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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 11:11:21 -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/t1228846343kqxk0p21jon8gpr.htm/, Retrieved Tue, 09 Dec 2008 18:12:23 +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/t1228846343kqxk0p21jon8gpr.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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.708206	-5.5764	0
2	0.184329	1.4514	0.075853
3	0.151754	1.1949	0.118336
4	-0.241318	-1.9001	0.031034
5	0.130132	1.0247	0.154753
6	0.106064	0.8351	0.203421
7	-0.278237	-2.1908	0.016116
8	0.295905	2.33	0.01154
9	-0.225622	-1.7765	0.040274
10	0.060583	0.477	0.317508
11	0.202436	1.594	0.058013
12	-0.376328	-2.9632	0.002157
13	0.322131	2.5365	0.006865
14	-0.168847	-1.3295	0.094277
15	0.053563	0.4218	0.33733
16	0.007806	0.0615	0.475593
17	-0.006858	-0.054	0.478554
18	-0.047073	-0.3707	0.35608
19	0.110524	0.8703	0.193755
20	-0.2007	-1.5803	0.059562
21	0.31397	2.4722	0.008093
22	-0.351283	-2.766	0.003734
23	0.249464	1.9643	0.026992
24	-0.058274	-0.4589	0.323972
25	-0.122101	-0.9614	0.170037
26	0.195237	1.5373	0.064655
27	-0.127306	-1.0024	0.160021
28	0.00192	0.0151	0.493992
29	0.068173	0.5368	0.296666
30	-0.064067	-0.5045	0.307861
31	0.0116	0.0913	0.463759
32	0.084264	0.6635	0.254737
33	-0.187619	-1.4773	0.072327
34	0.23424	1.8444	0.034951
35	-0.1819	-1.4323	0.078543
36	0.061456	0.4839	0.31508
37	0.048279	0.3802	0.352566
38	-0.08091	-0.6371	0.263207
39	0.024875	0.1959	0.422679
40	0.044045	0.3468	0.364953
41	-0.044749	-0.3524	0.362885
42	0.013128	0.1034	0.459003
43	-0.030049	-0.2366	0.406871
44	0.064875	0.5108	0.305645
45	-0.0527	-0.415	0.339803
46	-0.011646	-0.0917	0.463616
47	0.073653	0.5799	0.282028
48	-0.093259	-0.7343	0.232759
49	0.066942	0.5271	0.300003
50	-0.025071	-0.1974	0.422078
51	0.007063	0.0556	0.477913
52	-0.019692	-0.1551	0.438639
53	0.020439	0.1609	0.436333
54	-0.002576	-0.0203	0.491941
55	0.006571	0.0517	0.47945
56	-0.024363	-0.1918	0.424249
57	0.040168	0.3163	0.376425
58	-0.049231	-0.3876	0.349803
59	0.03741	0.2946	0.384653
60	-0.010523	-0.0829	0.467116

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.708206	-5.5764	0
2	-0.636431	-5.0113	2e-06
3	-0.287791	-2.2661	0.013474
4	-0.230425	-1.8144	0.03723
5	-0.31747	-2.4998	0.007544
6	0.057329	0.4514	0.326635
7	0.017913	0.1411	0.444144
8	0.162226	1.2774	0.103117
9	-0.019356	-0.1524	0.439681
10	-0.250773	-1.9746	0.026387
11	0.164417	1.2946	0.100125
12	0.014091	0.111	0.456005
13	0.041435	0.3263	0.372664
14	-0.196833	-1.5499	0.063132
15	0.03069	0.2417	0.404923
16	-0.046492	-0.3661	0.357776
17	-0.067381	-0.5306	0.29881
18	0.007301	0.0575	0.47717
19	0.09223	0.7262	0.235218
20	-0.147223	-1.1592	0.125402
21	0.05221	0.4111	0.341208
22	-0.140846	-1.109	0.135851
23	0.040281	0.3172	0.37609
24	0.10035	0.7902	0.216224
25	-0.034915	-0.2749	0.392146
26	-0.038308	-0.3016	0.381969
27	-0.020769	-0.1635	0.435315
28	0.080356	0.6327	0.264619
29	-0.095014	-0.7481	0.228602
30	-0.00166	-0.0131	0.494805
31	0.017859	0.1406	0.444313
32	-0.004982	-0.0392	0.484417
33	-0.004899	-0.0386	0.484676
34	-0.054089	-0.4259	0.335829
35	0.154636	1.2176	0.113994
36	0.044994	0.3543	0.362165
37	0.010208	0.0804	0.468096
38	-0.056684	-0.4463	0.328458
39	-0.013079	-0.103	0.459155
40	-0.078318	-0.6167	0.269853
41	0.056416	0.4442	0.329216
42	0.056985	0.4487	0.327606
43	-0.05232	-0.412	0.340891
44	-0.048379	-0.3809	0.352277
45	-0.065963	-0.5194	0.302669
46	-0.053044	-0.4177	0.338818
47	-0.083855	-0.6603	0.255761
48	0.006366	0.0501	0.48009
49	-0.005158	-0.0406	0.483867
50	-0.024516	-0.193	0.42378
51	-0.015788	-0.1243	0.450733
52	-0.062599	-0.4929	0.311912
53	-0.038231	-0.301	0.382198
54	0.026304	0.2071	0.4183
55	-0.034466	-0.2714	0.393497
56	0.006957	0.0548	0.478246
57	0.124511	0.9804	0.16535
58	-0.020407	-0.1607	0.436431
59	0.015202	0.1197	0.452552
60	-0.043548	-0.3429	0.366419

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228846343kqxk0p21jon8gpr/1blay1228846276.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228846343kqxk0p21jon8gpr/1blay1228846276.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228846343kqxk0p21jon8gpr/24aql1228846276.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228846343kqxk0p21jon8gpr/24aql1228846276.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 2 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 2 ; 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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