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Toon Wouters

*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 10:32:59 -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/t1228844017gxiw6ud1r0lx9vv.htm/, Retrieved Tue, 09 Dec 2008 17:33:37 +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/t1228844017gxiw6ud1r0lx9vv.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 «

94 118.6 135 132.7 110.1 111 159.4 129.9 124.8 140.5 120.6 121.6 107.3 130.7 134.9 128.3 99.8 96.7 134.1 131.6 118 133.2 109.3 111.9 98.3 116.3 113.6 121.3 93.7 92.3 132 114.3 123.1 117.3 106 107.5 104.3 112.6 113.9 132.8 88.8 97.7 131.2 116.1 124.7 128.2 105 102.3 98.4 111.1 125.3 123.6 86.7 100.6 123.3 112.2 120.8 114.8 107.3 107.5 93.1 112.4 127.9 120.7 91 98.5 118.9 113.8 113.8 118.7 105.1 101.4 84.1 107.2 119.9 105.4 88.6 90.5 108.5 104.7 100 113.1 96.7 98.5

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	0.239838	2.0351	0.022762
2	0.280534	2.3804	0.009971
3	0.211181	1.7919	0.038673
4	0.093185	0.7907	0.215858
5	0.111647	0.9474	0.173313
6	0.083659	0.7099	0.240039
7	0.165076	1.4007	0.082797
8	0.095513	0.8105	0.210176
9	0.168225	1.4274	0.078888
10	-0.128282	-1.0885	0.140001
11	-0.018039	-0.1531	0.439389
12	-0.217266	-1.8436	0.034681
13	-0.182403	-1.5477	0.063035
14	-0.123714	-1.0498	0.148672
15	-0.070507	-0.5983	0.275767
16	-0.128384	-1.0894	0.139812
17	-0.025439	-0.2159	0.414855
18	-0.155568	-1.32	0.095502
19	-0.201495	-1.7097	0.04581
20	-0.022429	-0.1903	0.424798
21	-0.179415	-1.5224	0.066147
22	-0.073992	-0.6278	0.266046
23	0.014457	0.1227	0.451353
24	-0.002872	-0.0244	0.490313
25	-0.06448	-0.5471	0.292991
26	0.093418	0.7927	0.215284
27	-0.110532	-0.9379	0.175718
28	-0.072927	-0.6188	0.268999
29	-0.022929	-0.1946	0.423144
30	-0.030891	-0.2621	0.39699
31	0.056047	0.4756	0.317907
32	-0.067457	-0.5724	0.284419
33	-0.051982	-0.4411	0.330238
34	-0.109468	-0.9289	0.17803
35	-0.124667	-1.0578	0.146833
36	-0.195413	-1.6581	0.050821
37	-0.016787	-0.1424	0.443564
38	-0.090381	-0.7669	0.222822
39	-0.081451	-0.6911	0.245853
40	-0.022949	-0.1947	0.423077
41	-0.124928	-1.0601	0.146332
42	-0.065602	-0.5567	0.289746
43	-0.12829	-1.0886	0.139985
44	-0.08334	-0.7072	0.240874
45	-0.034506	-0.2928	0.385262
46	0.029545	0.2507	0.401381
47	0.056482	0.4793	0.316601
48	0.040752	0.3458	0.365252
49	0.118763	1.0077	0.158478
50	0.087318	0.7409	0.230577
51	0.06545	0.5554	0.290184
52	0.081986	0.6957	0.244435
53	0.074968	0.6361	0.263357
54	0.125609	1.0658	0.145032
55	0.100742	0.8548	0.197742
56	0.092677	0.7864	0.21711
57	0.152836	1.2969	0.099411
58	0.047999	0.4073	0.342504
59	0.016693	0.1416	0.443879
60	0.021066	0.1787	0.429319

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.239838	2.0351	0.022762
2	0.236622	2.0078	0.024208
3	0.115845	0.983	0.164456
4	-0.031791	-0.2698	0.394059
5	0.026911	0.2283	0.410012
6	0.028285	0.24	0.405505
7	0.128651	1.0916	0.139315
8	0.014	0.1188	0.452884
9	0.087113	0.7392	0.231102
10	-0.270694	-2.2969	0.012267
11	-0.035479	-0.3011	0.382122
12	-0.217222	-1.8432	0.034708
13	-0.064768	-0.5496	0.292156
14	-0.029656	-0.2516	0.401018
15	0.09163	0.7775	0.219705
16	-0.119626	-1.0151	0.156739
17	0.119385	1.013	0.157223
18	-0.157626	-1.3375	0.092635
19	0.000743	0.0063	0.497492
20	0.087621	0.7435	0.229802
21	0.014055	0.1193	0.4527
22	-0.089149	-0.7565	0.225922
23	0.113404	0.9623	0.169568
24	-0.076925	-0.6527	0.258005
25	-0.051809	-0.4396	0.330767
26	0.085179	0.7228	0.236082
27	-0.086128	-0.7308	0.233631
28	-0.133294	-1.131	0.130896
29	0.002342	0.0199	0.492099
30	0.019968	0.1694	0.432965
31	-0.005218	-0.0443	0.482403
32	-0.119436	-1.0134	0.15712
33	-0.059266	-0.5029	0.30829
34	-0.137125	-1.1635	0.124226
35	-0.083021	-0.7045	0.24171
36	-0.029703	-0.252	0.400864
37	0.062506	0.5304	0.298741
38	-0.031423	-0.2666	0.395255
39	-0.019911	-0.1689	0.433155
40	-0.086736	-0.736	0.232067
41	-0.052958	-0.4494	0.327259
42	0.055738	0.473	0.31884
43	-0.083153	-0.7056	0.241365
44	-0.029704	-0.252	0.400862
45	0.028714	0.2436	0.404099
46	-0.116373	-0.9875	0.163362
47	0.064253	0.5452	0.293648
48	-0.021676	-0.1839	0.427293
49	0.088991	0.7551	0.226322
50	0.033618	0.2853	0.388133
51	-0.024144	-0.2049	0.419128
52	-0.059613	-0.5058	0.307259
53	-0.022581	-0.1916	0.424296
54	-0.027133	-0.2302	0.409283
55	0.014502	0.123	0.451205
56	-0.077711	-0.6594	0.255872
57	0.037945	0.322	0.374202
58	-0.062295	-0.5286	0.299358
59	-0.050182	-0.4258	0.335759
60	-0.038722	-0.3286	0.371719

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228844017gxiw6ud1r0lx9vv/14vt81228843972.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228844017gxiw6ud1r0lx9vv/14vt81228843972.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228844017gxiw6ud1r0lx9vv/2n4ij1228843972.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228844017gxiw6ud1r0lx9vv/2n4ij1228843972.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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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