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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 14:47:34 -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/t1229896075b32kxzeiohya4eo.htm/, Retrieved Sun, 21 Dec 2008 22:47:57 +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/t1229896075b32kxzeiohya4eo.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 «

1.8 1.7 1.4 1.2 1 1.7 2.4 2 2.1 2 1.8 2.7 2.3 1.9 2 2.3 2.8 2.4 2.3 2.7 2.7 2.9 3 2.2 2.3 2.8 2.8 2.8 2.2 2.6 2.8 2.5 2.4 2.3 1.9 1.7 2 2.1 1.7 1.8 1.8 1.8 1.3 1.3 1.3 1.2 1.4 2.2 2.9 3.1 3.5 3.6 4.4 4.1 5.1 5.8 5.9 5.4 5.5 4.8 3.2

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	0.107925	0.836	0.20324
2	-0.192576	-1.4917	0.07051
3	0.031387	0.2431	0.40437
4	-0.022772	-0.1764	0.43029
5	0.059437	0.4604	0.323449
6	0.000611	0.0047	0.49812
7	-0.07265	-0.5627	0.287853
8	-0.05299	-0.4105	0.341466
9	-0.110194	-0.8536	0.198371
10	0.106752	0.8269	0.205786
11	0.156093	1.2091	0.115686
12	-0.36428	-2.8217	0.003234
13	-0.251864	-1.9509	0.02787
14	0.04658	0.3608	0.359755
15	0.053146	0.4117	0.341025
16	-0.025099	-0.1944	0.423253
17	-0.136104	-1.0543	0.147996
18	0.018511	0.1434	0.443232
19	0.060009	0.4648	0.321868
20	-0.028632	-0.2218	0.412617
21	0.054356	0.421	0.337615
22	0.037371	0.2895	0.38661
23	-0.148538	-1.1506	0.127238
24	-0.053942	-0.4178	0.338781
25	0.145331	1.1257	0.132382
26	-0.009077	-0.0703	0.472091
27	-0.065726	-0.5091	0.306272
28	0.025826	0.2001	0.421059
29	-0.019038	-0.1475	0.441629
30	0.018624	0.1443	0.442889
31	0.03426	0.2654	0.395816
32	0.08782	0.6803	0.249481
33	0.001003	0.0078	0.496914
34	-0.047963	-0.3715	0.35578
35	-0.030022	-0.2325	0.408453
36	0.058549	0.4535	0.325905
37	-0.027464	-0.2127	0.416127
38	0.002711	0.021	0.491657
39	0.010767	0.0834	0.466904
40	-0.00118	-0.0091	0.496368
41	0.094092	0.7288	0.234468
42	0.111985	0.8674	0.194581
43	0.072373	0.5606	0.28858
44	-0.063148	-0.4891	0.313261
45	-0.099172	-0.7682	0.222696
46	-0.026854	-0.208	0.417963
47	0.054311	0.4207	0.337741
48	-0.021614	-0.1674	0.433802

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.107925	0.836	0.20324
2	-0.206631	-1.6006	0.057364
3	0.083249	0.6448	0.260744
4	-0.083295	-0.6452	0.260628
5	0.104742	0.8113	0.210193
6	-0.052995	-0.4105	0.341451
7	-0.025944	-0.201	0.420704
8	-0.065723	-0.5091	0.306278
9	-0.113534	-0.8794	0.191339
10	0.129654	1.0043	0.159635
11	0.080647	0.6247	0.267273
12	-0.372223	-2.8832	0.002728
13	-0.137063	-1.0617	0.146316
14	-0.042051	-0.3257	0.372883
15	0.031804	0.2464	0.403124
16	-0.100848	-0.7812	0.218888
17	-0.125942	-0.9755	0.166604
18	0.056893	0.4407	0.330511
19	-0.000594	-0.0046	0.498173
20	-0.073381	-0.5684	0.28594
21	-0.078879	-0.611	0.271756
22	0.04593	0.3558	0.361629
23	-0.044487	-0.3446	0.365803
24	-0.172288	-1.3345	0.093535
25	-0.04006	-0.3103	0.378703
26	-0.121845	-0.9438	0.174526
27	0.008794	0.0681	0.47296
28	-0.021785	-0.1687	0.433282
29	-0.223052	-1.7278	0.044588
30	-0.010171	-0.0788	0.468732
31	0.037747	0.2924	0.385499
32	0.060305	0.4671	0.321053
33	-0.153058	-1.1856	0.120231
34	0.000772	0.006	0.497624
35	-0.093058	-0.7208	0.236907
36	-0.0583	-0.4516	0.326597
37	-0.138983	-1.0766	0.142993
38	-0.048331	-0.3744	0.354724
39	-0.069183	-0.5359	0.297007
40	-0.00354	-0.0274	0.489107
41	-0.04752	-0.3681	0.357052
42	0.072661	0.5628	0.287823
43	0.053667	0.4157	0.339555
44	-0.005721	-0.0443	0.482401
45	-0.097759	-0.7572	0.225937
46	-0.111362	-0.8626	0.195894
47	-0.00392	-0.0304	0.48794
48	-0.046168	-0.3576	0.360943

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229896075b32kxzeiohya4eo/1k9lc1229896052.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229896075b32kxzeiohya4eo/1k9lc1229896052.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229896075b32kxzeiohya4eo/2d8wx1229896052.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229896075b32kxzeiohya4eo/2d8wx1229896052.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 0.0 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; 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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