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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: Fri, 19 Dec 2008 02:39:10 -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/19/t1229679594h62kzb5fmiddt69.htm/, Retrieved Fri, 19 Dec 2008 10:39:59 +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/19/t1229679594h62kzb5fmiddt69.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 «

6.3 6.1 6.1 6.3 6.3 6 6.2 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

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.523843	3.1431	0.00167
2	-0.116514	-0.6991	0.244496
3	-0.668781	-4.0127	0.000145
4	-0.588208	-3.5292	0.00058
5	-0.249706	-1.4982	0.071395
6	0.097252	0.5835	0.281594
7	0.333568	2.0014	0.026465
8	0.35565	2.1339	0.019867
9	0.319239	1.9154	0.031704
10	0.007282	0.0437	0.482695
11	-0.253935	-1.5236	0.068172
12	-0.457012	-2.7421	0.004725
13	-0.231266	-1.3876	0.086895
14	0.065304	0.3918	0.348749
15	0.304087	1.8245	0.038191
16	0.250059	1.5004	0.071122
17	0.066714	0.4003	0.345657
18	-0.034884	-0.2093	0.417696
19	-0.106883	-0.6413	0.262696
20	-0.089382	-0.5363	0.297527
21	-0.136011	-0.8161	0.209914
22	-0.046277	-0.2777	0.391431
23	0.062133	0.3728	0.355742
24	0.157858	0.9471	0.17494
25	0.111229	0.6674	0.254395
26	-0.02631	-0.1579	0.437726
27	-0.124736	-0.7484	0.229536
28	-0.109349	-0.6561	0.257967
29	-0.009044	-0.0543	0.478513
30	0.036998	0.222	0.412789
31	0.040404	0.2424	0.404914
32	0.006812	0.0409	0.483811
33	0.009161	0.055	0.478234
34	0.000235	0.0014	0.499442
35	0.00047	0.0028	0.498883
36	NA	NA	NA
37	NA	NA	NA
38	NA	NA	NA
39	NA	NA	NA
40	NA	NA	NA
41	NA	NA	NA
42	NA	NA	NA
43	NA	NA	NA
44	NA	NA	NA
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.523843	3.1431	0.00167
2	-0.53877	-3.2326	0.001313
3	-0.568249	-3.4095	0.000809
4	0.098647	0.5919	0.278814
5	-0.275035	-1.6502	0.053799
6	-0.47893	-2.8736	0.003384
7	0.188828	1.133	0.132359
8	-0.071706	-0.4302	0.334794
9	0.043204	0.2592	0.39847
10	-0.133746	-0.8025	0.213771
11	-0.046121	-0.2767	0.391788
12	-0.092832	-0.557	0.290489
13	0.168719	1.0123	0.159072
14	-0.14445	-0.8667	0.195922
15	-0.121368	-0.7282	0.235598
16	0.029326	0.176	0.430658
17	-0.052959	-0.3178	0.376253
18	0.057155	0.3429	0.366823
19	-0.012253	-0.0735	0.4709
20	-0.051637	-0.3098	0.379241
21	0.098708	0.5922	0.278693
22	-0.00111	-0.0067	0.497363
23	0.048201	0.2892	0.387042
24	-0.076773	-0.4606	0.323913
25	0.072957	0.4377	0.332094
26	-0.012376	-0.0743	0.470608
27	-0.152269	-0.9136	0.183499
28	0.060707	0.3642	0.358903
29	-0.047431	-0.2846	0.388797
30	-0.105739	-0.6344	0.264904
31	-0.010918	-0.0655	0.474066
32	-0.0818	-0.4908	0.313274
33	-0.145376	-0.8723	0.194425
34	-0.029433	-0.1766	0.430407
35	0.029614	0.1777	0.429984
36	NA	NA	NA
37	NA	NA	NA
38	NA	NA	NA
39	NA	NA	NA
40	NA	NA	NA
41	NA	NA	NA
42	NA	NA	NA
43	NA	NA	NA
44	NA	NA	NA
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229679594h62kzb5fmiddt69/1sdo01229679547.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229679594h62kzb5fmiddt69/1sdo01229679547.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229679594h62kzb5fmiddt69/2dw9s1229679547.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229679594h62kzb5fmiddt69/2dw9s1229679547.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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