
53	-0.115123	-1.1338	0.12983
54	-0.073809	-0.7269	0.23451
55	0.081035	0.7981	0.21338
56	-0.075651	-0.7451	0.229015
57	-0.047957	-0.4723	0.31888
58	-0.079336	-0.7814	0.218245
59	-0.025918	-0.2553	0.399531
60	-0.063019	-0.6207	0.268137

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228821539gmy6vut7v449rqr/1h3sy1228821507.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228821539gmy6vut7v449rqr/1h3sy1228821507.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228821539gmy6vut7v449rqr/2atxt1228821507.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228821539gmy6vut7v449rqr/2atxt1228821507.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = -0.5 ; 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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