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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: Wed, 17 Dec 2008 01:31:56 -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/17/t122950274529v2x6vfikpyem5.htm/, Retrieved Wed, 17 Dec 2008 09:32:27 +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/17/t122950274529v2x6vfikpyem5.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 «

6.4 6.8 7.5 7.5 7.6 7.6 7.4 7.3 7.1 6.9 6.8 7.5 7.6 7.8 8 8.1 8.2 8.3 8.2 8 7.9 7.6 7.6 8.2 8.3 8.4 8.4 8.4 8.6 8.9 8.8 8.3 7.5 7.2 7.5 8.8 9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.6 8.2 8.1 8 8.6 8.7 8.8 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8.1 8.2 8.1 8.1 7.9 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.6 6.2 6.2 6.8 6.9

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	0.363996	3.3361	0.000633
2	-0.134596	-1.2336	0.110397
3	-0.424546	-3.891	1e-04
4	-0.377078	-3.456	0.000431
5	-0.038335	-0.3513	0.363105
6	0.257508	2.3601	0.010294
7	0.130507	1.1961	0.117508
8	-0.114331	-1.0479	0.148854
9	-0.182115	-1.6691	0.049409
10	-0.086801	-0.7955	0.21427
11	0.174794	1.602	0.056454
12	0.524833	4.8102	3e-06
13	0.158318	1.451	0.075251
14	-0.082306	-0.7543	0.226375
15	-0.245782	-2.2526	0.013445
16	-0.193219	-1.7709	0.040104
17	-0.026135	-0.2395	0.405637
18	0.154456	1.4156	0.080293
19	0.058909	0.5399	0.295345
20	-0.07791	-0.7141	0.238587
21	-0.113283	-1.0383	0.151065
22	-0.017894	-0.164	0.435061
23	0.0916	0.8395	0.201778
24	0.301284	2.7613	0.003534
25	0.065307	0.5986	0.275541
26	-0.058885	-0.5397	0.29542
27	-0.163218	-1.4959	0.069212
28	-0.10674	-0.9783	0.165371
29	-0.022498	-0.2062	0.418568
30	0.0263	0.241	0.405055
31	0.027177	0.2491	0.401953
32	-0.034779	-0.3188	0.375351
33	0.010253	0.094	0.462677
34	0.02546	0.2333	0.40803
35	0.002355	0.0216	0.491417
36	0.12204	1.1185	0.133268
37	-0.054869	-0.5029	0.308181
38	-0.054874	-0.5029	0.308166
39	-0.057837	-0.5301	0.298727
40	0.041318	0.3787	0.35294
41	0.095136	0.8719	0.192864
42	0.075124	0.6885	0.246511
43	-0.040282	-0.3692	0.356457
44	-0.188546	-1.7281	0.043826
45	-0.118261	-1.0839	0.140759
46	-0.071017	-0.6509	0.258449
47	0.031903	0.2924	0.385354
48	0.192635	1.7655	0.040554
49	0.071327	0.6537	0.257538
50	-0.018303	-0.1677	0.433592
51	-0.036985	-0.339	0.367736
52	-0.034629	-0.3174	0.375871
53	-0.02253	-0.2065	0.418454
54	0.026044	0.2387	0.405962
55	-0.038124	-0.3494	0.363827
56	-0.090696	-0.8312	0.204096
57	-0.027942	-0.2561	0.399253
58	-0.054455	-0.4991	0.309512
59	-0.030536	-0.2799	0.390134
60	0.088701	0.813	0.20927

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.363996	3.3361	0.000633
2	-0.307882	-2.8218	0.00298
3	-0.316325	-2.8992	0.002386
4	-0.17312	-1.5867	0.058172
5	0.050661	0.4643	0.32181
6	0.086329	0.7912	0.215523
7	-0.214844	-1.9691	0.02612
8	-0.185326	-1.6985	0.046554
9	0.008574	0.0786	0.468775
10	0.020444	0.1874	0.42591
11	0.103745	0.9508	0.172207
12	0.42703	3.9138	9.2e-05
13	-0.209203	-1.9174	0.029295
14	0.194991	1.7871	0.038763
15	0.133074	1.2196	0.113007
16	0.132031	1.2101	0.11482
17	-0.030181	-0.2766	0.391377
18	0.019377	0.1776	0.429734
19	0.008771	0.0804	0.46806
20	-0.005952	-0.0546	0.478312
21	-0.084088	-0.7707	0.221531
22	0.052799	0.4839	0.314855
23	-0.118446	-1.0856	0.140387
24	0.04049	0.3711	0.35575
25	-0.060889	-0.5581	0.289145
26	0.007298	0.0669	0.473414
27	-0.046141	-0.4229	0.336728
28	0.006846	0.0627	0.475058
29	-0.017623	-0.1615	0.436037
30	-0.157704	-1.4454	0.076036
31	0.088893	0.8147	0.208769
32	-0.042243	-0.3872	0.349807
33	0.090437	0.8289	0.204765
34	-0.129746	-1.1891	0.118868
35	-0.011769	-0.1079	0.457179
36	0.044305	0.4061	0.342863
37	-0.113301	-1.0384	0.151026
38	-0.012393	-0.1136	0.454919
39	0.035622	0.3265	0.372437
40	0.048369	0.4433	0.329341
41	0.158482	1.4525	0.075042
42	0.077215	0.7077	0.24055
43	-0.024749	-0.2268	0.410552
44	-0.096827	-0.8874	0.188691
45	0.001504	0.0138	0.494518
46	-0.111426	-1.0212	0.155036
47	-0.048195	-0.4417	0.329917
48	-0.019381	-0.1776	0.42972
49	0.010608	0.0972	0.461391
50	-0.104904	-0.9615	0.169541
51	0.080834	0.7409	0.230423
52	-0.086663	-0.7943	0.214634
53	-0.094029	-0.8618	0.195628
54	0.006609	0.0606	0.475923
55	-0.040858	-0.3745	0.354498
56	0.09568	0.8769	0.191516
57	-0.042266	-0.3874	0.349729
58	0.006026	0.0552	0.478044
59	-0.030256	-0.2773	0.391117
60	-0.041904	-0.3841	0.350954

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t122950274529v2x6vfikpyem5/1bc681229502713.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t122950274529v2x6vfikpyem5/1bc681229502713.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t122950274529v2x6vfikpyem5/2yrq31229502713.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t122950274529v2x6vfikpyem5/2yrq31229502713.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; 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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