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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: Thu, 18 Dec 2008 08:12:37 -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/18/t1229613196xfshn18066njr3z.htm/, Retrieved Thu, 18 Dec 2008 16:13:18 +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/18/t1229613196xfshn18066njr3z.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:

Severijns Britt

Dataseries X:

» Textbox « » Textfile « » CSV «

492865 480961 461935 456608 441977 439148 488180 520564 501492 485025 464196 460170 467037 460070 447988 442867 436087 431328 484015 509673 512927 502831 470984 471067 476049 474605 470439 461251 454724 455626 516847 525192 522975 518585 509239 512238 519164 517009 509933 509127 500857 506971 569323 579714 577992 565464 547344 554788 562325 560854 555332 543599 536662 542722 593530 610763 612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799 574205 572775 572942 619567 625809 619916 587625 565742 557274 560576 548854 531673 525919 511038 498662 555362 564591 541657 527070 509846 514258 516922 507561 492622 490243 469357 477580 528379 533590

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.930487	9.4891	0
2	0.823321	8.3963	0
3	0.738316	7.5294	0
4	0.690729	7.0441	0
5	0.680582	6.9406	0
6	0.667218	6.8043	0
7	0.635771	6.4836	0
8	0.603388	6.1534	0
9	0.603668	6.1562	0
10	0.636055	6.4865	0
11	0.68923	7.0288	0
12	0.706156	7.2014	0
13	0.616698	6.2891	0
14	0.500313	5.1022	1e-06
15	0.399259	4.0717	4.6e-05
16	0.332381	3.3896	0.000495
17	0.300556	3.0651	0.001386
18	0.266342	2.7162	0.003868
19	0.220714	2.2509	0.013249
20	0.176322	1.7981	0.037528
21	0.166843	1.7015	0.045922
22	0.188427	1.9216	0.028697
23	0.222346	2.2675	0.012714
24	0.223286	2.2771	0.012414
25	0.137728	1.4046	0.081566
26	0.034418	0.351	0.36315
27	-0.050174	-0.5117	0.30498
28	-0.104867	-1.0694	0.143674
29	-0.131893	-1.3451	0.090767
30	-0.161977	-1.6518	0.050791
31	-0.197237	-2.0114	0.023433
32	-0.230627	-2.3519	0.010279
33	-0.232681	-2.3729	0.009743
34	-0.207979	-2.121	0.01815
35	-0.169812	-1.7317	0.043142
36	-0.158981	-1.6213	0.053991
37	-0.223416	-2.2784	0.012373
38	-0.304494	-3.1052	0.001225
39	-0.36906	-3.7637	0.000139
40	-0.401951	-4.0991	4.1e-05
41	-0.410544	-4.1867	3e-05
42	-0.419489	-4.278	2.1e-05
43	-0.43201	-4.4057	1.3e-05
44	-0.443081	-4.5186	8e-06
45	-0.426438	-4.3488	1.6e-05
46	-0.38886	-3.9656	6.7e-05
47	-0.341044	-3.478	0.000369
48	-0.314585	-3.2082	0.000888
49	-0.350047	-3.5698	0.000271
50	-0.399646	-4.0756	4.5e-05
51	-0.434736	-4.4335	1.2e-05
52	-0.44674	-4.5559	7e-06
53	-0.439474	-4.4818	1e-05
54	-0.429101	-4.376	1.4e-05
55	-0.422514	-4.3088	1.9e-05
56	-0.412856	-4.2103	2.7e-05
57	-0.380655	-3.8819	9.1e-05
58	-0.332592	-3.3918	0.000491
59	-0.276027	-2.8149	0.002918
60	-0.239765	-2.4451	0.00808

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.930487	9.4891	0
2	-0.316593	-3.2286	0.000832
3	0.201041	2.0502	0.021429
4	0.134746	1.3741	0.086176
5	0.182782	1.864	0.03257
6	-0.108211	-1.1035	0.13617
7	0.001158	0.0118	0.495298
8	0.091337	0.9315	0.176886
9	0.266616	2.719	0.003837
10	0.109205	1.1137	0.133993
11	0.207051	2.1115	0.018562
12	-0.221088	-2.2547	0.013125
13	-0.660985	-6.7408	0
14	0.119398	1.2176	0.113061
15	-0.17712	-1.8063	0.036883
16	-0.073436	-0.7489	0.227803
17	-0.072827	-0.7427	0.229672
18	-0.00567	-0.0578	0.477002
19	0.024564	0.2505	0.401345
20	-0.050754	-0.5176	0.302922
21	0.147116	1.5003	0.068284
22	-0.005266	-0.0537	0.478637
23	-0.09773	-0.9967	0.160622
24	0.072819	0.7426	0.229696
25	-0.140258	-1.4304	0.077805
26	0.065999	0.6731	0.251201
27	0.054129	0.552	0.291064
28	-0.08354	-0.8519	0.1981
29	-0.022833	-0.2329	0.408165
30	-0.024339	-0.2482	0.402231
31	0.0741	0.7557	0.225777
32	-0.110892	-1.1309	0.130354
33	-0.069152	-0.7052	0.241128
34	0.0331	0.3376	0.368191
35	0.05618	0.5729	0.283967
36	-0.014653	-0.1494	0.44075
37	-0.071312	-0.7272	0.234355
38	-0.06529	-0.6658	0.253498
39	-0.003032	-0.0309	0.487694
40	0.066658	0.6798	0.249077
41	-0.053718	-0.5478	0.292496
42	0.078315	0.7987	0.213154
43	-0.050306	-0.513	0.304513
44	0.049044	0.5002	0.309011
45	-0.006415	-0.0654	0.473983
46	-0.04328	-0.4414	0.329929
47	0.014047	0.1433	0.443183
48	0.013535	0.138	0.445241
49	-0.000112	-0.0011	0.499546
50	0.018008	0.1836	0.427326
51	0.025017	0.2551	0.399566
52	-0.084247	-0.8592	0.196117
53	-0.013962	-0.1424	0.443526
54	0.018741	0.1911	0.424401
55	-0.041021	-0.4183	0.338283
56	0.05044	0.5144	0.304037
57	-0.072693	-0.7413	0.230084
58	0.038797	0.3956	0.346587
59	-0.007895	-0.0805	0.467991
60	-0.007314	-0.0746	0.470344

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229613196xfshn18066njr3z/1iehi1229613153.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229613196xfshn18066njr3z/1iehi1229613153.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229613196xfshn18066njr3z/2ims51229613153.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229613196xfshn18066njr3z/2ims51229613153.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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