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Nick Mulkens

*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 05:58:14 -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/t1230123520tukg3wye3b299uw.htm/, Retrieved Wed, 24 Dec 2008 13:58:42 +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/t1230123520tukg3wye3b299uw.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 «

1.1608 1.1208 1.0883 1.0704 1.0628 1.0378 1.0353 1.0604 1.0501 1.0706 1.0338 1.011 1.0137 0.9834 0.9643 0.947 0.906 0.9492 0.9397 0.9041 0.8721 0.8552 0.8564 0.8973 0.9383 0.9217 0.9095 0.892 0.8742 0.8532 0.8607 0.9005 0.9111 0.9059 0.8883 0.8924 0.8833 0.87 0.8758 0.8858 0.917 0.9554 0.9922 0.9778 0.9808 0.9811 1.0014 1.0183 1.0622 1.0773 1.0807 1.0848 1.1582 1.1663 1.1372 1.1139 1.1222 1.1692 1.1702 1.2286

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	0.896506	6.9443	0
2	0.807642	6.256	0
3	0.725219	5.6175	0
4	0.670669	5.195	1e-06
5	0.623945	4.8331	5e-06
6	0.569286	4.4097	2.2e-05
7	0.495254	3.8362	0.000151
8	0.402798	3.1201	0.001389
9	0.328616	2.5455	0.006751
10	0.237597	1.8404	0.035327
11	0.145033	1.1234	0.132866
12	0.052878	0.4096	0.341783
13	-0.021176	-0.164	0.43513
14	-0.076246	-0.5906	0.278503
15	-0.119062	-0.9222	0.180046
16	-0.162027	-1.2551	0.107163
17	-0.19685	-1.5248	0.066282
18	-0.267533	-2.0723	0.021271
19	-0.333731	-2.5851	0.006092
20	-0.375908	-2.9118	0.00252
21	-0.389634	-3.0181	0.001865
22	-0.389673	-3.0184	0.001863
23	-0.379924	-2.9429	0.002309
24	-0.381188	-2.9527	0.002246
25	-0.403147	-3.1228	0.001378
26	-0.420784	-3.2594	0.000921
27	-0.440319	-3.4107	0.000582
28	-0.45303	-3.5092	0.00043
29	-0.457271	-3.542	0.000388
30	-0.438489	-3.3965	0.000608
31	-0.406785	-3.1509	0.001269
32	-0.384251	-2.9764	0.0021
33	-0.361417	-2.7995	0.003437
34	-0.342622	-2.6539	0.005085
35	-0.323682	-2.5072	0.007447
36	-0.321973	-2.494	0.007702

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.896506	6.9443	0
2	0.019965	0.1547	0.438808
3	-0.011625	-0.09	0.464274
4	0.098719	0.7647	0.223733
5	0.025719	0.1992	0.421384
6	-0.05555	-0.4303	0.334264
7	-0.118	-0.914	0.18218
8	-0.14617	-1.1322	0.131022
9	0.006395	0.0495	0.480328
10	-0.166818	-1.2922	0.100627
11	-0.126965	-0.9835	0.164663
12	-0.07916	-0.6132	0.271041
13	0.001498	0.0116	0.49539
14	0.036036	0.2791	0.390551
15	0.025707	0.1991	0.421419
16	-0.004965	-0.0385	0.484726
17	0.06774	0.5247	0.300859
18	-0.218553	-1.6929	0.047831
19	-0.097533	-0.7555	0.226456
20	0.010733	0.0831	0.467011
21	0.034174	0.2647	0.39607
22	0.00457	0.0354	0.485939
23	0.035332	0.2737	0.392636
24	-0.032899	-0.2548	0.399862
25	-0.094079	-0.7287	0.234501
26	-0.097417	-0.7546	0.226723
27	-0.095023	-0.736	0.232285
28	-0.071925	-0.5571	0.289756
29	-0.050788	-0.3934	0.347708
30	0.027169	0.2104	0.417016
31	0.046829	0.3627	0.359039
32	-0.054027	-0.4185	0.338542
33	0.022354	0.1732	0.431556
34	0.003944	0.0306	0.487864
35	0.014376	0.1114	0.455854
36	-0.137904	-1.0682	0.144855

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230123520tukg3wye3b299uw/1bc2u1230123493.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230123520tukg3wye3b299uw/1bc2u1230123493.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230123520tukg3wye3b299uw/2htyj1230123493.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230123520tukg3wye3b299uw/2htyj1230123493.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; 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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