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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: Fri, 12 Dec 2008 13:20:35 -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/12/t1229113316uy1ce42w5zyc655.htm/, Retrieved Fri, 12 Dec 2008 21:21:56 +0100

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/12/t1229113316uy1ce42w5zyc655.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},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

101.2 100.5 98 106.6 90.1 96.9 125.9 112 100 123.9 79.8 83.4 113.6 112.9 104 109.9 99 106.3 128.9 111.1 102.9 130 87 87.5 117.6 103.4 110.8 112.6 102.5 112.4 135.6 105.1 127.7 137 91 90.5 122.4 123.3 124.3 120 118.1 119 142.7 123.6 129.6 151.6 110.4 99.2 130.5 136.2 129.7 128 121.6 135.8 143.8 147.5 136.2 156.6 123.3 100.4

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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.111277	-0.771	0.222257
2	0.120147	0.8324	0.204653
3	0.18582	1.2874	0.102065
4	-2.7e-05	-2e-04	0.499926
5	0.198385	1.3745	0.087842
6	0.236095	1.6357	0.05422
7	-0.101071	-0.7002	0.243579
8	0.13493	0.9348	0.177279
9	0.067396	0.4669	0.321329
10	0.119743	0.8296	0.205435
11	0.00906	0.0628	0.475104
12	-0.150642	-1.0437	0.150931
13	-0.061946	-0.4292	0.334859
14	-0.12273	-0.8503	0.199691
15	-0.039716	-0.2752	0.392188
16	0.017935	0.1243	0.450815
17	-0.031103	-0.2155	0.415151
18	-0.168905	-1.1702	0.123848
19	-0.091694	-0.6353	0.264133
20	-0.105695	-0.7323	0.23378
21	-0.032954	-0.2283	0.410186
22	-0.249681	-1.7298	0.045043
23	0.100063	0.6933	0.245745
24	-0.159275	-1.1035	0.137658
25	-0.009355	-0.0648	0.474296
26	0.009666	0.067	0.473444
27	-0.109482	-0.7585	0.225926
28	-0.094238	-0.6529	0.258467
29	0.042884	0.2971	0.383833
30	-0.125433	-0.869	0.194579
31	-0.025104	-0.1739	0.431326
32	0.012801	0.0887	0.464849
33	0.004757	0.033	0.486922
34	0.038618	0.2676	0.395094
35	-0.024691	-0.1711	0.432446
36	-0.017558	-0.1216	0.451844

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.111277	-0.771	0.222257
2	0.109115	0.756	0.22668
3	0.215064	1.49	0.071382
4	0.033324	0.2309	0.409197
5	0.16385	1.1352	0.130966
6	0.262748	1.8204	0.03747
7	-0.088426	-0.6126	0.271505
8	-0.012193	-0.0845	0.466516
9	0.020368	0.1411	0.444186
10	0.12183	0.8441	0.20141
11	-0.09329	-0.6463	0.260571
12	-0.273207	-1.8928	0.032209
13	-0.166069	-1.1506	0.127806
14	-0.221287	-1.5331	0.065906
15	-0.129114	-0.8945	0.187752
16	0.009037	0.0626	0.475169
17	0.205339	1.4226	0.080655
18	0.010403	0.0721	0.471422
19	-0.089331	-0.6189	0.269454
20	-0.029094	-0.2016	0.420553
21	0.095911	0.6645	0.254778
22	-0.198591	-1.3759	0.087622
23	0.17133	1.187	0.120533
24	0.096435	0.6681	0.253628
25	0.007508	0.052	0.479365
26	-0.159204	-1.103	0.137764
27	-0.109724	-0.7602	0.225429
28	-0.037239	-0.258	0.398756
29	-0.013614	-0.0943	0.462624
30	-0.006065	-0.042	0.483328
31	-0.048172	-0.3337	0.370012
32	-0.016665	-0.1155	0.454282
33	-0.073991	-0.5126	0.305282
34	-0.010541	-0.073	0.471043
35	0.070323	0.4872	0.314163
36	0.067874	0.4702	0.320155

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229113316uy1ce42w5zyc655/1iyp61229113230.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229113316uy1ce42w5zyc655/1iyp61229113230.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229113316uy1ce42w5zyc655/2nxel1229113230.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229113316uy1ce42w5zyc655/2nxel1229113230.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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