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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 10:51:52 -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/t1229881949h73go4izwmhtsks.htm/, Retrieved Sun, 21 Dec 2008 18:52:29 +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/t1229881949h73go4izwmhtsks.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 «

1.0014 1.0183 1.0622 1.0773 1.0807 1.0848 1.1582 1.1663 1.1372 1.1139 1.1222 1.1692 1.1702 1.2286 1.2613 1.2646 1.2262 1.1985 1.2007 1.2138 1.2266 1.2176 1.2218 1.2490 1.2991 1.3408 1.3119 1.3014 1.3201 1.2938 1.2694 1.2165 1.2037 1.2292 1.2256 1.2015 1.1786 1.1856 1.2103 1.1938 1.2020 1.2271 1.2770 1.2650 1.2684 1.2811 1.2727 1.2611 1.2881 1.3213 1.2999 1.3074 1.3242 1.3516 1.3511 1.3419 1.3716 1.3622 1.3896 1.4227

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.227315	1.746	0.043005
2	-0.193427	-1.4857	0.071336
3	-0.118167	-0.9077	0.183876
4	0.135253	1.0389	0.151546
5	0.070945	0.5449	0.293924
6	-0.253376	-1.9462	0.028198
7	-0.049308	-0.3787	0.353118
8	0.029088	0.2234	0.411987
9	0.082241	0.6317	0.26501
10	0.033195	0.255	0.399815
11	0.015498	0.119	0.452824
12	-0.014481	-0.1112	0.455906
13	0.01184	0.0909	0.463923
14	0.111243	0.8545	0.198149
15	-0.078359	-0.6019	0.274777
16	-0.143999	-1.1061	0.136591
17	0.001491	0.0115	0.49545
18	0.087335	0.6708	0.252472
19	0.067622	0.5194	0.302708
20	-0.060273	-0.463	0.322547
21	-0.017643	-0.1355	0.446333
22	0.007929	0.0609	0.47582
23	-0.014734	-0.1132	0.455139
24	-0.086828	-0.6669	0.253706
25	-0.190889	-1.4662	0.073945
26	-0.070172	-0.539	0.295958
27	0.01973	0.1516	0.440028
28	-0.010655	-0.0818	0.467524
29	-0.084833	-0.6516	0.25859
30	-0.102837	-0.7899	0.216373
31	0.087238	0.6701	0.252708
32	-0.091437	-0.7023	0.242615
33	-0.178683	-1.3725	0.087553
34	0.01093	0.084	0.466689
35	0.099444	0.7638	0.224002
36	0.065345	0.5019	0.308793
37	-0.095081	-0.7303	0.23404
38	0.065885	0.5061	0.307345
39	0.04521	0.3473	0.364813
40	-0.013789	-0.1059	0.458003
41	-0.059104	-0.454	0.325751
42	0.026693	0.205	0.419125
43	0.01896	0.1456	0.442354
44	-0.125862	-0.9668	0.168803
45	0.039051	0.3	0.382632
46	0.073559	0.565	0.287101
47	0.070897	0.5446	0.294051
48	-0.017125	-0.1315	0.447897
49	-0.033078	-0.2541	0.400161
50	0.014177	0.1089	0.456828
51	-0.031984	-0.2457	0.403394
52	0.028735	0.2207	0.413039
53	0.03142	0.2413	0.405064
54	0.009837	0.0756	0.470012
55	-0.008305	-0.0638	0.474675
56	0.020266	0.1557	0.438413
57	0.029555	0.227	0.410597
58	0.0065	0.0499	0.480175
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.227315	1.746	0.043005
2	-0.258454	-1.9852	0.025887
3	-0.004615	-0.0354	0.485922
4	0.135856	1.0435	0.15048
5	-0.038206	-0.2935	0.385099
6	-0.245308	-1.8842	0.032231
7	0.143581	1.1029	0.137282
8	-0.116577	-0.8954	0.187095
9	0.068037	0.5226	0.301603
10	0.071482	0.5491	0.292517
11	0.018559	0.1426	0.443565
12	-0.091108	-0.6998	0.243396
13	0.106475	0.8179	0.208366
14	0.050419	0.3873	0.349972
15	-0.151657	-1.1649	0.124374
16	-0.01584	-0.1217	0.451787
17	0.085012	0.653	0.25815
18	-0.074978	-0.5759	0.28343
19	0.096566	0.7417	0.230595
20	0.014622	0.1123	0.455478
21	-0.07303	-0.561	0.288477
22	-0.027995	-0.215	0.415242
23	0.020907	0.1606	0.436481
24	-0.143976	-1.1059	0.136629
25	-0.148615	-1.1415	0.12913
26	0.047064	0.3615	0.359507
27	-0.060021	-0.461	0.323236
28	-0.129133	-0.9919	0.162651
29	0.042057	0.323	0.3739
30	-0.130363	-1.0013	0.160377
31	-0.008019	-0.0616	0.475546
32	-0.198181	-1.5223	0.066644
33	-0.094467	-0.7256	0.235471
34	0.085189	0.6544	0.257714
35	-0.017543	-0.1348	0.446634
36	0.000582	0.0045	0.498224
37	0.005306	0.0408	0.483815
38	0.061691	0.4739	0.318676
39	-0.088505	-0.6798	0.249639
40	0.023734	0.1823	0.427984
41	-0.031995	-0.2458	0.403362
42	0.066574	0.5114	0.305502
43	-0.031712	-0.2436	0.404198
44	-0.049343	-0.379	0.35302
45	0.049272	0.3785	0.353222
46	0.049428	0.3797	0.35278
47	0.015128	0.1162	0.453943
48	-0.058329	-0.448	0.327884
49	-0.053296	-0.4094	0.341875
50	-0.048733	-0.3743	0.354751
51	-0.019365	-0.1487	0.441131
52	0.013774	0.1058	0.458051
53	-0.006525	-0.0501	0.480098
54	-0.046118	-0.3542	0.36221
55	-0.05292	-0.4065	0.342928
56	-0.040648	-0.3122	0.377985
57	-0.119082	-0.9147	0.182039
58	0.021066	0.1618	0.436003
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/t1229881949h73go4izwmhtsks/128uu1229881907.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229881949h73go4izwmhtsks/128uu1229881907.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229881949h73go4izwmhtsks/2y8nb1229881907.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229881949h73go4izwmhtsks/2y8nb1229881907.ps (open in new window)

Parameters (Session):

par1 = 4 ;

Parameters (R input):

par1 = 60 ; 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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