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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 11:37:03 -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/t1228847855k2ecoq19m4ej09q.htm/, Retrieved Tue, 09 Dec 2008 18:37:35 +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/t1228847855k2ecoq19m4ej09q.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 «

113438 109416 109406 105645 101328 97686 93093 91382 122257 139183 139887 131822 116805 113706 113012 110452 107005 102841 98173 98181 137277 147579 146571 138920 130340 128140 127059 122860 117702 113537 108366 111078 150739 159129 157928 147768 137507 136919 136151 133001 125554 119647 114158 116193 152803 161761 160942 149470 139208 134588 130322 126611 122401 117352 112135 112879 148729 157230 157221 146681 136524 132111 125326 122716 116615 113719 110737 112093 143565 149946 149147 134339 122683 115614 116566 111272 104609 101802 94542 93051 124129 130374 123946 114971 105531 104919 104782 101281 94545 93248 84031 87486 115867 120327 117008 108811 104519

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	0.806708	7.9452	0
2	0.489825	4.8242	3e-06
3	0.222669	2.193	0.015348
4	0.078361	0.7718	0.221065
5	0.043411	0.4276	0.334963
6	0.020886	0.2057	0.418728
7	-0.009156	-0.0902	0.464166
8	-0.007117	-0.0701	0.47213
9	0.109557	1.079	0.14163
10	0.337788	3.3268	0.000621
11	0.601692	5.926	0
12	0.737254	7.2611	0
13	0.542282	5.3409	0
14	0.254093	2.5025	0.007002
15	0.012379	0.1219	0.451606
16	-0.117879	-1.161	0.124252
17	-0.158641	-1.5624	0.060721
18	-0.192772	-1.8986	0.030296
19	-0.226743	-2.2332	0.013918
20	-0.226904	-2.2347	0.013864
21	-0.121084	-1.1925	0.117979
22	0.078666	0.7748	0.22018
23	0.302588	2.9801	0.001821
24	0.412202	4.0597	5e-05
25	0.245486	2.4178	0.008742
26	0.003866	0.0381	0.484852
27	-0.192469	-1.8956	0.030495
28	-0.289439	-2.8506	0.002665
29	-0.312119	-3.074	0.001371
30	-0.331073	-3.2607	0.000767
31	-0.348731	-3.4346	0.000437
32	-0.341302	-3.3614	0.000555
33	-0.245857	-2.4214	0.00866
34	-0.077961	-0.7678	0.222229
35	0.110394	1.0873	0.139809
36	0.206172	2.0306	0.022519

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.806708	7.9452	0
2	-0.460892	-4.5393	8e-06
3	0.062567	0.6162	0.2696
4	0.076372	0.7522	0.226884
5	0.044201	0.4353	0.332145
6	-0.139316	-1.3721	0.086597
7	0.024823	0.2445	0.403688
8	0.117422	1.1565	0.125164
9	0.327548	3.226	0.000856
10	0.298001	2.935	0.002082
11	0.360746	3.5529	0.000295
12	0.056907	0.5605	0.288226
13	-0.721107	-7.1021	0
14	0.227806	2.2436	0.013565
15	-0.170289	-1.6772	0.048366
16	-0.073266	-0.7216	0.236144
17	-0.075546	-0.744	0.229325
18	0.105009	1.0342	0.151803
19	-0.038695	-0.3811	0.351981
20	-0.14437	-1.4219	0.079134
21	-0.026285	-0.2589	0.398138
22	-0.075358	-0.7422	0.229882
23	-0.051145	-0.5037	0.3078
24	0.076184	0.7503	0.227436
25	-0.018659	-0.1838	0.427291
26	-0.051002	-0.5023	0.308294
27	0.075294	0.7416	0.230073
28	-0.022863	-0.2252	0.411157
29	-0.000658	-0.0065	0.497419
30	-0.008472	-0.0834	0.466838
31	0.02018	0.1988	0.421435
32	-0.087831	-0.865	0.194578
33	-0.071595	-0.7051	0.24121
34	-0.050881	-0.5011	0.308713
35	0.001888	0.0186	0.492602
36	0.006722	0.0662	0.473674

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228847855k2ecoq19m4ej09q/1annm1228847818.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228847855k2ecoq19m4ej09q/1annm1228847818.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228847855k2ecoq19m4ej09q/2s1c51228847818.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228847855k2ecoq19m4ej09q/2s1c51228847818.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; 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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