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Paper7

*Unverified author*

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 06:10:38 -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/t1229692269j05qounfo7cw5cw.htm/, Retrieved Fri, 19 Dec 2008 14:11:16 +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/t1229692269j05qounfo7cw5cw.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 «

528 478 469 490 493 508 517 514 510 527 542 565 555 499 511 526 532 549 561 557 566 588 620 626 620 573 573 574 580 590 593 597 595 612 628 629 621 569 567 573 584 589 591 595 594 611 613 611 594 543 537 544 555 561 562 555 547 565 578 580

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.884037	6.8477	0
2	0.695679	5.3887	1e-06
3	0.542637	4.2032	4.4e-05
4	0.457338	3.5425	0.000387
5	0.42586	3.2987	0.000818
6	0.391605	3.0334	0.001785
7	0.325028	2.5177	0.007251
8	0.247239	1.9151	0.030125
9	0.229216	1.7755	0.040443
10	0.279936	2.1684	0.017053
11	0.37152	2.8778	0.00277
12	0.40903	3.1683	0.001206
13	0.28518	2.209	0.015502
14	0.111306	0.8622	0.196013
15	-0.029172	-0.226	0.410997
16	-0.107884	-0.8357	0.203329
17	-0.142286	-1.1021	0.1374
18	-0.176713	-1.3688	0.08808
19	-0.231782	-1.7954	0.038815
20	-0.293486	-2.2733	0.0133
21	-0.292951	-2.2692	0.013433
22	-0.233198	-1.8063	0.03794
23	-0.1421	-1.1007	0.137711
24	-0.092402	-0.7157	0.238462
25	-0.152357	-1.1802	0.121298
26	-0.252666	-1.9571	0.027494
27	-0.323023	-2.5021	0.007544
28	-0.344759	-2.6705	0.004866
29	-0.338928	-2.6253	0.005483
30	-0.334089	-2.5878	0.006048
31	-0.344898	-2.6716	0.004853
32	-0.355603	-2.7545	0.003885
33	-0.32058	-2.4832	0.007917
34	-0.247387	-1.9163	0.03005
35	-0.150708	-1.1674	0.123838
36	-0.086254	-0.6681	0.253309
37	-0.102586	-0.7946	0.21498
38	-0.154117	-1.1938	0.11863
39	-0.17959	-1.3911	0.084667
40	-0.175508	-1.3595	0.089542
41	-0.157398	-1.2192	0.11377
42	-0.142878	-1.1067	0.136414
43	-0.138979	-1.0765	0.143
44	-0.135431	-1.049	0.149183
45	-0.103034	-0.7981	0.21398
46	-0.041874	-0.3244	0.373399
47	0.029854	0.2312	0.408955
48	0.071204	0.5515	0.291655
49	0.066959	0.5187	0.302953
50	0.04019	0.3113	0.378323
51	0.019798	0.1534	0.439316
52	0.011561	0.0895	0.464472
53	0.007926	0.0614	0.475623
54	0.004882	0.0378	0.484979
55	-0.005537	-0.0429	0.482965
56	-0.021603	-0.1673	0.433835
57	-0.029779	-0.2307	0.409178
58	-0.020247	-0.1568	0.437951
59	-0.006195	-0.048	0.480944
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.884037	6.8477	0
2	-0.392907	-3.0434	0.001734
3	0.180436	1.3977	0.083682
4	0.106689	0.8264	0.205923
5	0.079574	0.6164	0.269988
6	-0.103382	-0.8008	0.213205
7	-0.070371	-0.5451	0.293857
8	0.019729	0.1528	0.439526
9	0.263748	2.043	0.022727
10	0.112377	0.8705	0.193758
11	0.156567	1.2128	0.114987
12	-0.21974	-1.7021	0.046957
13	-0.588417	-4.5579	1.3e-05
14	0.15084	1.1684	0.123633
15	-0.075507	-0.5849	0.280412
16	-0.05411	-0.4191	0.338309
17	-0.050067	-0.3878	0.34976
18	-0.03615	-0.28	0.390214
19	0.085178	0.6598	0.255958
20	-0.022876	-0.1772	0.429975
21	0.032992	0.2556	0.399585
22	-0.073916	-0.5726	0.284543
23	-0.03922	-0.3038	0.381166
24	0.035575	0.2756	0.391914
25	0.014678	0.1137	0.45493
26	-0.080275	-0.6218	0.268212
27	0.051996	0.4028	0.344278
28	-0.065482	-0.5072	0.306931
29	0.004927	0.0382	0.484842
30	0.015549	0.1204	0.452267
31	-0.014114	-0.1093	0.456653
32	0.054994	0.426	0.335823
33	-0.116535	-0.9027	0.185153
34	-0.027481	-0.2129	0.416078
35	0.077849	0.603	0.274385
36	-0.042281	-0.3275	0.372213
37	-0.022975	-0.178	0.429677
38	-0.030098	-0.2331	0.408224
39	0.044025	0.341	0.367141
40	-0.048273	-0.3739	0.354891
41	0.016862	0.1306	0.448259
42	-0.03167	-0.2453	0.403526
43	0.022783	0.1765	0.430257
44	-0.054382	-0.4212	0.337542
45	0.015952	0.1236	0.451037
46	0.021215	0.1643	0.435012
47	-0.082815	-0.6415	0.261825
48	-0.019651	-0.1522	0.439764
49	0.153814	1.1914	0.119086
50	-0.044007	-0.3409	0.367193
51	-0.145546	-1.1274	0.132033
52	0.038526	0.2984	0.383207
53	-0.028579	-0.2214	0.412778
54	0.044022	0.341	0.367151
55	-0.091218	-0.7066	0.241283
56	-0.096852	-0.7502	0.22803
57	-0.081808	-0.6337	0.264348
58	-0.038581	-0.2988	0.383046
59	0.015665	0.1213	0.451912
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229692269j05qounfo7cw5cw/1ukvr1229692236.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229692269j05qounfo7cw5cw/1ukvr1229692236.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229692269j05qounfo7cw5cw/2c8ye1229692236.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229692269j05qounfo7cw5cw/2c8ye1229692236.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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