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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 10:33:03 -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/t1229448887j3l3bzcutb0nfkp.htm/, Retrieved Tue, 16 Dec 2008 18:34:49 +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/t1229448887j3l3bzcutb0nfkp.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 «

108.65 107.03 104.21 108.65 101.45 100.34 112.6 118.56 119.32 116.97 109.56 109.58 110.74 110.41 109.44 107.3 105.78 105.99 120.23 122.17 121.66 120.64 118.46 119.16 120.77 120.27 118.62 118.44 116.51 117.94 132.44 134.86 134.46 131.54 127.33 129.06 130.81 130.47 129.19 126.46 124.84 126.25 138.07 142.08 142.51 142.21 138.22 138.52 137.45 137.11 135.95 133.32 132.01 132.37 144.4 146.3 146.14 142.4 138.51 138.91 138.04 137.27 134.88 133.58 133.24 133.28 144.13 145.58 144.21 136.7 131.61 129.64 130.41 127.68 123.68 122.34 118.88 116 129.19 131.34 126 122.61 118.6 119.63

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	0.91422	8.379	0
2	0.793711	7.2745	0
3	0.697612	6.3937	0
4	0.647534	5.9347	0
5	0.629109	5.7659	0
6	0.600531	5.504	0
7	0.55848	5.1186	1e-06
8	0.523463	4.7976	3e-06
9	0.527033	4.8303	3e-06
10	0.560988	5.1415	1e-06
11	0.598421	5.4846	0
12	0.602712	5.5239	0
13	0.504828	4.6268	7e-06
14	0.383424	3.5141	0.000357
15	0.287938	2.639	0.004954
16	0.223838	2.0515	0.021666
17	0.190564	1.7465	0.042186
18	0.152995	1.4022	0.082266
19	0.114382	1.0483	0.148747
20	0.076102	0.6975	0.243712
21	0.069079	0.6331	0.264189
22	0.086872	0.7962	0.214082
23	0.110859	1.016	0.156264
24	0.107758	0.9876	0.163088
25	0.021412	0.1962	0.422448
26	-0.082901	-0.7598	0.224751
27	-0.160537	-1.4713	0.072467
28	-0.206671	-1.8942	0.030822
29	-0.226761	-2.0783	0.020367
30	-0.251776	-2.3076	0.011741
31	-0.273806	-2.5095	0.007006
32	-0.291925	-2.6755	0.004484
33	-0.283365	-2.5971	0.005549
34	-0.255794	-2.3444	0.010709
35	-0.226598	-2.0768	0.020438
36	-0.215303	-1.9733	0.025876
37	-0.267853	-2.4549	0.008078
38	-0.335399	-3.074	0.001424
39	-0.382215	-3.5031	0.00037
40	-0.40596	-3.7207	0.000179
41	-0.408991	-3.7485	0.000163
42	-0.412668	-3.7822	0.000145
43	-0.416325	-3.8157	0.000129
44	-0.415865	-3.8115	0.000131
45	-0.392131	-3.5939	0.000274
46	-0.349706	-3.2051	0.000955
47	-0.30653	-2.8094	0.003086
48	-0.27795	-2.5475	0.006337
49	-0.303953	-2.7858	0.0033
50	-0.339924	-3.1155	0.001257
51	-0.353263	-3.2377	0.000863
52	-0.349499	-3.2032	0.00096
53	-0.330287	-3.0271	0.001639
54	-0.312692	-2.8659	0.002627
55	-0.292651	-2.6822	0.004403
56	-0.268457	-2.4604	0.007963
57	-0.229425	-2.1027	0.019242
58	-0.187412	-1.7177	0.044772
59	-0.147876	-1.3553	0.089477
60	-0.118687	-1.0878	0.139901

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.91422	8.379	0
2	-0.256322	-2.3492	0.01058
3	0.13249	1.2143	0.11402
4	0.170508	1.5627	0.060938
5	0.091516	0.8388	0.201993
6	-0.084094	-0.7707	0.221514
7	0.011679	0.107	0.457505
8	0.088784	0.8137	0.209054
9	0.204754	1.8766	0.032022
10	0.112092	1.0273	0.153605
11	0.074764	0.6852	0.247546
12	-0.06026	-0.5523	0.291108
13	-0.540468	-4.9535	2e-06
14	-0.034057	-0.3121	0.377854
15	-0.05217	-0.4781	0.316893
16	-0.141348	-1.2955	0.099352
17	0.064001	0.5866	0.279529
18	0.022406	0.2054	0.418897
19	0.05834	0.5347	0.297137
20	-0.13243	-1.2137	0.114124
21	0.016259	0.149	0.440948
22	0.018015	0.1651	0.434626
23	0.053708	0.4922	0.311916
24	-0.025725	-0.2358	0.407092
25	-0.174533	-1.5996	0.056718
26	0.03344	0.3065	0.379998
27	-0.039541	-0.3624	0.358981
28	-0.042004	-0.385	0.350614
29	-0.022916	-0.21	0.417077
30	-0.000625	-0.0057	0.497722
31	0.040185	0.3683	0.356786
32	-0.040183	-0.3683	0.356794
33	-0.003585	-0.0329	0.486933
34	-0.011917	-0.1092	0.456643
35	0.023435	0.2148	0.415227
36	0.032259	0.2957	0.384109
37	-0.040101	-0.3675	0.357075
38	-0.005345	-0.049	0.480521
39	-0.019424	-0.178	0.429568
40	-0.051858	-0.4753	0.31791
41	-0.040267	-0.3691	0.356509
42	0.008237	0.0755	0.470002
43	-0.060853	-0.5577	0.289256
44	0.008643	0.0792	0.468525
45	0.013095	0.12	0.452379
46	0.012356	0.1132	0.455052
47	0.005126	0.047	0.481319
48	0.009769	0.0895	0.464436
49	-0.024343	-0.2231	0.411996
50	0.035807	0.3282	0.371798
51	0.041963	0.3846	0.350754
52	-0.031181	-0.2858	0.387877
53	0.033295	0.3052	0.380501
54	0.024577	0.2252	0.411167
55	0.016515	0.1514	0.440027
56	-0.000175	-0.0016	0.499363
57	-0.034766	-0.3186	0.375397
58	-0.083616	-0.7664	0.222807
59	0.00322	0.0295	0.488264
60	-0.019714	-0.1807	0.428525

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229448887j3l3bzcutb0nfkp/16mpe1229448782.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229448887j3l3bzcutb0nfkp/16mpe1229448782.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229448887j3l3bzcutb0nfkp/28zli1229448782.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229448887j3l3bzcutb0nfkp/28zli1229448782.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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