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vfdgd

*Unverified author*

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 12:55:58 -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/t12298894027dzl9t54lhxrzvr.htm/, Retrieved Sun, 21 Dec 2008 20:56:42 +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/t12298894027dzl9t54lhxrzvr.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 «

485 464 460 467 460 448 443 436 431 484 510 513 503 471 471 476 475 470 461 455 456 517 525 523 519 509 512 519 517 510 509 501 507 569 580 578 565 547 555 562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528

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	-0.002872	-0.0258	0.489722
2	0.000609	0.0055	0.497822
3	-0.044724	-0.4025	0.344183
4	0.081559	0.734	0.232525
5	0.026814	0.2413	0.404957
6	0.061869	0.5568	0.289592
7	-0.004268	-0.0384	0.484728
8	0.105122	0.9461	0.173455
9	0.086164	0.7755	0.220158
10	-0.082592	-0.7433	0.229717
11	0.032966	0.2967	0.383729
12	-0.301513	-2.7136	0.004064
13	-0.056594	-0.5093	0.305948
14	0.154817	1.3934	0.083662
15	0.008868	0.0798	0.468292
16	-0.064196	-0.5778	0.282513
17	-0.06281	-0.5653	0.286719
18	0.041425	0.3728	0.355126
19	0.042742	0.3847	0.350742
20	-0.035132	-0.3162	0.376337
21	-0.001596	-0.0144	0.494289
22	0.061767	0.5559	0.289906
23	0.172676	1.5541	0.062032
24	-0.079851	-0.7187	0.237211
25	-0.117772	-1.06	0.146159
26	-0.195232	-1.7571	0.041341
27	0.0504	0.4536	0.325663
28	-0.019741	-0.1777	0.429714
29	0.113423	1.0208	0.155193
30	-0.096229	-0.8661	0.194508
31	-0.065753	-0.5918	0.277823
32	0.012982	0.1168	0.453637
33	-0.0842	-0.7578	0.225384
34	-0.076508	-0.6886	0.246529
35	-0.080001	-0.72	0.236795
36	0.007111	0.064	0.474563
37	0.080554	0.725	0.235276
38	0.14555	1.31	0.096958
39	-0.117448	-1.057	0.14682
40	-0.034132	-0.3072	0.379744
41	-0.014335	-0.129	0.448832
42	-0.043696	-0.3933	0.34758
43	0.044384	0.3995	0.345306
44	-0.086146	-0.7753	0.220206
45	-0.053714	-0.4834	0.315047
46	0.031534	0.2838	0.388641
47	-0.099755	-0.8978	0.185978
48	-0.072179	-0.6496	0.25889
49	-0.065178	-0.5866	0.279551
50	0.012936	0.1164	0.453801
51	-0.009819	-0.0884	0.464899
52	-0.001782	-0.016	0.493621
53	-0.127525	-1.1477	0.12723
54	0.039285	0.3536	0.362293
55	-0.098886	-0.89	0.188059
56	0.001575	0.0142	0.494362
57	0.060795	0.5472	0.292888
58	-0.023753	-0.2138	0.415629
59	0.028333	0.255	0.399687
60	0.060419	0.5438	0.294046

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.002872	-0.0258	0.489722
2	6e-04	0.0054	0.497851
3	-0.044721	-0.4025	0.344194
4	0.081466	0.7332	0.232777
5	0.027264	0.2454	0.403392
6	0.060377	0.5434	0.294176
7	0.003257	0.0293	0.488343
8	0.102325	0.9209	0.179913
9	0.089837	0.8085	0.210575
10	-0.093495	-0.8415	0.201284
11	0.040442	0.364	0.358412
12	-0.32715	-2.9444	0.002111
13	-0.093465	-0.8412	0.20136
14	0.166981	1.5028	0.068386
15	-0.036094	-0.3248	0.373066
16	-0.011353	-0.1022	0.459434
17	-0.04991	-0.4492	0.327248
18	0.082949	0.7465	0.228751
19	0.068293	0.6146	0.27026
20	-0.001363	-0.0123	0.495121
21	0.111228	1.0011	0.159891
22	-0.032623	-0.2936	0.384905
23	0.191958	1.7276	0.043933
24	-0.172918	-1.5563	0.061773
25	-0.22981	-2.0683	0.020902
26	-0.134606	-1.2115	0.114622
27	-0.032807	-0.2953	0.384273
28	-0.054653	-0.4919	0.31207
29	0.07538	0.6784	0.249719
30	-0.013977	-0.1258	0.450103
31	-0.013512	-0.1216	0.451756
32	0.069997	0.63	0.265244
33	0.006883	0.0619	0.47538
34	-0.015742	-0.1417	0.443843
35	0.059858	0.5387	0.295777
36	-0.050194	-0.4517	0.326329
37	-0.090316	-0.8128	0.209344
38	0.061898	0.5571	0.289503
39	-0.059127	-0.5321	0.298042
40	-0.067735	-0.6096	0.271913
41	0.003611	0.0325	0.487079
42	-0.112761	-1.0149	0.156599
43	-0.008125	-0.0731	0.470943
44	-0.046348	-0.4171	0.338843
45	-0.07897	-0.7107	0.239648
46	-0.031264	-0.2814	0.38957
47	-0.063365	-0.5703	0.285031
48	0.031911	0.2872	0.387347
49	-0.05024	-0.4522	0.32618
50	0.090243	0.8122	0.209532
51	-0.028922	-0.2603	0.397646
52	-0.132367	-1.1913	0.118507
53	0.020311	0.1828	0.427706
54	0.011801	0.1062	0.457838
55	-0.114187	-1.0277	0.153578
56	-0.041628	-0.3747	0.354449
57	0.001083	0.0098	0.496122
58	-0.080952	-0.7286	0.234183
59	-0.039726	-0.3575	0.360813
60	0.057235	0.5151	0.303936

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t12298894027dzl9t54lhxrzvr/1oozb1229889354.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t12298894027dzl9t54lhxrzvr/1oozb1229889354.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t12298894027dzl9t54lhxrzvr/2jjpu1229889354.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t12298894027dzl9t54lhxrzvr/2jjpu1229889354.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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