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Paper 8

*Unverified author*

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 04:57:58 -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/t1230119902f9ffustcgei6s4b.htm/, Retrieved Wed, 24 Dec 2008 12:58:24 +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/t1230119902f9ffustcgei6s4b.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 «

528 478 469 490 493 508 517 514 510 527 542 565 555 499 511 526 532 549 561 557 566 588 620 626 620 573 573 574 580 590 593 597 595 612 628 629 621 569 567 573 584 589 591 595 594 611 613 611 594 543 537 544 555 561 562 555 547 565 578 580

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	0.24459	1.8787	0.032612
2	-0.174356	-1.3393	0.092813
3	-0.265865	-2.0421	0.022807
4	-0.25445	-1.9545	0.027695
5	0.031603	0.2427	0.404521
6	0.165197	1.2689	0.10473
7	0.049557	0.3807	0.352414
8	-0.278317	-2.1378	0.018344
9	-0.284683	-2.1867	0.016371
10	-0.168593	-1.295	0.100184
11	0.250217	1.922	0.029722
12	0.716562	5.504	0
13	0.125432	0.9635	0.169625
14	-0.137284	-1.0545	0.147978
15	-0.250551	-1.9245	0.029558
16	-0.199687	-1.5338	0.065209
17	0.031267	0.2402	0.405518
18	0.117246	0.9006	0.185735
19	0.025813	0.1983	0.421757
20	-0.265822	-2.0418	0.022824
21	-0.231306	-1.7767	0.040387
22	-0.088802	-0.6821	0.248922
23	0.161005	1.2367	0.110548
24	0.491886	3.7782	0.000185
25	0.101072	0.7763	0.220322
26	-0.12928	-0.993	0.162378
27	-0.212833	-1.6348	0.053708
28	-0.121007	-0.9295	0.178215
29	0.024485	0.1881	0.425733
30	0.079583	0.6113	0.271678
31	0.014262	0.1096	0.456569
32	-0.211928	-1.6279	0.054443
33	-0.145976	-1.1213	0.133359
34	-0.079563	-0.6111	0.271728
35	0.113076	0.8686	0.194305
36	0.355261	2.7288	0.004181
37	0.07185	0.5519	0.291555
38	-0.101567	-0.7801	0.219211
39	-0.110352	-0.8476	0.200036
40	-0.038724	-0.2974	0.383585
41	0.02209	0.1697	0.432921
42	0.062874	0.4829	0.31546
43	0.023552	0.1809	0.428531
44	-0.129962	-0.9983	0.161115
45	-0.088736	-0.6816	0.249081
46	-0.032737	-0.2515	0.401166
47	0.093477	0.718	0.237793
48	0.173164	1.3301	0.094303
49	0.030121	0.2314	0.408915
50	-0.029882	-0.2295	0.409625
51	-0.030861	-0.237	0.40672
52	-0.005151	-0.0396	0.484287
53	0.005468	0.042	0.48332
54	0.043632	0.3351	0.369354
55	0.026385	0.2027	0.420046
56	-0.048302	-0.371	0.355979
57	-0.031311	-0.2405	0.405386
58	-0.002839	-0.0218	0.491337
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.24459	1.8787	0.032612
2	-0.249081	-1.9132	0.030288
3	-0.171996	-1.3211	0.09578
4	-0.206616	-1.587	0.058924
5	0.068797	0.5284	0.299588
6	0.020546	0.1578	0.43757
7	-0.073606	-0.5654	0.286981
8	-0.33346	-2.5614	0.006501
9	-0.156069	-1.1988	0.117701
10	-0.223323	-1.7154	0.045762
11	0.179501	1.3788	0.086586
12	0.564026	4.3324	2.9e-05
13	-0.220456	-1.6934	0.047831
14	0.081761	0.628	0.266207
15	-0.075493	-0.5799	0.282104
16	0.03816	0.2931	0.385233
17	-0.082143	-0.631	0.265253
18	-0.126849	-0.9743	0.166932
19	-0.031467	-0.2417	0.404925
20	-0.026518	-0.2037	0.419649
21	0.031784	0.2441	0.403987
22	0.039557	0.3038	0.381157
23	-0.264177	-2.0292	0.02348
24	0.049485	0.3801	0.352616
25	0.010412	0.08	0.468264
26	-0.113729	-0.8736	0.192947
27	-0.018274	-0.1404	0.444425
28	-0.063263	-0.4859	0.314408
29	-0.022348	-0.1717	0.432146
30	-0.020229	-0.1554	0.438525
31	-0.086565	-0.6649	0.254347
32	0.01216	0.0934	0.462951
33	-0.048805	-0.3749	0.354546
34	-0.117705	-0.9041	0.184806
35	0.038244	0.2938	0.384987
36	-0.13882	-1.0663	0.145317
37	0.002961	0.0227	0.490964
38	-0.055882	-0.4292	0.334656
39	0.041304	0.3173	0.376084
40	0.013876	0.1066	0.45774
41	-0.057473	-0.4415	0.330249
42	-0.009475	-0.0728	0.471116
43	0.014717	0.113	0.455189
44	-0.015999	-0.1229	0.451306
45	0.024634	0.1892	0.425285
46	0.009395	0.0722	0.471357
47	-0.023686	-0.1819	0.428128
48	-0.141121	-1.084	0.141393
49	0.017439	0.134	0.446948
50	0.053227	0.4088	0.342068
51	-0.031745	-0.2438	0.404101
52	-0.038498	-0.2957	0.384246
53	-0.037451	-0.2877	0.387305
54	0.045825	0.352	0.36305
55	0.02049	0.1574	0.437738
56	0.052552	0.4037	0.343961
57	-0.044921	-0.345	0.365643
58	0.000839	0.0064	0.497439
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230119902f9ffustcgei6s4b/1ti1h1230119876.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230119902f9ffustcgei6s4b/1ti1h1230119876.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230119902f9ffustcgei6s4b/2yy781230119876.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230119902f9ffustcgei6s4b/2yy781230119876.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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