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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: Tue, 23 Dec 2008 06:16:09 -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/23/t1230038270hmmiena60o5luz5.htm/, Retrieved Tue, 23 Dec 2008 14:17:52 +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/23/t1230038270hmmiena60o5luz5.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 «

98,8 100,5 110,4 96,4 101,9 106,2 81,0 94,7 101,0 109,4 102,3 90,7 96,2 96,1 106,0 103,1 102,0 104,7 86,0 92,1 106,9 112,6 101,7 92,0 97,4 97,0 105,4 102,7 98,1 104,5 87,4 89,9 109,8 111,7 98,6 96,9 95,1 97,0 112,7 102,9 97,4 111,4 87,4 96,8 114,1 110,3 103,9 101,6 94,6 95,9 104,7 102,8 98,1 113,9 80,9 95,7 113,2 105,9 108,8 102,3 99,0 100,7 115,5 100,7 109,9 114,6 85,4 100,5 114,8 116,5 112,9 102,0 106,0 105,3 118,8 106,1 109,3 117,2 92,5 104,2 112,5 122,4 113,3 100,0

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	0.144373	1.3232	0.09468
2	-0.180223	-1.6518	0.051157
3	-0.006711	-0.0615	0.47555
4	-0.064709	-0.5931	0.277364
5	0.29166	2.6731	0.004514
6	0.398576	3.653	0.000225
7	0.235629	2.1596	0.016828
8	-0.037412	-0.3429	0.36627
9	-0.048219	-0.4419	0.329836
10	-0.23425	-2.1469	0.01734
11	0.111336	1.0204	0.155232
12	0.727757	6.67	0
13	0.062459	0.5724	0.284274
14	-0.200571	-1.8383	0.034779
15	-0.103029	-0.9443	0.173869
16	-0.127794	-1.1712	0.122405
17	0.197963	1.8144	0.036596
18	0.269011	2.4655	0.007858
19	0.123812	1.1348	0.129852
20	-0.066262	-0.6073	0.272646
21	-0.101493	-0.9302	0.177467
22	-0.259221	-2.3758	0.009893
23	0.077972	0.7146	0.23841
24	0.500618	4.5882	8e-06
25	0.004649	0.0426	0.483055
26	-0.165328	-1.5153	0.066731
27	-0.155516	-1.4253	0.078884
28	-0.145801	-1.3363	0.092532
29	0.111501	1.0219	0.154875
30	0.158927	1.4566	0.074479
31	0.088895	0.8147	0.208765
32	-0.067914	-0.6224	0.267667
33	-0.156086	-1.4306	0.078134
34	-0.228819	-2.0972	0.019493
35	0.011109	0.1018	0.459571
36	0.375126	3.4381	0.000457
37	0.012642	0.1159	0.454016
38	-0.160912	-1.4748	0.072004
39	-0.136364	-1.2498	0.107422
40	-0.156336	-1.4328	0.077807
41	0.04076	0.3736	0.354833
42	0.084289	0.7725	0.220988
43	0.073937	0.6776	0.24993
44	-0.045927	-0.4209	0.33744
45	-0.173927	-1.5941	0.057338
46	-0.206103	-1.889	0.031174
47	-0.036856	-0.3378	0.368182
48	0.252229	2.3117	0.011621
49	-0.008424	-0.0772	0.46932
50	-0.177907	-1.6305	0.053365
51	-0.14864	-1.3623	0.088371
52	-0.137014	-1.2558	0.106343
53	0.003151	0.0289	0.488514
54	0.017624	0.1615	0.436033
55	0.020583	0.1886	0.425412
56	-0.089623	-0.8214	0.20687
57	-0.130029	-1.1917	0.11836
58	-0.16865	-1.5457	0.062968
59	-0.056883	-0.5213	0.30175
60	0.171942	1.5759	0.059406

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.144373	1.3232	0.09468
2	-0.205347	-1.882	0.031647
3	0.057895	0.5306	0.298543
4	-0.118371	-1.0849	0.140538
5	0.362409	3.3215	0.000663
6	0.283866	2.6017	0.005481
7	0.360168	3.301	0.000708
8	0.031951	0.2928	0.385186
9	0.157295	1.4416	0.076562
10	-0.489663	-4.4878	1.1e-05
11	0.022541	0.2066	0.418415
12	0.467111	4.2811	2.5e-05
13	-0.13729	-1.2583	0.105887
14	-0.133706	-1.2254	0.111917
15	-0.091661	-0.8401	0.201621
16	0.017179	0.1574	0.437636
17	-0.089517	-0.8204	0.207146
18	-0.081015	-0.7425	0.229923
19	0.004064	0.0373	0.485187
20	0.022371	0.205	0.419021
21	0.06048	0.5543	0.29042
22	0.033043	0.3028	0.381378
23	0.055689	0.5104	0.305554
24	-0.079096	-0.7249	0.235255
25	-0.006268	-0.0574	0.477164
26	0.027802	0.2548	0.399748
27	-0.037129	-0.3403	0.367244
28	-0.047942	-0.4394	0.330752
29	-0.104064	-0.9538	0.171471
30	-0.043303	-0.3969	0.346231
31	0.060665	0.556	0.289844
32	0.004304	0.0394	0.484314
33	-0.062924	-0.5767	0.28284
34	0.087097	0.7983	0.213485
35	-0.096256	-0.8822	0.190094
36	0.16899	1.5488	0.062592
37	-0.016475	-0.151	0.440171
38	-0.007997	-0.0733	0.470872
39	-0.001408	-0.0129	0.494867
40	-0.035527	-0.3256	0.372764
41	-0.074205	-0.6801	0.249155
42	-0.109505	-1.0036	0.15922
43	-0.055881	-0.5122	0.304941
44	-0.000618	-0.0057	0.497747
45	-0.024812	-0.2274	0.410329
46	0.038111	0.3493	0.363873
47	0.017042	0.1562	0.438128
48	-0.02666	-0.2443	0.403782
49	-0.077885	-0.7138	0.238656
50	-0.026385	-0.2418	0.404755
51	-0.093332	-0.8554	0.19738
52	0.071573	0.656	0.256817
53	0.022361	0.2049	0.419057
54	0.007902	0.0724	0.471218
55	-0.107166	-0.9822	0.164413
56	-0.0768	-0.7039	0.241727
57	0.099088	0.9082	0.183196
58	0.01055	0.0967	0.461601
59	0.015971	0.1464	0.441986
60	-0.07236	-0.6632	0.254513

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230038270hmmiena60o5luz5/10y9u1230038167.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230038270hmmiena60o5luz5/10y9u1230038167.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230038270hmmiena60o5luz5/2lpso1230038167.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230038270hmmiena60o5luz5/2lpso1230038167.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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