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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: Thu, 11 Dec 2008 07:46:12 -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/11/t12290068179v8cq4lji6rgvu5.htm/, Retrieved Thu, 11 Dec 2008 14:46:59 +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/11/t12290068179v8cq4lji6rgvu5.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)

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

9,0 9,1 8,7 8,2 7,9 7,9 9,1 9,4 9,5 9,1 9,0 9,3 9,9 9,8 9,4 8,3 8,0 8,5 10,4 11,1 10,9 9,9 9,2 9,2 9,5 9,6 9,5 9,1 8,9 9,0 10,1 10,3 10,2 9,6 9,2 9,3 9,4 9,4 9,2 9,0 9,0 9,0 9,8 10,0 9,9 9,3 9,0 9,0 9,1 9,1 9,1 9,2 8,8 8,3 8,4 8,1 7,8 7,9 7,9 8,0 7,9 7,5 7,2 6,9 6,6 6,7 7,3 7,5

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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.859396	7.0868	0
2	0.610058	5.0307	2e-06
3	0.400773	3.3049	0.000759
4	0.351201	2.8961	0.002539
5	0.407834	3.3631	0.000635
6	0.445548	3.6741	0.000236
7	0.381	3.1418	0.001243
8	0.266474	2.1974	0.015701
9	0.192855	1.5903	0.058201
10	0.224625	1.8523	0.034161
11	0.300216	2.4756	0.007898
12	0.310842	2.5633	0.006293
13	0.174847	1.4418	0.076971
14	-0.004604	-0.038	0.484914
15	-0.131016	-1.0804	0.141893
16	-0.127393	-1.0505	0.148602
17	-0.051047	-0.4209	0.33756
18	-0.003928	-0.0324	0.487127
19	-0.032277	-0.2662	0.395461
20	-0.100934	-0.8323	0.204071
21	-0.143836	-1.1861	0.119855
22	-0.118342	-0.9759	0.166293
23	-0.055786	-0.46	0.323483
24	-0.010726	-0.0885	0.464889
25	-0.055747	-0.4597	0.323597
26	-0.136144	-1.1227	0.132763
27	-0.206134	-1.6998	0.046867
28	-0.208719	-1.7211	0.044886
29	-0.174349	-1.4377	0.07755
30	-0.149561	-1.2333	0.110852
31	-0.163071	-1.3447	0.091592
32	-0.204032	-1.6825	0.04853
33	-0.240384	-1.9823	0.025747
34	-0.248431	-2.0486	0.022181
35	-0.226301	-1.8661	0.033169
36	-0.190627	-1.5719	0.060302
37	-0.187239	-1.544	0.063614
38	-0.194413	-1.6032	0.056766
39	-0.213307	-1.759	0.04154
40	-0.216951	-1.789	0.039032
41	-0.216034	-1.7815	0.039651
42	-0.222669	-1.8362	0.035352
43	-0.242544	-2.0001	0.024744
44	-0.260722	-2.15	0.017559
45	-0.259345	-2.1386	0.018031
46	-0.2293	-1.8909	0.031452
47	-0.16746	-1.3809	0.085914
48	-0.091321	-0.753	0.22701

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.859396	7.0868	0
2	-0.491527	-4.0532	6.6e-05
3	0.20784	1.7139	0.045552
4	0.423344	3.491	0.000425
5	-0.034266	-0.2826	0.389183
6	-0.188108	-1.5512	0.062751
7	-0.064816	-0.5345	0.297374
8	0.194738	1.6058	0.056471
9	0.077952	0.6428	0.261255
10	0.072524	0.5981	0.275897
11	-0.093918	-0.7745	0.220668
12	-0.179366	-1.4791	0.071867
13	-0.302222	-2.4922	0.007569
14	0.225468	1.8593	0.033659
15	-0.074265	-0.6124	0.271156
16	-0.090427	-0.7457	0.229216
17	-0.002295	-0.0189	0.492477
18	0.010139	0.0836	0.466805
19	0.102313	0.8437	0.2009
20	-0.022625	-0.1866	0.426278
21	-0.055769	-0.4599	0.323532
22	-0.026145	-0.2156	0.414975
23	0.111535	0.9197	0.180481
24	0.158298	1.3054	0.098086
25	-0.272789	-2.2495	0.013862
26	-0.007792	-0.0643	0.474477
27	-0.010745	-0.0886	0.464827
28	-0.060787	-0.5013	0.308901
29	-0.081244	-0.67	0.252578
30	-0.007078	-0.0584	0.476815
31	-0.034924	-0.288	0.387116
32	-0.106558	-0.8787	0.191329
33	0.025141	0.2073	0.418191
34	-0.05993	-0.4942	0.311379
35	-0.011371	-0.0938	0.462786
36	0.084747	0.6988	0.243518
37	0.001461	0.012	0.495211
38	0.042017	0.3465	0.365024
39	-0.016316	-0.1345	0.446685
40	-0.083443	-0.6881	0.246868
41	-0.088411	-0.7291	0.234235
42	-0.021299	-0.1756	0.430552
43	-0.064447	-0.5314	0.298422
44	-0.042014	-0.3465	0.365036
45	0.064222	0.5296	0.299062
46	0.056525	0.4661	0.321309
47	0.048027	0.396	0.346657
48	0.012367	0.102	0.459537

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t12290068179v8cq4lji6rgvu5/14ky01229006771.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t12290068179v8cq4lji6rgvu5/14ky01229006771.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t12290068179v8cq4lji6rgvu5/2bq0u1229006771.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t12290068179v8cq4lji6rgvu5/2bq0u1229006771.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; 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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Error 001_3: History of computation (impact.txt) is not saved due to a technical problem. We are sorry for this inconveniance and will correct it A.S.A.P.