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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: Sun, 21 Dec 2008 09:59:39 -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/21/t1229878821uz3ofocjaeuat1p.htm/, Retrieved Sun, 21 Dec 2008 18:00:23 +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/21/t1229878821uz3ofocjaeuat1p.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 «

87.0 96.3 107.1 115.2 106.1 89.5 91.3 97.6 100.7 104.6 94.7 101.8 102.5 105.3 110.3 109.8 117.3 118.8 131.3 125.9 133.1 147.0 145.8 164.4 149.8 137.7 151.7 156.8 180.0 180.4 170.4 191.6 199.5 218.2 217.5 205.0 194.0 199.3 219.3 211.1 215.2 240.2 242.2 240.7 255.4 253.0 218.2 203.7 205.6 215.6 188.5 202.9 214.0 230.3 230.0 241.0 259.6 247.8 270.3 289.7

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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.002991	0.023	0.490875
2	-0.165491	-1.2712	0.10433
3	-0.089633	-0.6885	0.246924
4	-0.099115	-0.7613	0.224751
5	0.203919	1.5663	0.06131
6	-0.124029	-0.9527	0.172318
7	0.036077	0.2771	0.391331
8	-0.163181	-1.2534	0.1075
9	-0.18878	-1.45	0.076171
10	0.211549	1.6249	0.054753
11	0.097409	0.7482	0.228653
12	-0.004257	-0.0327	0.487012
13	-0.169962	-1.3055	0.098395
14	0.02063	0.1585	0.437316
15	0.15179	1.1659	0.12417
16	-0.164955	-1.267	0.10506
17	-0.026944	-0.207	0.418377
18	-0.102733	-0.7891	0.216605
19	-0.094927	-0.7291	0.234399
20	0.23446	1.8009	0.038413
21	0.04523	0.3474	0.364756
22	-0.050338	-0.3867	0.350202
23	-0.174249	-1.3384	0.092946
24	-0.069059	-0.5305	0.298895
25	0.175962	1.3516	0.090833
26	0.026302	0.202	0.420295
27	-0.037863	-0.2908	0.3861
28	-0.106663	-0.8193	0.207958
29	-0.09283	-0.713	0.239315
30	0.138124	1.061	0.146518
31	0.087396	0.6713	0.252325
32	0.002498	0.0192	0.492378
33	-0.036367	-0.2793	0.390481
34	-0.131193	-1.0077	0.158853
35	0.0705	0.5415	0.295094
36	-0.021957	-0.1687	0.433323
37	0.016095	0.1236	0.451015
38	0.066071	0.5075	0.306847
39	-0.079389	-0.6098	0.27217
40	0.094698	0.7274	0.234932
41	0.084966	0.6526	0.258264
42	0.13315	1.0227	0.155302
43	-0.039341	-0.3022	0.381788
44	-0.062334	-0.4788	0.316927
45	0.029523	0.2268	0.410692
46	-0.029967	-0.2302	0.409373
47	-0.025041	-0.1923	0.424065
48	-0.089732	-0.6892	0.246685
49	-0.035472	-0.2725	0.393108
50	0.018912	0.1453	0.442497
51	-0.01099	-0.0844	0.466507
52	0.044813	0.3442	0.365955
53	-0.008422	-0.0647	0.47432
54	-0.043553	-0.3345	0.36958
55	-0.009789	-0.0752	0.470158
56	0.009637	0.074	0.470621
57	0.032437	0.2492	0.402055
58	0.013415	0.103	0.45914
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.002991	0.023	0.490875
2	-0.165501	-1.2712	0.104316
3	-0.091056	-0.6994	0.243521
4	-0.131895	-1.0131	0.157574
5	0.179259	1.3769	0.08687
6	-0.183019	-1.4058	0.082515
7	0.100059	0.7686	0.222608
8	-0.237722	-1.826	0.036457
9	-0.13686	-1.0512	0.148717
10	0.092351	0.7094	0.240448
11	0.088459	0.6795	0.249749
12	-0.081544	-0.6263	0.266751
13	-0.087585	-0.6728	0.251865
14	0.074117	0.5693	0.285657
15	0.037315	0.2866	0.387704
16	-0.207188	-1.5914	0.058427
17	-0.05347	-0.4107	0.341385
18	-0.117191	-0.9002	0.185848
19	-0.097883	-0.7519	0.227564
20	0.200433	1.5396	0.064508
21	-0.025259	-0.194	0.423413
22	-0.151288	-1.1621	0.124944
23	-0.064734	-0.4972	0.310436
24	-0.061827	-0.4749	0.318306
25	-0.083481	-0.6412	0.261928
26	0.011321	0.087	0.465498
27	-0.068047	-0.5227	0.301578
28	-0.067735	-0.5203	0.302408
29	-0.066658	-0.512	0.305276
30	0.071283	0.5475	0.293039
31	-0.088514	-0.6799	0.249618
32	-0.114646	-0.8806	0.19105
33	0.09255	0.7109	0.239976
34	-0.165215	-1.269	0.104705
35	-0.10557	-0.8109	0.210342
36	-0.066957	-0.5143	0.304479
37	-0.041878	-0.3217	0.374419
38	0.020201	0.1552	0.43861
39	0.019168	0.1472	0.441726
40	-0.080616	-0.6192	0.269078
41	0.018228	0.14	0.444563
42	0.178613	1.372	0.087636
43	-0.033133	-0.2545	0.399997
44	0.005788	0.0445	0.482345
45	-0.07709	-0.5921	0.278011
46	0.040623	0.312	0.378059
47	-0.09872	-0.7583	0.225651
48	-0.028592	-0.2196	0.413462
49	-0.008194	-0.0629	0.475014
50	-0.066234	-0.5088	0.306411
51	-0.047397	-0.3641	0.358556
52	-0.028447	-0.2185	0.413896
53	-0.124752	-0.9582	0.170927
54	0.013601	0.1045	0.458576
55	-0.045304	-0.348	0.364543
56	-0.07489	-0.5752	0.283658
57	-0.002512	-0.0193	0.492335
58	0.045108	0.3465	0.365107
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/21/t1229878821uz3ofocjaeuat1p/14gw91229878777.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229878821uz3ofocjaeuat1p/14gw91229878777.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229878821uz3ofocjaeuat1p/2bb2o1229878777.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229878821uz3ofocjaeuat1p/2bb2o1229878777.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 0.0 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 0.0 ; 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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