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nbv

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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: Mon, 22 Dec 2008 04:11:29 -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/22/t1229944317aucl6y78e1qozv6.htm/, Retrieved Mon, 22 Dec 2008 12:11:59 +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/22/t1229944317aucl6y78e1qozv6.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	0.00719	0.0651	0.474124
2	0.100226	0.9076	0.183378
3	0.248737	2.2524	0.013484
4	-0.080944	-0.733	0.232831
5	0.130314	1.18	0.120698
6	0.161292	1.4606	0.073978
7	-0.103582	-0.938	0.175506
8	0.096485	0.8737	0.192414
9	0.22882	2.0721	0.020701
10	-0.1644	-1.4887	0.070201
11	-0.051302	-0.4646	0.321741
12	-0.150158	-1.3597	0.088819
13	-0.220976	-2.001	0.024349
14	0.086861	0.7866	0.216904
15	-0.075264	-0.6815	0.248725
16	-0.139343	-1.2618	0.105298
17	0.164034	1.4854	0.070638
18	-0.090473	-0.8193	0.207504
19	-0.20533	-1.8593	0.033283
20	0.000102	9e-04	0.499631
21	-0.063984	-0.5794	0.281954
22	-0.138751	-1.2564	0.106261
23	0.17376	1.5735	0.059731
24	-0.280489	-2.5399	0.006487
25	-0.086243	-0.781	0.218537
26	0.038376	0.3475	0.364548
27	-0.03703	-0.3353	0.36912
28	-0.079604	-0.7208	0.236527
29	0.000548	0.005	0.498025
30	-0.013265	-0.1201	0.452342
31	0.057418	0.5199	0.302254
32	0.12617	1.1425	0.128282
33	-0.154177	-1.3961	0.083221
34	0.05804	0.5256	0.300303
35	0.107062	0.9695	0.167577
36	0.055237	0.5002	0.309139
37	0.212612	1.9253	0.02883
38	0.071865	0.6508	0.258509
39	-0.044075	-0.3991	0.345422
40	0.116954	1.0591	0.14634
41	-0.012944	-0.1172	0.453488
42	-0.083278	-0.7541	0.226471
43	0.063441	0.5745	0.283607
44	0.059394	0.5378	0.296072
45	-0.099943	-0.905	0.184053
46	0.13184	1.1939	0.117987
47	-0.092138	-0.8343	0.203255
48	-0.139221	-1.2607	0.105496
49	-0.006147	-0.0557	0.477871
50	-0.125576	-1.1371	0.129395
51	-0.113702	-1.0296	0.153109
52	0.071486	0.6473	0.259612
53	-0.069536	-0.6297	0.265329
54	-0.030316	-0.2745	0.392186
55	0.031776	0.2877	0.387136
56	-0.198368	-1.7963	0.038065
57	0.000971	0.0088	0.496502
58	-0.025679	-0.2325	0.40835
59	-0.094933	-0.8597	0.196242
60	0.036107	0.327	0.372266

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.00719	0.0651	0.474124
2	0.10018	0.9072	0.183488
3	0.249889	2.2628	0.013144
4	-0.094819	-0.8586	0.196525
5	0.086654	0.7847	0.217448
6	0.127161	1.1515	0.126437
7	-0.092337	-0.8361	0.202752
8	0.013887	0.1258	0.450118
9	0.227777	2.0626	0.021158
10	-0.149612	-1.3548	0.089602
11	-0.19727	-1.7864	0.038869
12	-0.220398	-1.9958	0.024638
13	-0.108133	-0.9792	0.165184
14	0.08858	0.8021	0.2124
15	0.014154	0.1282	0.449164
16	-0.028268	-0.256	0.399304
17	0.179808	1.6282	0.053656
18	-0.019583	-0.1773	0.429842
19	-0.216288	-1.9586	0.026782
20	-0.052388	-0.4744	0.31824
21	0.210232	1.9037	0.030227
22	-0.122313	-1.1076	0.135639
23	-0.028113	-0.2546	0.399846
24	-0.30977	-2.8051	0.00314
25	-0.093462	-0.8463	0.199915
26	-0.107031	-0.9692	0.167646
27	0.298037	2.6988	0.004224
28	0.054829	0.4965	0.310435
29	0.076887	0.6962	0.244124
30	-0.029522	-0.2673	0.394942
31	-0.019853	-0.1798	0.428887
32	-0.018795	-0.1702	0.432639
33	0.0472	0.4274	0.3351
34	0.030801	0.2789	0.390507
35	0.064404	0.5832	0.280678
36	-0.061106	-0.5533	0.290768
37	0.026591	0.2408	0.405158
38	-0.044381	-0.4019	0.344405
39	0.003788	0.0343	0.486359
40	-0.055281	-0.5006	0.309001
41	0.071968	0.6517	0.258209
42	-0.009857	-0.0893	0.464546
43	-0.032848	-0.2975	0.383436
44	-0.088665	-0.8029	0.212177
45	-0.076679	-0.6944	0.24471
46	0.025636	0.2321	0.408502
47	0.090816	0.8224	0.206624
48	-0.149082	-1.35	0.090366
49	-0.009887	-0.0895	0.46444
50	-0.058043	-0.5256	0.30029
51	-0.005031	-0.0456	0.481888
52	-0.034039	-0.3082	0.379344
53	0.019453	0.1762	0.430303
54	0.0177	0.1603	0.436526
55	0.043363	0.3927	0.347793
56	-0.064056	-0.5801	0.281735
57	-0.024119	-0.2184	0.413829
58	-0.110308	-0.9989	0.160395
59	0.05946	0.5384	0.295867
60	0.013033	0.118	0.453172

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229944317aucl6y78e1qozv6/1v8al1229944288.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229944317aucl6y78e1qozv6/1v8al1229944288.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229944317aucl6y78e1qozv6/215e21229944288.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229944317aucl6y78e1qozv6/215e21229944288.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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