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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: Tue, 16 Dec 2008 05:06:05 -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/16/t1229429196r6kpzd5xiebxskl.htm/, Retrieved Tue, 16 Dec 2008 13:06:39 +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/16/t1229429196r6kpzd5xiebxskl.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 «

111.7 98.6 96.9 95.1 97.0 112.7 102.9 97.4 111.4 87.4 96.8 114.1 110.3 103.9 101.6 94.6 95.9 104.7 102.8 98.1 113.9 80.9 95.7 113.2 105.9 108.8 102.3 99.0 100.7 115.5 100.7 109.9 114.6 85.4 100.5 114.8 116.5 112.9 102.0 106.0 105.3 118.8 106.1 109.3 117.2 92.5 104.2 112.5 122.4 113.3 100.0 110.7 112.8 109.8 117.3 109.1 115.9 96.0 99.8 117.0

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	-0.176962	-1.226	0.113084
2	0.183437	1.2709	0.104947
3	0.282803	1.9593	0.027949
4	-0.034666	-0.2402	0.405609
5	0.142869	0.9898	0.163611
6	0.208625	1.4454	0.077422
7	-0.064376	-0.446	0.328798
8	-0.041808	-0.2897	0.386664
9	0.148477	1.0287	0.154393
10	-0.162584	-1.1264	0.132794
11	-0.021231	-0.1471	0.441839
12	-0.073183	-0.507	0.307228
13	-0.099123	-0.6867	0.247775
14	-0.136574	-0.9462	0.17439
15	0.036255	0.2512	0.401373
16	-0.153032	-1.0602	0.147171
17	-0.059004	-0.4088	0.342256
18	-0.021916	-0.1518	0.439976
19	-0.22661	-1.57	0.061492
20	-0.010826	-0.075	0.470262
21	-0.025663	-0.1778	0.429815
22	-0.255287	-1.7687	0.041651
23	0.201759	1.3978	0.084296
24	-0.261703	-1.8131	0.038033
25	-0.025154	-0.1743	0.431191
26	0.111728	0.7741	0.221342
27	-0.109888	-0.7613	0.225093
28	-0.045797	-0.3173	0.376199
29	0.01082	0.075	0.470277
30	-0.057962	-0.4016	0.344892
31	-0.034809	-0.2412	0.405227
32	0.151562	1.0501	0.149475
33	-0.091423	-0.6334	0.264741
34	0.062999	0.4365	0.332226
35	0.011217	0.0777	0.469188
36	0.041491	0.2875	0.387498
37	-0.010828	-0.075	0.470257
38	0.041277	0.286	0.388064
39	0.00469	0.0325	0.487107
40	-0.015894	-0.1101	0.456387
41	0.12281	0.8509	0.199537
42	-0.052788	-0.3657	0.358087
43	0.00998	0.0691	0.472581
44	-0.006345	-0.044	0.48256
45	-0.018741	-0.1298	0.448617
46	0.029442	0.204	0.419616
47	-0.008066	-0.0559	0.477834
48	NA	NA	NA
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	-0.176962	-1.226	0.113084
2	0.157039	1.088	0.141014
3	0.357703	2.4782	0.008386
4	0.058394	0.4046	0.343797
5	0.026206	0.1816	0.428346
6	0.167517	1.1606	0.125774
7	-0.027875	-0.1931	0.42384
8	-0.238452	-1.652	0.052527
9	-0.001842	-0.0128	0.494937
10	-0.073541	-0.5095	0.306367
11	-0.109288	-0.7572	0.226325
12	-0.16742	-1.1599	0.125909
13	0.001318	0.0091	0.496375
14	-0.073256	-0.5075	0.307054
15	0.060447	0.4188	0.338618
16	0.014337	0.0993	0.460646
17	0.046495	0.3221	0.374379
18	9.7e-05	7e-04	0.499734
19	-0.177693	-1.2311	0.112143
20	-0.094311	-0.6534	0.258307
21	0.027267	0.1889	0.425478
22	-0.231536	-1.6041	0.057623
23	0.183689	1.2726	0.104639
24	-0.157283	-1.0897	0.140646
25	0.003961	0.0274	0.489109
26	0.091479	0.6338	0.264614
27	0.091258	0.6323	0.265111
28	-0.089466	-0.6198	0.269148
29	-0.146917	-1.0179	0.156921
30	-0.063886	-0.4426	0.330017
31	-0.035606	-0.2467	0.403101
32	-0.028925	-0.2004	0.421009
33	0.034567	0.2395	0.405873
34	0.073813	0.5114	0.30571
35	0.002529	0.0175	0.493046
36	-0.026661	-0.1847	0.427116
37	0.051064	0.3538	0.362526
38	-0.138767	-0.9614	0.170583
39	-0.058567	-0.4058	0.34336
40	-0.067127	-0.4651	0.321992
41	0.011988	0.0831	0.467077
42	-0.019954	-0.1382	0.445313
43	-0.079493	-0.5507	0.292181
44	-0.047564	-0.3295	0.371594
45	0.122221	0.8468	0.200662
46	-0.039274	-0.2721	0.393356
47	0.047998	0.3325	0.370466
48	NA	NA	NA
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/16/t1229429196r6kpzd5xiebxskl/1tkah1229429162.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229429196r6kpzd5xiebxskl/1tkah1229429162.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229429196r6kpzd5xiebxskl/2w2uw1229429162.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229429196r6kpzd5xiebxskl/2w2uw1229429162.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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