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Taak

*Unverified author*

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 11:31:00 -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/t1229538685aa8dcqbkq8zp29j.htm/, Retrieved Wed, 17 Dec 2008 19:31:27 +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/t1229538685aa8dcqbkq8zp29j.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 «

513 503 471 471 476 475 470 461 455 456 517 525 523 519 509 512 519 517 510 509 501 507 569 580 578 565 547 555 562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527

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	0.243769	2.0828	0.020388
2	-0.167359	-1.4299	0.078503
3	-0.278663	-2.3809	0.00994
4	-0.228896	-1.9557	0.027165
5	0.045981	0.3929	0.347784
6	0.170263	1.4547	0.075016
7	0.055364	0.473	0.318802
8	-0.308419	-2.6351	0.005133
9	-0.277549	-2.3714	0.010181
10	-0.098362	-0.8404	0.201714
11	0.214995	1.8369	0.035146
12	0.729937	6.2366	0
13	0.186383	1.5925	0.057802
14	-0.129118	-1.1032	0.136786
15	-0.275411	-2.3531	0.010657
16	-0.212718	-1.8175	0.036625
17	0.028576	0.2442	0.403899
18	0.118507	1.0125	0.157315
19	0.039309	0.3359	0.368973
20	-0.261369	-2.2331	0.014303
21	-0.221253	-1.8904	0.031338
22	-0.072179	-0.6167	0.269676
23	0.17279	1.4763	0.07208
24	0.572015	4.8873	3e-06
25	0.141942	1.2128	0.114567
26	-0.141504	-1.209	0.11528
27	-0.238429	-2.0371	0.022631
28	-0.165859	-1.4171	0.080354
29	0.024514	0.2094	0.417342
30	0.075947	0.6489	0.259222
31	0.015658	0.1338	0.446971
32	-0.212222	-1.8132	0.036954
33	-0.168418	-1.439	0.077218
34	-0.064829	-0.5539	0.290671
35	0.104131	0.8897	0.188275
36	0.435049	3.7171	0.000196
37	0.102476	0.8756	0.192071
38	-0.120002	-1.0253	0.154304
39	-0.211838	-1.8099	0.03721
40	-0.120723	-1.0315	0.152865
41	0.018613	0.159	0.437042
42	0.085193	0.7279	0.234504
43	0.025912	0.2214	0.412703
44	-0.178996	-1.5293	0.065251
45	-0.127156	-1.0864	0.140434
46	-0.050363	-0.4303	0.334122
47	0.067446	0.5763	0.283107
48	0.31392	2.6821	0.004521

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.243769	2.0828	0.020388
2	-0.24111	-2.06	0.02148
3	-0.191054	-1.6324	0.053454
4	-0.165811	-1.4167	0.080413
5	0.064387	0.5501	0.291956
6	0.035427	0.3027	0.381494
7	-0.063568	-0.5431	0.29435
8	-0.349505	-2.9862	0.001922
9	-0.120863	-1.0327	0.152587
10	-0.122529	-1.0469	0.149303
11	0.096562	0.825	0.206023
12	0.630809	5.3896	0
13	-0.120584	-1.0303	0.153142
14	0.158455	1.3538	0.089983
15	-0.088416	-0.7554	0.226213
16	-0.098928	-0.8452	0.20037
17	-0.042974	-0.3672	0.357278
18	-0.130303	-1.1133	0.134615
19	-0.012494	-0.1067	0.457642
20	0.096736	0.8265	0.205603
21	0.008285	0.0708	0.47188
22	0.013166	0.1125	0.455371
23	-0.037932	-0.3241	0.373397
24	0.038914	0.3325	0.370239
25	-0.070712	-0.6042	0.273803
26	-0.116978	-0.9995	0.160437
27	0.041418	0.3539	0.362227
28	-0.010992	-0.0939	0.462716
29	0.036492	0.3118	0.378044
30	-0.028306	-0.2419	0.404787
31	-0.060423	-0.5163	0.303618
32	0.047765	0.4081	0.342194
33	-0.046642	-0.3985	0.345708
34	-0.104126	-0.8897	0.188286
35	-0.090863	-0.7763	0.22003
36	-0.025178	-0.2151	0.415138
37	-0.02951	-0.2521	0.400824
38	0.002593	0.0222	0.491194
39	-0.071623	-0.6119	0.271237
40	0.063824	0.5453	0.2936
41	-0.05033	-0.43	0.334223
42	0.062755	0.5362	0.296733
43	-0.06508	-0.556	0.28994
44	-0.040068	-0.3423	0.366538
45	0.012272	0.1049	0.45839
46	-0.056493	-0.4827	0.315385
47	-0.027068	-0.2313	0.408878
48	-0.053985	-0.4613	0.322995

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229538685aa8dcqbkq8zp29j/1zvcr1229538658.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229538685aa8dcqbkq8zp29j/1zvcr1229538658.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229538685aa8dcqbkq8zp29j/2dcqx1229538658.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229538685aa8dcqbkq8zp29j/2dcqx1229538658.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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