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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: Wed, 24 Dec 2008 01:56:31 -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/24/t123010914098xhzs6a47in487.htm/, Retrieved Wed, 24 Dec 2008 09:59:02 +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/24/t123010914098xhzs6a47in487.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 «

46402 45329 42185 49341 50472 33020 29567 22870 25730 32609 23536 15135 36776 29982 38062 34226 24906 30233 27405 20784 22886 25425 20838 15655 37158 36364 43213 31635 30113 29985 20919 19429 21427 26064 20109 15369 35466 25954 33504 28115 28501 28618 21434 20177 21484 25642 23515 12941 36190 37785 38407 33326 30304 27576 27048 17291 21018 26792 19426 13927 35647 31746 31277 31583 25607 28151 24947 18077 23429 26313 18862 14753 36409 33163 34122 35225 28249 30374 26311 22069 23651 28628 23187 14727 43080 32519 39657 33614 28671 34243 27336 22916 24537 26128 22602 15744 41086 39690 43129 37863 35953 29133 24693 22205 21725 27192 21790 13253 37702 30364 32609 30212 29965 28352 25814 22414 20506 28806 22228 13971 36845 35338 35022 34777 26887 23970 22780 17351 21382 24561 17409 11514 31514 27071 29462 26105 22397 23843 21705 18089 20764 25316 17704 15548 28029 29383 36438 32034 22679 24319 18004 17537 20366 22782 19169 13807 29743 25591 29096 26482 22405 27044 17970 18730 19684 19785 18479 10698 31956 29506 34506 27165 26736 23691 18157 17328 18205 20995 17382 9367 31124 26551 30651 25859 25100 25778 20418 18688 20424 24776 19814 12738

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	0.503607	6.7566	0
2	0.355635	4.7713	2e-06
3	0.325768	4.3706	1e-05
4	0.093846	1.2591	0.104818
5	0.122502	1.6435	0.051009
6	0.096061	1.2888	0.099563
7	0.036668	0.492	0.311674
8	0.094921	1.2735	0.102241
9	-0.042463	-0.5697	0.284793
10	-0.195626	-2.6246	0.00471
11	-0.21301	-2.8578	0.002384
12	-0.411239	-5.5174	0
13	-0.291027	-3.9045	6.7e-05
14	-0.051825	-0.6953	0.24388
15	-0.011204	-0.1503	0.440341
16	0.038204	0.5126	0.304444
17	0.066824	0.8965	0.185581
18	0.067424	0.9046	0.183447
19	0.003606	0.0484	0.480732
20	0.017796	0.2388	0.405784
21	0.148751	1.9957	0.023737
22	0.180494	2.4216	0.008223
23	0.285948	3.8364	8.6e-05
24	0.283862	3.8084	9.6e-05
25	0.249891	3.3526	0.000488
26	0.154354	2.0709	0.019899
27	-0.016497	-0.2213	0.412541
28	-0.0292	-0.3918	0.34785
29	-0.01727	-0.2317	0.408516
30	-0.089324	-1.1984	0.116168
31	-0.020128	-0.27	0.393717
32	4.6e-05	6e-04	0.499757
33	-0.173255	-2.3245	0.010608
34	-0.187184	-2.5113	0.006454
35	-0.207357	-2.782	0.002989
36	-0.344868	-4.6269	4e-06
37	-0.213726	-2.8674	0.002316
38	-0.200435	-2.6891	0.003919
39	-0.086807	-1.1646	0.122852
40	0.049533	0.6646	0.253593
41	-0.040786	-0.5472	0.292458
42	0.007405	0.0994	0.460484
43	0.029709	0.3986	0.345336
44	-0.049938	-0.67	0.251864
45	0.018562	0.249	0.401807
46	0.15344	2.0586	0.020486
47	0.103318	1.3862	0.083707
48	0.207312	2.7814	0.002995

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.503607	6.7566	0
2	0.13668	1.8338	0.034171
3	0.139691	1.8741	0.031265
4	-0.193454	-2.5955	0.005113
5	0.102097	1.3698	0.086233
6	-0.003245	-0.0435	0.482659
7	0.009605	0.1289	0.448803
8	0.047229	0.6336	0.263558
9	-0.15447	-2.0724	0.019825
10	-0.212607	-2.8524	0.002423
11	-0.094319	-1.2654	0.103677
12	-0.271638	-3.6444	0.000175
13	0.1144	1.5348	0.063289
14	0.275302	3.6936	0.000147
15	0.18506	2.4828	0.006975
16	-0.048934	-0.6565	0.256163
17	-0.012868	-0.1726	0.431561
18	0.079096	1.0612	0.145014
19	-0.10563	-1.4172	0.079081
20	0.036799	0.4937	0.311054
21	0.177052	2.3754	0.009291
22	-0.070449	-0.9452	0.172917
23	0.083191	1.1161	0.132928
24	-0.063981	-0.8584	0.195907
25	0.086637	1.1624	0.123314
26	0.020836	0.2795	0.390075
27	-0.05464	-0.7331	0.232234
28	-0.041737	-0.56	0.288103
29	-0.065431	-0.8778	0.190599
30	-0.065325	-0.8764	0.190981
31	0.015224	0.2042	0.419196
32	0.016411	0.2202	0.412994
33	-0.056709	-0.7608	0.223879
34	-0.045672	-0.6127	0.270408
35	0.061656	0.8272	0.204611
36	-0.236761	-3.1765	0.000877
37	0.078989	1.0598	0.145339
38	-0.070594	-0.9471	0.172425
39	0.052016	0.6979	0.243079
40	0.057089	0.7659	0.22236
41	-0.025345	-0.34	0.367111
42	0.0058	0.0778	0.469033
43	-0.014361	-0.1927	0.423714
44	-0.02422	-0.3249	0.372802
45	-0.043791	-0.5875	0.278797
46	0.044905	0.6025	0.27381
47	0.012316	0.1652	0.434471
48	0.003128	0.042	0.483284

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t123010914098xhzs6a47in487/1b31s1230108990.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t123010914098xhzs6a47in487/1b31s1230108990.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t123010914098xhzs6a47in487/2u7nd1230108990.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t123010914098xhzs6a47in487/2u7nd1230108990.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; 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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