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step acf

*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 08:39:34 -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/t1228837246m916tub0k2upxi8.htm/, Retrieved Tue, 09 Dec 2008 15:40:48 +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/t1228837246m916tub0k2upxi8.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 «
105.2 91.5 75.3 60.5 80.4 84.5 93.9 78 92.3 90 72.1 76.9 76 88.7 55.4 46.6 90.9 84.9 89 90.2 72.3 83 71.6 75.4 85.1 81.2 68.7 68.4 93.7 96.6 101.8 93.6 88.9 114.1 82.3 96.4 104 88.2 85.2 87.1 85.5 89.1 105.2 82.9 86.8 112 97.4 88.9 109.4 87.8 90.5 79.3 114.9 118.8 125 96.1 116.7 119.5 104.1 121 127.3 117.7 108 89.4 137.4 142 137.3 122.8 126.1 147.6 115.7 139.2 151.2 123.8 109 112.1 136.4 135.5 138.7 137.5 141.5 143.6 146.5 200.7 196.2
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time3 seconds
R Server'George Udny Yule' @ 72.249.76.132


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.7451026.86950
20.5834575.37920
30.5755825.30660
40.5602725.16551e-06
50.5421154.99812e-06
60.4944244.55849e-06
70.5072844.67695e-06
80.4657684.29422.3e-05
90.3818823.52080.000347
100.3888453.5850.000281
110.4811354.43581.4e-05
120.5515795.08531e-06
130.3890723.58710.000279
140.3270733.01550.001691
150.3325723.06620.001453
160.2857482.63450.005006
170.2978362.74590.003682
180.2565482.36530.010147
190.2603422.40020.009284
200.1842171.69840.046546
210.0963420.88820.188462
220.1209771.11540.133921
230.1802411.66170.050125
240.1987391.83230.035206
250.088110.81230.209433
260.0527890.48670.313866
270.0506540.4670.320843
280.0118660.10940.45657
290.022950.21160.416468
30-0.002971-0.02740.489106
31-0.021534-0.19850.421552
32-0.074862-0.69020.245976
33-0.120373-1.10980.135111
34-0.107161-0.9880.162984
35-0.066752-0.61540.269961
36-0.028742-0.2650.395829
37-0.106916-0.98570.163534
38-0.129588-1.19470.117755
39-0.14772-1.36190.088413
40-0.169533-1.5630.060882
41-0.159533-1.47080.072516
42-0.196477-1.81140.036803
43-0.206788-1.90650.029983
44-0.217972-2.00960.023823
45-0.238476-2.19860.01531
46-0.224553-2.07030.020731
47-0.183244-1.68940.047402
48-0.143106-1.31940.095294


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.7451026.86950
20.0635770.58620.279664
30.2733822.52050.006794
40.0955710.88110.190369
50.1206261.11210.134612
6-0.007442-0.06860.472731
70.1572511.44980.0754
8-0.076919-0.70920.240084
9-0.07304-0.67340.251263
100.0816960.75320.226706
110.2398892.21170.014836
120.1934861.78390.039008
13-0.344379-3.1750.001044
140.0361390.33320.369909
15-0.091189-0.84070.201432
16-0.048547-0.44760.327797
170.0821490.75740.225459
18-0.126435-1.16570.123504
190.0474130.43710.331565
20-0.14901-1.37380.086558
210.0036650.03380.486562
22-0.046339-0.42720.335149
230.0717620.66160.255004
240.0127950.1180.453186
25-0.097094-0.89520.186614
260.0034240.03160.487444
27-0.062138-0.57290.284119
280.03210.2960.383995
29-0.068887-0.63510.263534
30-0.004619-0.04260.483066
31-0.0808-0.74490.229182
320.0489450.45130.326478
330.0340990.31440.377003
34-0.121917-1.1240.132084
350.1088611.00360.159198
360.0294140.27120.393453
37-0.039346-0.36270.358846
38-0.005985-0.05520.478061
39-0.092082-0.8490.199145
400.0283480.26140.397225
41-0.094661-0.87270.192634
42-0.012805-0.11810.453152
43-0.047097-0.43420.332617
440.0895150.82530.20576
450.0250080.23060.409103
46-0.025999-0.23970.405569
470.0356780.32890.371508
48-0.002094-0.01930.49232
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228837246m916tub0k2upxi8/1tq9w1228837171.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228837246m916tub0k2upxi8/1tq9w1228837171.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228837246m916tub0k2upxi8/2v2gm1228837171.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228837246m916tub0k2upxi8/2v2gm1228837171.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;
 
Parameters (R input):
par1 = 48 ; par2 = 1 ; 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')
 




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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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