Stefan Temmerman

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 10 Dec 2008 15:38:57 -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/10/t1228948763c4avr84lggj5whu.htm/, Retrieved Wed, 10 Dec 2008 22:39:25 +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/10/t1228948763c4avr84lggj5whu.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 «

7.3 7.1 7.1 6.8 6.5 6.3 6.1 6.1 6.3 6.3 6 6.2 6.4 6.8 7.5 7.5 7.6 7.6 7.4 7.3 7.1 6.9 6.8 7.5 7.6 7.8 8 8.1 8.2 8.3 8.2 8 7.9 7.6 7.6 8.2 8.3 8.4 8.4 8.4 8.6 8.9 8.8 8.3 7.5 7.2 7.5 8.8 9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.6 8.2 8.1 8 8.6 8.7 8.8 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8.1 8.2 8.1 8.1 7.9 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.6 6.2 6.2 6.8 6.9

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 'Gwilym Jenkins' @ 72.249.127.135 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.925839 9.1185 0 2 0.798791 7.8672 0 3 0.677475 6.6724 0 4 0.60615 5.9699 0 5 0.587863 5.7898 0 6 0.574209 5.6553 0 7 0.529088 5.2109 1e-06 8 0.472951 4.658 5e-06 9 0.436467 4.2987 2e-05 10 0.425535 4.191 3.1e-05 11 0.430568 4.2406 2.5e-05 12 0.416437 4.1014 4.3e-05 13 0.339384 3.3425 0.00059 14 0.252127 2.4832 0.007369 15 0.173669 1.7104 0.045191 16 0.128294 1.2636 0.10471 17 0.109611 1.0795 0.141512 18 0.091563 0.9018 0.184702 19 0.054502 0.5368 0.296325 20 0.013603 0.134 0.446849 21 -0.015324 -0.1509 0.440175 22 -0.029082 -0.2864 0.387583 23 -0.035654 -0.3512 0.363117 24 -0.04715 -0.4644 0.321712 25 -0.096661 -0.952 0.171732 26 -0.148079 -1.4584 0.073979 27 -0.192465 -1.8956 0.030497 28 -0.216714 -2.1344 0.017666 29 -0.227214 -2.2378 0.013761 30 -0.235152 -2.316 0.011332 31 -0.245327 -2.4162 0.008777 32 -0.25375 -2.4992 0.007064 33 -0.255315 -2.5146 0.006782 34 -0.260407 -2.5647 0.00593 35 -0.268052 -2.64 0.004831 36 -0.271354 -2.6725 0.004416 37 -0.290631 -2.8624 0.002576 38 -0.297447 -2.9295 0.002116 39 -0.304762 -3.0016 0.001708 40 -0.309838 -3.0516 0.001468 41 -0.326086 -3.2116 0.000896 42 -0.351257 -3.4595 0.000403 43 -0.381063 -3.753 0.000149 44 -0.401305 -3.9524 7.3e-05 45 -0.398097 -3.9208 8.2e-05 46 -0.382282 -3.765 0.000143 47 -0.350786 -3.4548 0.000409 48 -0.312199 -3.0748 0.001368 49 -0.297397 -2.929 0.002119 50 -0.29571 -2.9124 0.002225 51 -0.312138 -3.0742 0.001371 52 -0.331787 -3.2677 0.00075 53 -0.346151 -3.4092 0.000475 54 -0.348341 -3.4308 0.000443 55 -0.344761 -3.3955 0.000497 56 -0.331752 -3.2674 0.000751 57 -0.310939 -3.0624 0.001421 58 -0.290616 -2.8622 0.002577 59 -0.262308 -2.5834 0.005637 60 -0.227271 -2.2384 0.013742 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.925839 9.1185 0 2 -0.408796 -4.0262 5.6e-05 3 0.118337 1.1655 0.12334 4 0.255845 2.5198 0.006688 5 0.138996 1.3689 0.087089 6 -0.175419 -1.7277 0.043614 7 -0.138758 -1.3666 0.087454 8 0.202259 1.992 0.02459 9 0.172923 1.7031 0.045876 10 -0.096408 -0.9495 0.172361 11 -0.054518 -0.5369 0.296268 12 -0.048367 -0.4764 0.317443 13 -0.330442 -3.2545 0.000782 14 0.229459 2.2599 0.013032 15 -0.0996 -0.9809 0.164529 16 -0.064575 -0.636 0.26314 17 -0.080904 -0.7968 0.213754 18 0.087775 0.8645 0.194728 19 -0.017481 -0.1722 0.431831 20 -0.043169 -0.4252 0.33583 21 -0.002513 -0.0248 0.490151 22 0.011451 0.1128 0.455219 23 -0.085391 -0.841 0.201206 24 0.092818 0.9142 0.181452 25 -0.197679 -1.9469 0.027219 26 0.044313 0.4364 0.331747 27 0.002442 0.024 0.490432 28 -0.040178 -0.3957 0.346595 29 -0.086878 -0.8556 0.197151 30 0.043629 0.4297 0.334184 31 0.123128 1.2127 0.1141 32 -0.113955 -1.1223 0.132248 33 -0.053562 -0.5275 0.299516 34 -0.040396 -0.3979 0.345806 35 0.046913 0.462 0.322544 36 0.047317 0.466 0.321124 37 -0.101748 -1.0021 0.159394 38 0.023905 0.2354 0.407182 39 -0.068275 -0.6724 0.251454 40 -0.001767 -0.0174 0.493076 41 -0.15835 -1.5596 0.06106 42 -0.087102 -0.8579 0.196543 43 -0.036766 -0.3621 0.35903 44 0.005285 0.052 0.479299 45 0.073732 0.7262 0.23474 46 0.011984 0.118 0.453146 47 0.107931 1.063 0.145211 48 -0.01122 -0.1105 0.45612 49 -0.128859 -1.2691 0.103719 50 -0.094268 -0.9284 0.177744 51 -0.006007 -0.0592 0.476474 52 -0.054205 -0.5339 0.297329 53 0.020477 0.2017 0.420296 54 -0.03194 -0.3146 0.376882 55 -0.00298 -0.0293 0.488324 56 0.014333 0.1412 0.444017 57 -0.01684 -0.1659 0.43431 58 -0.03047 -0.3001 0.382373 59 -0.028345 -0.2792 0.390355 60 0.005794 0.0571 0.477304

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228948763c4avr84lggj5whu/1rze51228948734.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228948763c4avr84lggj5whu/1rze51228948734.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228948763c4avr84lggj5whu/2dlhe1228948734.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228948763c4avr84lggj5whu/2dlhe1228948734.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')

Copyright

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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