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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 09:03:01 -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/t122935727573x7tsomxuf4p8x.htm/, Retrieved Mon, 15 Dec 2008 17:07:55 +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/t122935727573x7tsomxuf4p8x.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	4 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.300328	-2.1023	0.020345
2	-0.032801	-0.2296	0.409676
3	0.240741	1.6852	0.049156
4	-0.120291	-0.842	0.20193
5	0.183365	1.2836	0.102667
6	0.020703	0.1449	0.442683
7	-0.146003	-1.022	0.155895
8	-0.088697	-0.6209	0.268777
9	0.249178	1.7442	0.043693
10	-0.231791	-1.6225	0.055553
11	-0.01079	-0.0755	0.470051
12	0.073993	0.518	0.303411
13	-0.171798	-1.2026	0.117457
14	0.092415	0.6469	0.260357
15	0.043255	0.3028	0.381669
16	-0.133617	-0.9353	0.177106
17	-0.02481	-0.1737	0.43142
18	0.171337	1.1994	0.118078
19	-0.22964	-1.6075	0.057187
20	0.046979	0.3289	0.371835
21	-0.007545	-0.0528	0.479048
22	-0.131826	-0.9228	0.180322
23	0.248473	1.7393	0.04413
24	-0.296426	-2.075	0.02163
25	-0.075083	-0.5256	0.300775
26	0.127592	0.8931	0.188073
27	-0.116414	-0.8149	0.209537
28	-0.042881	-0.3002	0.382659
29	-0.018588	-0.1301	0.448503
30	-0.015528	-0.1087	0.456945
31	-0.040342	-0.2824	0.389414
32	0.169864	1.1891	0.120075
33	-0.141315	-0.9892	0.163712
34	0.057582	0.4031	0.344324
35	0.109758	0.7683	0.222995
36	-0.032374	-0.2266	0.410831
37	0.114532	0.8017	0.213292
38	0.031911	0.2234	0.412084
39	-0.067944	-0.4756	0.318234
40	-0.012373	-0.0866	0.465667
41	0.148967	1.0428	0.151086
42	-0.142644	-0.9985	0.16147
43	0.017273	0.1209	0.452129
44	0.00385	0.027	0.489304
45	-0.07219	-0.5053	0.307797
46	0.102916	0.7204	0.237348
47	-0.067743	-0.4742	0.318731
48	0.017095	0.1197	0.452618
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.300328	-2.1023	0.020345
2	-0.135192	-0.9463	0.174308
3	0.211556	1.4809	0.072519
4	0.019184	0.1343	0.446863
5	0.202953	1.4207	0.080873
6	0.091682	0.6418	0.262006
7	-0.098987	-0.6929	0.245818
8	-0.301818	-2.1127	0.019872
9	0.141801	0.9926	0.16289
10	-0.123527	-0.8647	0.195711
11	-0.028755	-0.2013	0.420655
12	0.006281	0.044	0.482555
13	0.005317	0.0372	0.485232
14	-0.063203	-0.4424	0.330065
15	0.088254	0.6178	0.269791
16	-0.0226	-0.1582	0.437474
17	-0.096885	-0.6782	0.250418
18	0.06579	0.4605	0.323587
19	-0.113676	-0.7957	0.215013
20	-0.094324	-0.6603	0.256087
21	-0.117521	-0.8226	0.207347
22	-0.003328	-0.0233	0.490754
23	0.187114	1.3098	0.098185
24	-0.22091	-1.5464	0.064225
25	-0.163894	-1.1473	0.128424
26	-0.01384	-0.0969	0.461609
27	-0.122526	-0.8577	0.197621
28	-0.094816	-0.6637	0.254992
29	-0.015195	-0.1064	0.457864
30	0.067211	0.4705	0.32005
31	-0.062749	-0.4392	0.331208
32	0.041587	0.2911	0.386099
33	0.014646	0.1025	0.459382
34	0.044169	0.3092	0.379246
35	-0.050406	-0.3528	0.36286
36	0.077985	0.5459	0.293808
37	0.048241	0.3377	0.36852
38	-0.002248	-0.0157	0.493754
39	-0.063182	-0.4423	0.33012
40	-0.103729	-0.7261	0.235614
41	-0.076364	-0.5345	0.29769
42	0.019228	0.1346	0.446742
43	-0.027683	-0.1938	0.423574
44	-0.09634	-0.6744	0.25162
45	-0.032133	-0.2249	0.411484
46	0.003846	0.0269	0.489315
47	0.03579	0.2505	0.401613
48	0.024852	0.174	0.431306
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t122935727573x7tsomxuf4p8x/13eyj1229356973.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t122935727573x7tsomxuf4p8x/13eyj1229356973.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t122935727573x7tsomxuf4p8x/2iels1229356973.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t122935727573x7tsomxuf4p8x/2iels1229356973.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; 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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