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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: Sat, 13 Dec 2008 02:49:43 -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/13/t1229161824sg39k3avlibwdu6.htm/, Retrieved Sat, 13 Dec 2008 10:50:24 +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/13/t1229161824sg39k3avlibwdu6.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 «

105.2 91.5 75.3 60.5 80.4 84.5 93.9 78 92.3 90 72.1 76.9 76 88.7 55.4 46.6 90.9 84.9 89 90.2 72.3 83 71.6 75.4 85.1 81.2 68.7 68.4 93.7 96.6 101.8 93.6 88.9 114.1 82.3 96.4 104 88.2 85.2 87.1 85.5 89.1 105.2 82.9 86.8 112 97.4 88.9 109.4 87.8 90.5 79.3 114.9 118.8 125 96.1 116.7 119.5 104.1 121 127.3 117.7 108 89.4 137.4 142 137.3 122.8 126.1 147.6 115.7 139.2 151.2 123.8 109 112.1 136.4 135.5 138.7 137.5 141.5 143.6 146.5 200.7 196.2

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	0.344141	2.9403	0.002194
2	0.277083	2.3674	0.010283
3	0.365695	3.1245	0.001278
4	0.119429	1.0204	0.155454
5	0.085625	0.7316	0.233384
6	0.177584	1.5173	0.066757
7	0.052507	0.4486	0.327517
8	0.168232	1.4374	0.077442
9	-0.02201	-0.1881	0.425677
10	-0.041174	-0.3518	0.363004
11	-0.012311	-0.1052	0.45826
12	-0.233362	-1.9938	0.024952
13	-0.130291	-1.1132	0.134636
14	-0.156897	-1.3405	0.092116
15	-0.185458	-1.5846	0.058695
16	-0.099968	-0.8541	0.197915
17	-0.0567	-0.4844	0.31476
18	-0.183202	-1.5653	0.060922
19	-0.014983	-0.128	0.449246
20	-0.01105	-0.0944	0.462521
21	-0.101273	-0.8653	0.194861
22	0.009201	0.0786	0.468778
23	0.11817	1.0096	0.158
24	-0.071171	-0.6081	0.27251
25	0.041681	0.3561	0.361389
26	0.188797	1.6131	0.055521
27	0.168634	1.4408	0.076957
28	0.173251	1.4803	0.071554
29	0.258192	2.206	0.015266
30	0.204228	1.7449	0.042603
31	0.120543	1.0299	0.153224
32	0.048791	0.4169	0.338997
33	0.07845	0.6703	0.252398
34	0.043537	0.372	0.355493
35	0.01812	0.1548	0.438697
36	0.017245	0.1473	0.441633
37	0.061022	0.5214	0.301844
38	-0.122996	-1.0509	0.148391
39	-0.169151	-1.4452	0.076336
40	-0.148915	-1.2723	0.103647
41	-0.241048	-2.0595	0.021506
42	-0.173344	-1.4811	0.071448
43	-0.097958	-0.837	0.202674
44	-0.16472	-1.4074	0.081781
45	-0.047669	-0.4073	0.342495
46	-0.084655	-0.7233	0.235905
47	-0.174088	-1.4874	0.070607
48	-0.022017	-0.1881	0.425654

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.344141	2.9403	0.002194
2	0.179964	1.5376	0.064234
3	0.264434	2.2593	0.013424
4	-0.109105	-0.9322	0.177155
5	-0.040031	-0.342	0.366658
6	0.093744	0.8009	0.21288
7	-0.015277	-0.1305	0.448253
8	0.156005	1.3329	0.093354
9	-0.222023	-1.897	0.030894
10	-0.036709	-0.3136	0.377343
11	-0.050741	-0.4335	0.332952
12	-0.20092	-1.7167	0.045141
13	0.04955	0.4234	0.336639
14	-0.151698	-1.2961	0.09951
15	0.076424	0.653	0.257914
16	-0.037319	-0.3189	0.375374
17	0.104917	0.8964	0.18649
18	-0.12312	-1.0519	0.148148
19	0.091498	0.7818	0.218442
20	0.134931	1.1529	0.126366
21	-0.144642	-1.2358	0.110243
22	0.129893	1.1098	0.135362
23	0.056275	0.4808	0.316045
24	-0.150489	-1.2858	0.101293
25	0.036921	0.3155	0.376659
26	0.154787	1.3225	0.095066
27	0.155785	1.331	0.093661
28	-0.043088	-0.3681	0.356916
29	0.188206	1.608	0.056072
30	-0.095341	-0.8146	0.208978
31	-0.051388	-0.4391	0.330959
32	-0.030056	-0.2568	0.399027
33	-0.082871	-0.7081	0.240583
34	0.009074	0.0775	0.469208
35	0.007271	0.0621	0.475316
36	-0.092464	-0.79	0.21604
37	0.068964	0.5892	0.278762
38	-0.16984	-1.4511	0.075516
39	-0.097511	-0.8331	0.203743
40	-0.026002	-0.2222	0.412406
41	0.067837	0.5796	0.281985
42	-0.006685	-0.0571	0.477304
43	0.026257	0.2243	0.411561
44	0.080696	0.6895	0.246356
45	-0.028868	-0.2467	0.402935
46	-0.053882	-0.4604	0.323311
47	0.050248	0.4293	0.334479
48	-0.003426	-0.0293	0.488363

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229161824sg39k3avlibwdu6/1h6p21229161779.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229161824sg39k3avlibwdu6/1h6p21229161779.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229161824sg39k3avlibwdu6/2pxp01229161779.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229161824sg39k3avlibwdu6/2pxp01229161779.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 0.1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 0.1 ; 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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