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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 02:01:08 -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/t12295045857p55jpnlb6liqcw.htm/, Retrieved Wed, 17 Dec 2008 10:03:07 +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/t12295045857p55jpnlb6liqcw.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	12 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.014606	-0.1231	0.4512
2	-0.095955	-0.8085	0.210744
3	-0.340825	-2.8718	0.002688
4	-0.391612	-3.2998	0.000758
5	0.065093	0.5485	0.292541
6	0.150074	1.2645	0.105085
7	0.177339	1.4943	0.069766
8	0.11378	0.9587	0.170474
9	0.003453	0.0291	0.488434
10	-0.114653	-0.9661	0.168641
11	0.012199	0.1028	0.459208
12	-0.182494	-1.5377	0.064281
13	0.02157	0.1817	0.428148
14	0.054669	0.4606	0.323229
15	0.104094	0.8771	0.191692
16	0.073163	0.6165	0.269775
17	-0.175718	-1.4806	0.071566
18	0.072786	0.6133	0.270818
19	-0.154295	-1.3001	0.098884
20	0.143137	1.2061	0.115892
21	0.068247	0.5751	0.283536
22	-0.013103	-0.1104	0.4562
23	0.014043	0.1183	0.453072
24	-0.189293	-1.595	0.057575
25	0.01501	0.1265	0.449856
26	0.072598	0.6117	0.271338
27	0.112275	0.946	0.173666
28	0.028261	0.2381	0.406231
29	-0.076592	-0.6454	0.260382
30	-0.22795	-1.9207	0.02939
31	0.037719	0.3178	0.375774
32	0.102246	0.8615	0.195922
33	0.131719	1.1099	0.135396
34	0.097379	0.8205	0.20733
35	-0.128741	-1.0848	0.140842
36	-0.054251	-0.4571	0.324487
37	-0.144003	-1.2134	0.1145
38	0.079051	0.6661	0.253755
39	0.002839	0.0239	0.49049
40	0.041797	0.3522	0.362871
41	0.131892	1.1113	0.135085
42	-0.055262	-0.4656	0.321446
43	0.022276	0.1877	0.425822
44	-0.162309	-1.3676	0.087869
45	-0.028878	-0.2433	0.404224
46	0.027005	0.2275	0.410326
47	0.086417	0.7282	0.234454
48	0.029677	0.2501	0.401631
49	0.034662	0.2921	0.385543
50	-0.082484	-0.695	0.244656
51	-0.009074	-0.0765	0.469634
52	-0.009947	-0.0838	0.46672
53	0.016958	0.1429	0.44339
54	0.033636	0.2834	0.388841
55	-0.048194	-0.4061	0.34295
56	0.057243	0.4823	0.315525
57	-0.05186	-0.437	0.331726
58	-0.013647	-0.115	0.454388
59	0.060867	0.5129	0.304816
60	-0.036664	-0.3089	0.379138

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.014606	-0.1231	0.4512
2	-0.096189	-0.8105	0.210181
3	-0.347051	-2.9243	0.002315
4	-0.485838	-4.0937	5.5e-05
5	-0.172035	-1.4496	0.075787
6	-0.158776	-1.3379	0.092604
7	-0.234276	-1.974	0.026134
8	-0.194457	-1.6385	0.052869
9	-0.043487	-0.3664	0.357566
10	-0.10517	-0.8862	0.189256
11	0.077314	0.6515	0.258426
12	-0.134374	-1.1323	0.130668
13	-0.021564	-0.1817	0.428168
14	0.018628	0.157	0.437859
15	0.107337	0.9044	0.184411
16	0.01247	0.1051	0.458306
17	-0.202855	-1.7093	0.045883
18	0.131451	1.1076	0.13588
19	-0.131311	-1.1064	0.136134
20	0.031356	0.2642	0.39619
21	0.015396	0.1297	0.448575
22	0.032434	0.2733	0.39271
23	0.089316	0.7526	0.227092
24	-0.112939	-0.9516	0.172254
25	0.041168	0.3469	0.36485
26	0.073901	0.6227	0.267739
27	0.1369	1.1535	0.126279
28	0.079918	0.6734	0.25144
29	-0.094132	-0.7932	0.215161
30	-0.161345	-1.3595	0.089142
31	-0.072521	-0.6111	0.271551
32	0.011953	0.1007	0.460029
33	-0.078755	-0.6636	0.254546
34	-0.090912	-0.766	0.223097
35	0.033242	0.2801	0.390107
36	-0.01936	-0.1631	0.435439
37	-0.048217	-0.4063	0.342877
38	0.070429	0.5934	0.277384
39	0.00708	0.0597	0.476297
40	-0.017688	-0.149	0.440973
41	0.071285	0.6007	0.274991
42	-0.035533	-0.2994	0.382753
43	-0.034756	-0.2929	0.385242
44	-0.096261	-0.8111	0.210007
45	0.036242	0.3054	0.380486
46	-0.064825	-0.5462	0.293311
47	-0.077835	-0.6558	0.257021
48	-0.079961	-0.6738	0.251326
49	-0.056048	-0.4723	0.319092
50	-0.025355	-0.2136	0.415717
51	0.063803	0.5376	0.296263
52	-0.034387	-0.2898	0.386425
53	0.063655	0.5364	0.29669
54	-0.06572	-0.5538	0.29074
55	0.021519	0.1813	0.428316
56	0.003891	0.0328	0.48697
57	-0.006958	-0.0586	0.476706
58	-0.035482	-0.299	0.382915
59	-0.014533	-0.1225	0.451442
60	-0.048464	-0.4084	0.342118

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t12295045857p55jpnlb6liqcw/1j3ql1229504455.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t12295045857p55jpnlb6liqcw/1j3ql1229504455.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t12295045857p55jpnlb6liqcw/2ygdf1229504455.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t12295045857p55jpnlb6liqcw/2ygdf1229504455.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 2 ; 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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