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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 15:15:42 -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/t1229897780bsrhxp4xib65mrd.htm/, Retrieved Sun, 21 Dec 2008 23:16:22 +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/t1229897780bsrhxp4xib65mrd.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	0.111593	0.8644	0.195408
2	-0.13546	-1.0493	0.149132
3	0.067299	0.5213	0.302041
4	0.002621	0.0203	0.491935
5	0.055072	0.4266	0.335605
6	-0.03383	-0.262	0.397092
7	-0.054247	-0.4202	0.337923
8	-0.05934	-0.4596	0.323717
9	-0.122981	-0.9526	0.172306
10	0.061149	0.4737	0.318732
11	0.126243	0.9779	0.166032
12	-0.383488	-2.9705	0.002136
13	-0.253384	-1.9627	0.027161
14	0.031769	0.2461	0.40323
15	0.062439	0.4836	0.315198
16	-0.026597	-0.206	0.418738
17	-0.143171	-1.109	0.135927
18	0.04029	0.3121	0.378028
19	0.059906	0.464	0.322152
20	-0.055777	-0.432	0.333629
21	0.041166	0.3189	0.375466
22	0.039841	0.3086	0.379345
23	-0.124926	-0.9677	0.168547
24	-0.075186	-0.5824	0.281244
25	0.151689	1.175	0.122322
26	0.013049	0.1011	0.459913
27	-0.057953	-0.4489	0.327561
28	0.023823	0.1845	0.427108
29	0.010308	0.0798	0.468314
30	0.018272	0.1415	0.44396
31	0.001138	0.0088	0.496497
32	0.078392	0.6072	0.272996
33	0.026169	0.2027	0.420025
34	-0.035841	-0.2776	0.391129
35	-0.057637	-0.4465	0.328437
36	0.077023	0.5966	0.276504
37	0.026441	0.2048	0.419205
38	-0.019392	-0.1502	0.440551
39	0.013209	0.1023	0.459423
40	-0.002243	-0.0174	0.493097
41	0.047114	0.3649	0.358219
42	0.060538	0.4689	0.32041
43	0.088559	0.686	0.247687
44	-0.043536	-0.3372	0.368561
45	-0.094733	-0.7338	0.232965
46	-0.014624	-0.1133	0.455095
47	0.066145	0.5124	0.305142
48	-0.014	-0.1084	0.457002

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.111593	0.8644	0.195408
2	-0.149778	-1.1602	0.125287
3	0.105028	0.8135	0.209562
4	-0.042846	-0.3319	0.370566
5	0.090225	0.6989	0.243663
6	-0.071893	-0.5569	0.289841
7	-0.013494	-0.1045	0.45855
8	-0.083803	-0.6491	0.259364
9	-0.107443	-0.8322	0.204284
10	0.078207	0.6058	0.27347
11	0.092279	0.7148	0.238755
12	-0.404554	-3.1337	0.001335
13	-0.141876	-1.099	0.138086
14	-0.041409	-0.3207	0.374758
15	0.082268	0.6372	0.263194
16	-0.077543	-0.6006	0.275168
17	-0.112799	-0.8737	0.192873
18	0.039503	0.306	0.380337
19	0.015294	0.1185	0.453046
20	-0.111707	-0.8653	0.195166
21	-0.07793	-0.6036	0.274178
22	0.018552	0.1437	0.443109
23	-0.023063	-0.1786	0.429409
24	-0.228571	-1.7705	0.040861
25	-0.020697	-0.1603	0.436583
26	-0.117764	-0.9122	0.182657
27	0.050577	0.3918	0.348308
28	-0.017138	-0.1328	0.447417
29	-0.182532	-1.4139	0.081281
30	-0.032991	-0.2555	0.399587
31	0.049341	0.3822	0.351835
32	0.021928	0.1699	0.432847
33	-0.129665	-1.0044	0.159615
34	-0.025981	-0.2012	0.420593
35	-0.10682	-0.8274	0.205637
36	-0.067001	-0.519	0.30284
37	-0.069627	-0.5393	0.295829
38	-0.056563	-0.4381	0.331431
39	-0.015501	-0.1201	0.452415
40	-0.02139	-0.1657	0.434481
41	-0.077214	-0.5981	0.276013
42	0.038016	0.2945	0.384707
43	0.069029	0.5347	0.297419
44	-0.045294	-0.3508	0.363467
45	-0.100213	-0.7763	0.220325
46	-0.075575	-0.5854	0.280237
47	-0.034412	-0.2666	0.395363
48	-0.048883	-0.3786	0.353143

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229897780bsrhxp4xib65mrd/1zeju1229897740.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229897780bsrhxp4xib65mrd/1zeju1229897740.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229897780bsrhxp4xib65mrd/2zxi71229897740.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229897780bsrhxp4xib65mrd/2zxi71229897740.ps (open in new window)

Parameters (Session):

par1 = FALSE ; par2 = 0.0 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = 3 ; par7 = 1 ; par8 = 2 ; par9 = 1 ;

Parameters (R input):

par1 = 48 ; par2 = 0.5 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = 3 ; par7 = 1 ; par8 = 2 ; par9 = 1 ;

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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