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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 06:38:30 -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/t1229521386dvqn1xajtljfqsz.htm/, Retrieved Wed, 17 Dec 2008 14:43:06 +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/t1229521386dvqn1xajtljfqsz.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 «

0,41 0,41 0,41 0,41 0,41 0,41 0,41 0,41 0,41 0,41 0,41 0,41 0,41 0,41 0,41 0,41 0,41 0,41 0,41 0,41 0,41 0,41 0,42 0,42 0,42 0,42 0,42 0,42 0,42 0,42 0,42 0,42 0,42 0,42 0,42 0,42 0,43 0,43 0,44 0,44 0,44 0,44 0,44 0,44 0,44 0,44 0,44 0,44 0,44 0,43 0,44 0,44 0,46 0,46 0,46 0,46 0,46 0,45 0,45 0,46 0,46 0,46 0,47 0,47 0,47 0,47 0,47 0,47 0,47 0,47 0,47 0,47 0,47

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.131039	-1.1119	0.13494
2	0.129227	1.0965	0.138251
3	-0.132246	-1.1221	0.132764
4	-0.045894	-0.3894	0.349057
5	-0.307367	-2.6081	0.005532
6	-0.047101	-0.3997	0.345292
7	0.039251	0.3331	0.370029
8	0.038647	0.3279	0.371957
9	0.038043	0.3228	0.373888
10	0.03744	0.3177	0.375821
11	-0.129831	-1.1017	0.137141
12	0.130435	1.1068	0.136037
13	-0.217995	-1.8498	0.034227
14	0.310386	2.6337	0.005166
15	-0.038043	-0.3228	0.373888
16	0.214976	1.8241	0.036141
17	-0.046498	-0.3945	0.347172
18	-0.047101	-0.3997	0.345292
19	-0.134662	-1.1426	0.128486
20	-0.048309	-0.4099	0.341542
21	-0.03442	-0.2921	0.385538
22	-0.027778	-0.2357	0.407166
23	0.065821	0.5585	0.289114
24	0.057971	0.4919	0.312143
25	-0.029589	-0.2511	0.401236
26	0.056763	0.4817	0.315757
27	-0.117754	-0.9992	0.160529
28	0.055556	0.4714	0.319389
29	-0.032005	-0.2716	0.393365
30	0.141304	1.199	0.117228
31	-0.033213	-0.2818	0.389446
32	-0.033816	-0.2869	0.38749
33	-0.03442	-0.2921	0.385538
34	-0.035024	-0.2972	0.383589
35	-0.115338	-0.9787	0.165508
36	-0.021739	-0.1845	0.427085
37	0.07186	0.6098	0.271973
38	-0.008454	-0.0717	0.471506
39	-0.009058	-0.0769	0.469474
40	0.077295	0.6559	0.257
41	-0.010266	-0.0871	0.465414
42	-0.01087	-0.0922	0.463385
43	-0.011473	-0.0974	0.461357
44	-0.012077	-0.1025	0.459331
45	-0.012681	-0.1076	0.457305
46	-0.013285	-0.1127	0.45528
47	-0.013889	-0.1179	0.453257
48	-0.014493	-0.123	0.451235

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.131039	-1.1119	0.13494
2	0.114014	0.9674	0.168282
3	-0.105461	-0.8949	0.186919
4	-0.090307	-0.7663	0.223008
5	-0.309948	-2.63	0.005217
6	-0.142086	-1.2056	0.115952
7	0.062685	0.5319	0.298216
8	-0.000985	-0.0084	0.496676
9	-0.043504	-0.3691	0.356551
10	-0.080318	-0.6815	0.248865
11	-0.215899	-1.832	0.035546
12	0.132597	1.1251	0.132136
13	-0.164699	-1.3975	0.083274
14	0.26376	2.2381	0.014155
15	0.057939	0.4916	0.312238
16	0.089287	0.7576	0.225574
17	0.090599	0.7688	0.222276
18	-0.136606	-1.1591	0.125114
19	0.027969	0.2373	0.406541
20	0.087456	0.7421	0.230223
21	0.03119	0.2647	0.396016
22	0.011261	0.0956	0.462071
23	-0.049717	-0.4219	0.337191
24	-0.051781	-0.4394	0.330852
25	0.068832	0.5841	0.280504
26	-0.04407	-0.3739	0.354771
27	0.013249	0.1124	0.455401
28	-0.069526	-0.59	0.278535
29	-0.010958	-0.093	0.463087
30	0.106043	0.8998	0.185611
31	-0.076825	-0.6519	0.258277
32	-0.111729	-0.9481	0.173137
33	-0.022349	-0.1896	0.425063
34	0.016707	0.1418	0.443832
35	-0.062848	-0.5333	0.297741
36	-0.062779	-0.5327	0.29794
37	-0.025514	-0.2165	0.414607
38	-0.050851	-0.4315	0.333701
39	-0.066144	-0.5613	0.288184
40	-0.010757	-0.0913	0.463764
41	0.018303	0.1553	0.438507
42	-0.014709	-0.1248	0.450512
43	0.028937	0.2455	0.403369
44	-0.105957	-0.8991	0.185805
45	-0.044352	-0.3763	0.353885
46	-0.014754	-0.1252	0.45036
47	0.029991	0.2545	0.399923
48	0.0333	0.2826	0.389164

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229521386dvqn1xajtljfqsz/1cv861229521098.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229521386dvqn1xajtljfqsz/1cv861229521098.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229521386dvqn1xajtljfqsz/250tk1229521098.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229521386dvqn1xajtljfqsz/250tk1229521098.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; 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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