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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 04:32:38 -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/t1228822411x3clsxuewzfmdxg.htm/, Retrieved Tue, 09 Dec 2008 11:33:33 +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/t1228822411x3clsxuewzfmdxg.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	-0.009762	-0.075	0.470241
2	-0.057552	-0.4421	0.33003
3	0.231455	1.7778	0.040292
4	0.125147	0.9613	0.170169
5	-0.178089	-1.3679	0.088261
6	-0.029416	-0.226	0.41101
7	0.009211	0.0707	0.471919
8	-0.137825	-1.0587	0.147037
9	-0.019731	-0.1516	0.440026
10	0.002515	0.0193	0.492327
11	0.024064	0.1848	0.426995
12	-0.117236	-0.9005	0.185757
13	-0.037451	-0.2877	0.387304
14	-0.00349	-0.0268	0.489353
15	-0.121418	-0.9326	0.177406
16	-0.205124	-1.5756	0.060234
17	-0.052062	-0.3999	0.345339
18	0.020936	0.1608	0.436395
19	-0.132357	-1.0167	0.156735
20	0.075144	0.5772	0.283003
21	0.0243	0.1866	0.426288
22	0.09992	0.7675	0.222922
23	-0.052606	-0.4041	0.34381
24	-0.042718	-0.3281	0.371991
25	0.085214	0.6545	0.257652
26	0.022265	0.171	0.432397
27	-0.02879	-0.2211	0.412875
28	0.003745	0.0288	0.488575
29	0.047091	0.3617	0.35943
30	-0.060748	-0.4666	0.321248
31	0.034501	0.265	0.395965
32	-0.001593	-0.0122	0.495138
33	-0.066304	-0.5093	0.306223
34	-0.013949	-0.1071	0.45752
35	-0.027749	-0.2131	0.415974
36	-0.014854	-0.1141	0.454775

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.009762	-0.075	0.470241
2	-0.057652	-0.4428	0.329752
3	0.231088	1.775	0.040526
4	0.130945	1.0058	0.159308
5	-0.160707	-1.2344	0.110971
6	-0.083086	-0.6382	0.262908
7	-0.067825	-0.521	0.302167
8	-0.088895	-0.6828	0.248698
9	0.048412	0.3719	0.355664
10	-0.000155	-0.0012	0.499526
11	0.074116	0.5693	0.285657
12	-0.115937	-0.8905	0.188399
13	-0.093693	-0.7197	0.237286
14	-0.049035	-0.3766	0.353894
15	-0.108592	-0.8341	0.203791
16	-0.175083	-1.3448	0.091913
17	-0.081679	-0.6274	0.266413
18	0.039379	0.3025	0.381677
19	-0.034627	-0.266	0.395593
20	0.100547	0.7723	0.221505
21	-0.060164	-0.4621	0.322844
22	0.085175	0.6542	0.257748
23	-0.125158	-0.9614	0.170148
24	-0.173453	-1.3323	0.09394
25	0.033121	0.2544	0.400033
26	0.041279	0.3171	0.376154
27	0.070644	0.5426	0.294716
28	-0.01749	-0.1343	0.446795
29	-0.063734	-0.4895	0.313134
30	-0.090422	-0.6945	0.245032
31	-0.080686	-0.6198	0.2689
32	-0.08691	-0.6676	0.253506
33	-0.076797	-0.5899	0.278759
34	0.014885	0.1143	0.454681
35	-0.052173	-0.4008	0.345025
36	0.018295	0.1405	0.444362

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228822411x3clsxuewzfmdxg/1cea11228822357.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228822411x3clsxuewzfmdxg/1cea11228822357.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228822411x3clsxuewzfmdxg/2tnnl1228822357.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228822411x3clsxuewzfmdxg/2tnnl1228822357.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = -0.7 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = -0.7 ; 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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