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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 07:08:55 -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/t1228831769lw064b9co7nco04.htm/, Retrieved Tue, 09 Dec 2008 14:09:29 +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/t1228831769lw064b9co7nco04.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 «

137.0 135.9 138.1 137.1 135.1 139.6 131.8 136.7 128.9 131.3 129.5 129.0 129.8 125.4 128.6 130.2 124.6 123.7 124.4 119.2 124.4 123.1 120.9 120.9 117.8 113.6 113.2 115.9 121.1 107.6 114.7 112.8 112.1 109.8 108.5 102.7 110.6 108.2 112.7 107.9 102.7 108.4 108.4 106.9 108.9 103.7 103.6 111.6 105.5 105.5 101.3 103.8 100.3 108.2 105.6 103.0 100.5 104.3 99.1 91.5

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	4 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.502856	-3.8625	0.000141
2	0.075895	0.583	0.281072
3	-0.056424	-0.4334	0.333152
4	0.004253	0.0327	0.487024
5	-0.010018	-0.0769	0.469463
6	0.160498	1.2328	0.111268
7	-0.19766	-1.5183	0.067145
8	0.079073	0.6074	0.272969
9	-0.134516	-1.0332	0.152854
10	0.201469	1.5475	0.063543
11	0.08612	0.6615	0.255434
12	-0.279351	-2.1457	0.01801
13	0.166462	1.2786	0.103019
14	-0.141354	-1.0858	0.141001
15	0.003575	0.0275	0.489094
16	0.175535	1.3483	0.091357
17	-0.042373	-0.3255	0.372988
18	-0.153066	-1.1757	0.122214
19	0.147819	1.1354	0.130395
20	-0.178628	-1.3721	0.087618
21	0.255143	1.9598	0.027375
22	-0.30508	-2.3434	0.01125
23	0.201148	1.545	0.063841
24	-0.131603	-1.0109	0.158105
25	0.025969	0.1995	0.421291
26	0.044756	0.3438	0.366118
27	0.146087	1.1221	0.133179
28	-0.270663	-2.079	0.020987
29	0.163742	1.2577	0.106722
30	-0.066067	-0.5075	0.306857
31	0.006121	0.047	0.48133
32	-0.030789	-0.2365	0.406935
33	0.050154	0.3852	0.350721
34	0.00834	0.0641	0.47457
35	-0.017852	-0.1371	0.4457
36	0.003548	0.0273	0.489174
37	0.043838	0.3367	0.368759
38	-0.068456	-0.5258	0.300491
39	0.026707	0.2051	0.419084
40	0.041298	0.3172	0.376099
41	-0.113213	-0.8696	0.19402
42	0.146007	1.1215	0.133309
43	-0.065818	-0.5056	0.307525
44	0.043609	0.335	0.369419
45	-0.087441	-0.6716	0.252215
46	0.086725	0.6661	0.253957
47	-0.082637	-0.6347	0.264024
48	0.061178	0.4699	0.320074
49	-0.039427	-0.3028	0.381537
50	0.025442	0.1954	0.422865
51	0.009624	0.0739	0.470661
52	0.009439	0.0725	0.471222
53	0.012813	0.0984	0.460966
54	-0.031714	-0.2436	0.404193
55	0.020673	0.1588	0.437187
56	-0.011497	-0.0883	0.464965
57	-0.016529	-0.127	0.449701
58	0.001971	0.0151	0.493987
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.502856	-3.8625	0.000141
2	-0.236864	-1.8194	0.036964
3	-0.18197	-1.3977	0.083713
4	-0.144032	-1.1063	0.136536
5	-0.121338	-0.932	0.177564
6	0.141532	1.0871	0.140702
7	-0.040521	-0.3112	0.378355
8	-0.03894	-0.2991	0.382957
9	-0.191726	-1.4727	0.073077
10	0.041657	0.32	0.37506
11	0.308912	2.3728	0.010466
12	-0.111281	-0.8548	0.198068
13	0.012929	0.0993	0.460616
14	-0.122544	-0.9413	0.175201
15	-0.190161	-1.4607	0.074707
16	0.006592	0.0506	0.479893
17	0.113113	0.8688	0.194227
18	-0.005756	-0.0442	0.482442
19	0.038456	0.2954	0.384367
20	-0.167526	-1.2868	0.101596
21	-0.009639	-0.074	0.470616
22	-0.290511	-2.2315	0.014732
23	-0.00351	-0.027	0.48929
24	-0.044394	-0.341	0.367159
25	-0.031918	-0.2452	0.403588
26	-0.056829	-0.4365	0.332029
27	0.034152	0.2623	0.396991
28	-0.030623	-0.2352	0.407425
29	-0.074385	-0.5714	0.284962
30	0.040967	0.3147	0.37706
31	0.010729	0.0824	0.467298
32	-0.188259	-1.446	0.076728
33	-0.034797	-0.2673	0.395091
34	-0.024158	-0.1856	0.426711
35	0.079736	0.6125	0.271291
36	-0.043819	-0.3366	0.368815
37	-0.054695	-0.4201	0.337961
38	-0.01825	-0.1402	0.444496
39	0.00617	0.0474	0.481181
40	-0.057079	-0.4384	0.331336
41	-0.01904	-0.1462	0.442112
42	0.063604	0.4886	0.313484
43	0.019643	0.1509	0.440293
44	-0.100376	-0.771	0.22189
45	-0.082692	-0.6352	0.263887
46	-0.077207	-0.593	0.277712
47	-0.000932	-0.0072	0.497155
48	0.003793	0.0291	0.488429
49	0.06336	0.4867	0.314146
50	-0.146969	-1.1289	0.131757
51	0.051129	0.3927	0.347968
52	-0.011215	-0.0861	0.465823
53	0.019619	0.1507	0.440364
54	-0.032975	-0.2533	0.400464
55	0.124667	0.9576	0.17109
56	0.027092	0.2081	0.417936
57	-0.055125	-0.4234	0.336764
58	-0.060524	-0.4649	0.32186
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/09/t1228831769lw064b9co7nco04/1pyba1228831728.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228831769lw064b9co7nco04/1pyba1228831728.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228831769lw064b9co7nco04/2941e1228831728.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228831769lw064b9co7nco04/2941e1228831728.ps (open in new window)

Parameters (Session):

Parameters (R input):

par1 = 60 ; par2 = 1 ; 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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