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fdsq

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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 15:35:44 -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/t1229898968tg2sgxo42yd7ktu.htm/, Retrieved Sun, 21 Dec 2008 23:36:10 +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/t1229898968tg2sgxo42yd7ktu.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 «

130.3 130.9 104.7 115.2 124.5 112.3 127.5 120.6 117.5 117.7 120.4 125 131.6 121.1 114.2 112.1 127 116.8 112 129.7 113.6 115.7 119.5 125.8 129.6 128 112.8 101.6 123.9 118.8 109.1 130.6 112.4 111 116.2 119.8 117.2 127.3 107.7 97.5 120.1 110.6 111.3 119.8 105.5 108.7 128.7 119.5 121.1 128.4 108.8 107.5 125.6 102.9 107.5 120.4 104.3 100.6 121.9 112.7 124.9 123.9 102.2 104.9 109.8 98.9 107.3 112.6 104 110.6 100.8 103.8 117 108.4 95.5 96.9 103.9 101.1 100.6 104.3 98 99.5 97.4 105.6 117.5 107.4 97.8 91.5 107.7 100.1 96.6 106.8 98 98.6

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	0.415867	4.032	5.6e-05
2	0.244952	2.3749	0.009793
3	0.506949	4.9151	2e-06
4	0.243085	2.3568	0.010254
5	0.329823	3.1977	0.000944
6	0.562241	5.4511	0
7	0.253367	2.4565	0.007933
8	0.222398	2.1562	0.016809
9	0.400913	3.887	9.5e-05
10	0.166229	1.6116	0.055196
11	0.341402	3.31	0.000662
12	0.653099	6.332	0
13	0.258935	2.5105	0.006883
14	0.145477	1.4104	0.080854
15	0.29922	2.901	0.002316
16	0.092719	0.8989	0.185489
17	0.179032	1.7358	0.042939
18	0.326398	3.1645	0.001047
19	0.083278	0.8074	0.210734
20	0.052415	0.5082	0.306258
21	0.158401	1.5358	0.063979
22	-0.001667	-0.0162	0.493571
23	0.169391	1.6423	0.051934
24	0.344642	3.3414	0.000599
25	0.105822	1.026	0.153767
26	-0.016911	-0.164	0.435058
27	0.071911	0.6972	0.243699
28	-0.066523	-0.645	0.260261
29	-0.014015	-0.1359	0.446102
30	0.117413	1.1384	0.128931
31	-0.040573	-0.3934	0.34747
32	-0.086854	-0.8421	0.200941
33	-0.031599	-0.3064	0.380003
34	-0.106375	-1.0313	0.152514
35	0.010627	0.103	0.45908
36	0.205203	1.9895	0.024775
37	0.012631	0.1225	0.451399
38	-0.112795	-1.0936	0.138466
39	-0.033707	-0.3268	0.37227
40	-0.117597	-1.1401	0.128562
41	-0.109276	-1.0595	0.146051
42	0.001538	0.0149	0.494068
43	-0.097122	-0.9416	0.174398
44	-0.155131	-1.504	0.067961
45	-0.106447	-1.032	0.15235
46	-0.140721	-1.3643	0.087858
47	-0.087833	-0.8516	0.198307
48	0.086535	0.839	0.201803
49	-0.069501	-0.6738	0.251033
50	-0.185457	-1.7981	0.037688
51	-0.11248	-1.0905	0.139134
52	-0.155903	-1.5115	0.067003
53	-0.16465	-1.5963	0.056885
54	-0.094273	-0.914	0.181525
55	-0.160062	-1.5519	0.062028
56	-0.230869	-2.2384	0.013779
57	-0.177051	-1.7166	0.044675
58	-0.234581	-2.2743	0.01261
59	-0.178127	-1.727	0.043726
60	-0.032836	-0.3184	0.375461

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.415867	4.032	5.6e-05
2	0.087064	0.8441	0.200374
3	0.460222	4.462	1.1e-05
4	-0.153009	-1.4835	0.070646
5	0.347531	3.3694	0.000547
6	0.229906	2.229	0.014097
7	-0.061442	-0.5957	0.276404
8	-0.008483	-0.0822	0.467312
9	0.06475	0.6278	0.265836
10	-0.10813	-1.0484	0.14858
11	0.279021	2.7052	0.004053
12	0.37305	3.6169	0.000241
13	-0.112377	-1.0895	0.139352
14	-0.208718	-2.0236	0.022926
15	-0.180988	-1.7547	0.041281
16	-0.114043	-1.1057	0.135842
17	-0.099979	-0.9693	0.167434
18	-0.082995	-0.8047	0.211521
19	0.035257	0.3418	0.36662
20	-0.062151	-0.6026	0.274121
21	-0.017206	-0.1668	0.433937
22	-0.043712	-0.4238	0.336337
23	0.087966	0.8529	0.197953
24	0.002193	0.0213	0.491541
25	0.145386	1.4096	0.080984
26	-0.147207	-1.4272	0.078414
27	0.031238	0.3029	0.381333
28	-0.167639	-1.6253	0.053721
29	-0.017405	-0.1687	0.433179
30	-0.043521	-0.4219	0.337013
31	0.119745	1.161	0.124297
32	0.009143	0.0886	0.464778
33	0.02484	0.2408	0.405105
34	-0.021558	-0.209	0.417446
35	0.000965	0.0094	0.496276
36	0.146082	1.4163	0.079994
37	-0.019276	-0.1869	0.426076
38	0.014894	0.1444	0.442745
39	-0.041673	-0.404	0.343551
40	0.012363	0.1199	0.452424
41	-0.103398	-1.0025	0.159341
42	-0.106922	-1.0366	0.151279
43	0.011065	0.1073	0.457399
44	-0.003687	-0.0357	0.485782
45	0.047038	0.456	0.324703
46	-0.020589	-0.1996	0.421104
47	-0.052726	-0.5112	0.305206
48	-0.086606	-0.8397	0.201611
49	-0.086939	-0.8429	0.20071
50	-0.038919	-0.3773	0.353388
51	-0.003851	-0.0373	0.485146
52	0.074388	0.7212	0.236283
53	0.020859	0.2022	0.420084
54	-0.062797	-0.6088	0.272051
55	-0.068354	-0.6627	0.254568
56	-0.058875	-0.5708	0.284744
57	-0.020206	-0.1959	0.422555
58	-0.095012	-0.9212	0.179658
59	0.009301	0.0902	0.464169
60	0.001271	0.0123	0.495098

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229898968tg2sgxo42yd7ktu/1t5b91229898942.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229898968tg2sgxo42yd7ktu/1t5b91229898942.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229898968tg2sgxo42yd7ktu/2lcht1229898942.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229898968tg2sgxo42yd7ktu/2lcht1229898942.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; 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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