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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: Mon, 15 Dec 2008 08:56:41 -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/15/t12293566992spnjfix4wboooh.htm/, Retrieved Mon, 15 Dec 2008 16:58:22 +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/15/t12293566992spnjfix4wboooh.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 «

118.3 127.3 112.3 114.9 108.2 105.4 122.1 113.5 110 125.3 114.3 115.6 127.1 123 122.2 126.4 112.7 105.8 120.9 116.3 115.7 127.9 108.3 121.1 128.6 123.1 127.7 126.6 118.4 110 129.6 115.8 125.9 128.4 114 125.6 128.5 136.6 133.1 124.6 123.5 117.2 135.5 124.8 127.8 133.1 125.7 128.4 131.9 146.3 140.6 129.5 132.4 125.9 126.9 135.8 129.5 130.2 133.8 123.3 140.6

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.402796	3.1459	0.00128
2	0.392586	3.0662	0.001615
3	0.457612	3.5741	0.000347
4	0.172424	1.3467	0.091534
5	0.373768	2.9192	0.002455
6	0.408746	3.1924	0.001116
7	0.245776	1.9196	0.029796
8	0.156501	1.2223	0.113146
9	0.259093	2.0236	0.0237
10	0.172372	1.3463	0.091599
11	0.271849	2.1232	0.018901
12	0.492558	3.847	0.000144
13	0.192177	1.501	0.069263
14	0.168529	1.3163	0.096507
15	0.159077	1.2424	0.109416
16	-0.019854	-0.1551	0.438643
17	0.101417	0.7921	0.215688
18	0.145318	1.135	0.130414
19	-0.026576	-0.2076	0.418131
20	-0.068001	-0.5311	0.298637
21	-0.056138	-0.4385	0.331303
22	-0.033001	-0.2577	0.398734
23	0.036604	0.2859	0.387965
24	0.078752	0.6151	0.270398
25	-0.018866	-0.1474	0.44167
26	-0.09601	-0.7499	0.228111
27	-0.106971	-0.8355	0.203357
28	-0.150427	-1.1749	0.122305
29	-0.132993	-1.0387	0.151519
30	-0.127158	-0.9931	0.162283
31	-0.158945	-1.2414	0.109606
32	-0.229198	-1.7901	0.039201
33	-0.240017	-1.8746	0.032819
34	-0.150548	-1.1758	0.122118
35	-0.18682	-1.4591	0.074832
36	-0.088558	-0.6917	0.245888
37	-0.117964	-0.9213	0.180254
38	-0.246985	-1.929	0.029192
39	-0.166792	-1.3027	0.098789
40	-0.212433	-1.6592	0.051109
41	-0.213817	-1.67	0.050025
42	-0.211325	-1.6505	0.05199
43	-0.188451	-1.4718	0.073101
44	-0.232024	-1.8122	0.037441
45	-0.219998	-1.7182	0.045412
46	-0.17005	-1.3281	0.094542
47	-0.208978	-1.6322	0.053898
48	-0.128393	-1.0028	0.159963
49	-0.121311	-0.9475	0.173568
50	-0.173451	-1.3547	0.090255
51	-0.088801	-0.6936	0.245295
52	-0.131628	-1.028	0.153993
53	-0.134306	-1.049	0.149166
54	-0.056793	-0.4436	0.329461
55	-0.106142	-0.829	0.20517
56	-0.079453	-0.6205	0.268605
57	-0.030046	-0.2347	0.407626
58	-0.05213	-0.4072	0.342661
59	0.012719	0.0993	0.460599
60	-0.019316	-0.1509	0.440291

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.402796	3.1459	0.00128
2	0.274951	2.1474	0.01787
3	0.299849	2.3419	0.011234
4	-0.167189	-1.3058	0.098264
5	0.240505	1.8784	0.032554
6	0.212124	1.6567	0.051353
7	-0.000891	-0.007	0.497236
8	-0.297892	-2.3266	0.011662
9	0.175152	1.368	0.088169
10	0.101161	0.7901	0.216267
11	0.14275	1.1149	0.134631
12	0.255366	1.9945	0.025288
13	-0.108932	-0.8508	0.199107
14	-0.212695	-1.6612	0.050903
15	-0.157944	-1.2336	0.111045
16	-0.092493	-0.7224	0.236406
17	-0.092977	-0.7262	0.235255
18	0.018584	0.1451	0.442538
19	-0.030455	-0.2379	0.406392
20	-0.060457	-0.4722	0.31924
21	-0.080759	-0.6307	0.26528
22	0.190381	1.4869	0.071093
23	0.003833	0.0299	0.488106
24	-0.17067	-1.333	0.093748
25	-0.047061	-0.3676	0.357237
26	0.037768	0.295	0.384505
27	-0.054579	-0.4263	0.335705
28	-0.034924	-0.2728	0.392977
29	-0.044339	-0.3463	0.365154
30	-0.079889	-0.6239	0.267494
31	0.094278	0.7363	0.232174
32	0.045488	0.3553	0.361805
33	-0.099194	-0.7747	0.220746
34	-0.043782	-0.3419	0.366783
35	-0.051045	-0.3987	0.345762
36	0.065717	0.5133	0.304811
37	-0.016083	-0.1256	0.450225
38	-0.042284	-0.3302	0.371173
39	0.042024	0.3282	0.371934
40	-0.062877	-0.4911	0.312565
41	-0.014758	-0.1153	0.454307
42	-0.074362	-0.5808	0.281763
43	0.067112	0.5242	0.301033
44	0.040425	0.3157	0.376644
45	-0.009166	-0.0716	0.47158
46	-0.133396	-1.0419	0.150795
47	0.034249	0.2675	0.394997
48	-0.003628	-0.0283	0.488745
49	-0.017742	-0.1386	0.445123
50	-0.01798	-0.1404	0.444392
51	0.142001	1.1091	0.135877
52	0.027117	0.2118	0.416489
53	-0.025864	-0.202	0.420293
54	0.055826	0.436	0.332183
55	-0.038654	-0.3019	0.381878
56	-0.013522	-0.1056	0.45812
57	0.053286	0.4162	0.33937
58	0.019047	0.1488	0.441116
59	0.056329	0.4399	0.330768
60	-0.037609	-0.2937	0.384979

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t12293566992spnjfix4wboooh/1wubr1229356599.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t12293566992spnjfix4wboooh/1wubr1229356599.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t12293566992spnjfix4wboooh/2fafl1229356599.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t12293566992spnjfix4wboooh/2fafl1229356599.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')

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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