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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 10:52:41 -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/t12288452006kmzszm0osovcff.htm/, Retrieved Tue, 09 Dec 2008 17:53:22 +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/t12288452006kmzszm0osovcff.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

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

106,7 110,2 125,9 100,1 106,4 114,8 81,3 87 104,2 108 105 94,5 92 95,9 108,8 103,4 102,1 110,1 83,2 82,7 106,8 113,7 102,5 96,6 92,1 95,6 102,3 98,6 98,2 104,5 84 73,8 103,9 106 97,2 102,6 89 93,8 116,7 106,8 98,5 118,7 90 91,9 113,3 113,1 104,1 108,7 96,7 101 116,9 105,8 99 129,4 83 88,9 115,9 104,2 113,4 112,2 100,8 107,3 126,6 102,9 117,9 128,8 87,5 93,8 122,7 126,2 124,6 116,7 115,2 111,1 129,9 113,3 118,5 137,9 103,6 101,7 127,4 137,5 128,3 118,2 117,1 124,2 126 132,1

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.3575	3.3537	0.000589
2	0.086345	0.81	0.210066
3	0.370281	3.4735	0.000399
4	0.215342	2.0201	0.023208
5	0.319884	3.0008	0.001752
6	0.541709	5.0817	1e-06
7	0.25803	2.4205	0.008776
8	0.152677	1.4322	0.077809
9	0.267869	2.5128	0.006899
10	0.017198	0.1613	0.4361
11	0.209826	1.9683	0.026088
12	0.653434	6.1298	0
13	0.197443	1.8522	0.033676
14	-0.05432	-0.5096	0.305814
15	0.174095	1.6332	0.053005
16	0.049145	0.461	0.322959
17	0.132314	1.2412	0.108912
18	0.320343	3.0051	0.001729
19	0.10141	0.9513	0.172026
20	0.009534	0.0894	0.46447
21	0.104085	0.9764	0.165771
22	-0.107775	-1.011	0.15739
23	0.078751	0.7387	0.231013
24	0.381867	3.5822	0.000279
25	0.039719	0.3726	0.355173
26	-0.136183	-1.2775	0.102392
27	0.000544	0.0051	0.49797
28	-0.093079	-0.8732	0.192476
29	-0.030552	-0.2866	0.387545
30	0.110298	1.0347	0.151826
31	-0.041039	-0.385	0.35059
32	-0.107769	-1.011	0.157404
33	-0.061419	-0.5762	0.282989
34	-0.196884	-1.8469	0.034059
35	-0.080185	-0.7522	0.226969
36	0.200134	1.8774	0.031887
37	-0.060262	-0.5653	0.28665
38	-0.215584	-2.0224	0.023088
39	-0.098298	-0.9221	0.179496
40	-0.167647	-1.5727	0.059692
41	-0.117267	-1.1001	0.137153
42	0.002051	0.0192	0.492347
43	-0.101906	-0.956	0.170855
44	-0.160271	-1.5035	0.068149
45	-0.153847	-1.4432	0.076256
46	-0.259593	-2.4352	0.008451
47	-0.151735	-1.4234	0.079077
48	0.076833	0.7208	0.236485
49	-0.12803	-1.201	0.116481
50	-0.288592	-2.7072	0.004075
51	-0.18606	-1.7454	0.042203
52	-0.218774	-2.0523	0.021557
53	-0.180188	-1.6903	0.047253
54	-0.09919	-0.9305	0.177333
55	-0.161781	-1.5176	0.066345
56	-0.197187	-1.8498	0.033851
57	-0.164288	-1.5412	0.063434
58	-0.232729	-2.1832	0.015842
59	-0.141027	-1.323	0.094639
60	0.035931	0.3371	0.368437

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.3575	3.3537	0.000589
2	-0.047537	-0.4459	0.328369
3	0.407873	3.8262	0.000121
4	-0.081366	-0.7633	0.223668
5	0.415205	3.895	9.5e-05
6	0.264866	2.4847	0.00743
7	0.047785	0.4483	0.327531
8	0.016724	0.1569	0.437849
9	-0.03714	-0.3484	0.364183
10	-0.345897	-3.2448	0.000831
11	0.161299	1.5131	0.066916
12	0.439812	4.1258	4.2e-05
13	-0.160266	-1.5034	0.068154
14	-0.137771	-1.2924	0.0998
15	-0.120391	-1.1294	0.130905
16	-0.086092	-0.8076	0.210745
17	-0.074784	-0.7015	0.24241
18	-0.067571	-0.6339	0.263905
19	0.111081	1.042	0.150125
20	0.023625	0.2216	0.412559
21	0.058874	0.5523	0.291077
22	-0.073497	-0.6895	0.246173
23	0.117687	1.104	0.136301
24	-0.123462	-1.1582	0.124962
25	-0.006659	-0.0625	0.475166
26	-0.054042	-0.507	0.306727
27	-0.069527	-0.6522	0.257981
28	-0.066055	-0.6196	0.268546
29	-0.093782	-0.8798	0.190694
30	-0.044767	-0.42	0.337772
31	0.016705	0.1567	0.437916
32	0.009341	0.0876	0.465185
33	0.024787	0.2325	0.408336
34	0.070223	0.6588	0.255887
35	-0.087397	-0.8199	0.207256
36	0.153361	1.4387	0.076898
37	-0.075619	-0.7094	0.239986
38	-0.00183	-0.0172	0.49317
39	-0.048361	-0.4537	0.325594
40	-0.019495	-0.1829	0.427657
41	-0.02409	-0.226	0.41087
42	-0.065374	-0.6133	0.270643
43	0.022898	0.2148	0.41521
44	-0.058007	-0.5442	0.293854
45	-0.042614	-0.3998	0.345152
46	-0.103008	-0.9663	0.168272
47	0.044955	0.4217	0.337131
48	-0.007449	-0.0699	0.472223
49	-0.046819	-0.4392	0.330796
50	-0.033923	-0.3182	0.375532
51	-0.026604	-0.2496	0.401752
52	0.026092	0.2448	0.403603
53	-0.03163	-0.2967	0.383693
54	-0.032345	-0.3034	0.381141
55	-0.031721	-0.2976	0.383366
56	0.043277	0.406	0.342874
57	0.056904	0.5338	0.297411
58	0.120953	1.1346	0.129804
59	0.015338	0.1439	0.442961
60	-0.019055	-0.1788	0.429271

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t12288452006kmzszm0osovcff/1smem1228845159.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t12288452006kmzszm0osovcff/1smem1228845159.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t12288452006kmzszm0osovcff/2n4fk1228845159.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t12288452006kmzszm0osovcff/2n4fk1228845159.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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')

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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