Stefan Temmerman

*Unverified author*

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 04:28:46 -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/t1228822201coe1kq6tq57vikn.htm/, Retrieved Tue, 09 Dec 2008 11:30:02 +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/t1228822201coe1kq6tq57vikn.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 «

10709 10662 10570 10297 10635 10872 10296 10383 10431 10574 10653 10805 10872 10625 10407 10463 10556 10646 10702 11353 11346 11451 11964 12574 13031 13812 14544 14931 14886 16005 17064 15168 16050 15839 15137 14954 15648 15305 15579 16348 15928 16171 15937 15713 15594 15683 16438 17032 17696 17745 19394 20148 20108 18584 18441 18391 19178 18079 18483 19644

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 0.957959 7.4203 0 2 0.919534 7.1227 0 3 0.881897 6.8311 0 4 0.828798 6.4198 0 5 0.777886 6.0255 0 6 0.73146 5.6659 0 7 0.677614 5.2488 1e-06 8 0.61539 4.7668 6e-06 9 0.554432 4.2946 3.2e-05 10 0.49601 3.8421 0.000148 11 0.444396 3.4423 0.000528 12 0.391831 3.0351 0.001776 13 0.344212 2.6663 0.004921 14 0.296586 2.2973 0.012552 15 0.249857 1.9354 0.02883 16 0.205351 1.5906 0.058473 17 0.163864 1.2693 0.104621 18 0.121204 0.9388 0.175789 19 0.075049 0.5813 0.281599 20 0.037576 0.2911 0.386004 21 -0.006367 -0.0493 0.480414 22 -0.047053 -0.3645 0.358395 23 -0.085966 -0.6659 0.254016 24 -0.122857 -0.9516 0.172547 25 -0.152232 -1.1792 0.12149 26 -0.180575 -1.3987 0.083521 27 -0.210957 -1.6341 0.053741 28 -0.240842 -1.8656 0.033498 29 -0.266072 -2.061 0.021823 30 -0.299226 -2.3178 0.011944 31 -0.320505 -2.4826 0.007928 32 -0.345766 -2.6783 0.004767 33 -0.367492 -2.8466 0.00302 34 -0.386994 -2.9976 0.001977 35 -0.405333 -3.1397 0.001312 36 -0.4185 -3.2417 0.000971 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.957959 7.4203 0 2 0.022452 0.1739 0.431261 3 -0.008621 -0.0668 0.47349 4 -0.207095 -1.6041 0.056966 5 -0.01865 -0.1445 0.442811 6 0.025946 0.201 0.420697 7 -0.081454 -0.6309 0.265237 8 -0.152396 -1.1805 0.121238 9 -0.05502 -0.4262 0.33575 10 0.02086 0.1616 0.436089 11 0.093875 0.7272 0.234979 12 -0.05255 -0.4071 0.34271 13 -0.001803 -0.014 0.494452 14 -0.048592 -0.3764 0.353977 15 0.00754 0.0584 0.47681 16 -0.018959 -0.1469 0.441868 17 -0.020027 -0.1551 0.438622 18 -0.077974 -0.604 0.274065 19 -0.097396 -0.7544 0.226772 20 0.059965 0.4645 0.321989 21 -0.091225 -0.7066 0.241266 22 0.000791 0.0061 0.497566 23 -0.063187 -0.4894 0.313156 24 0.007338 0.0568 0.47743 25 0.079181 0.6133 0.270986 26 -0.018628 -0.1443 0.442878 27 -0.088536 -0.6858 0.247741 28 -0.080109 -0.6205 0.268631 29 0.019776 0.1532 0.439384 30 -0.106957 -0.8285 0.205339 31 0.06212 0.4812 0.316071 32 -0.131619 -1.0195 0.156026 33 0.022339 0.173 0.431602 34 -0.02232 -0.1729 0.43166 35 0.015726 0.1218 0.451727 36 0.020679 0.1602 0.43664

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228822201coe1kq6tq57vikn/1l0hc1228822124.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228822201coe1kq6tq57vikn/1l0hc1228822124.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228822201coe1kq6tq57vikn/2vwsu1228822124.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228822201coe1kq6tq57vikn/2vwsu1228822124.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = -0.5 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; 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')

Copyright

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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