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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 07:31:53 -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/t12301291902zavyeo879v4t47.htm/, Retrieved Wed, 24 Dec 2008 15:33:10 +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/t12301291902zavyeo879v4t47.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 «

555 562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502

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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.885194	6.8567	0
2	0.721447	5.5883	0
3	0.603346	4.6735	9e-06
4	0.553237	4.2854	3.4e-05
5	0.548636	4.2497	3.8e-05
6	0.508796	3.9411	0.000107
7	0.431457	3.342	0.000718
8	0.359272	2.7829	0.003596
9	0.334338	2.5898	0.006018
10	0.366053	2.8354	0.003114
11	0.430988	3.3384	0.000726
12	0.439389	3.4035	0.000595
13	0.300833	2.3302	0.011587
14	0.142762	1.1058	0.136608
15	0.029697	0.23	0.409425
16	-0.0155	-0.1201	0.452417
17	-0.029292	-0.2269	0.410637
18	-0.082128	-0.6362	0.263546
19	-0.151946	-1.177	0.121929
20	-0.215521	-1.6694	0.050122
21	-0.232821	-1.8034	0.038172
22	-0.203239	-1.5743	0.06034
23	-0.155499	-1.2045	0.116566
24	-0.148866	-1.1531	0.12672
25	-0.234602	-1.8172	0.037089
26	-0.330452	-2.5597	0.006507
27	-0.374881	-2.9038	0.002576
28	-0.368928	-2.8577	0.002929
29	-0.339515	-2.6299	0.005418
30	-0.340277	-2.6358	0.005335
31	-0.357881	-2.7721	0.003703
32	-0.373032	-2.8895	0.002681
33	-0.352139	-2.7277	0.004177
34	-0.303862	-2.3537	0.01094
35	-0.244493	-1.8938	0.031536
36	-0.206212	-1.5973	0.057725
37	-0.235487	-1.8241	0.036561
38	-0.266876	-2.0672	0.021518
39	-0.26138	-2.0246	0.023681
40	-0.227214	-1.76	0.041753
41	-0.184447	-1.4287	0.079135
42	-0.17643	-1.3666	0.088422
43	-0.181898	-1.409	0.082002
44	-0.177937	-1.3783	0.086615
45	-0.149749	-1.16	0.125331
46	-0.11182	-0.8662	0.194929
47	-0.068549	-0.531	0.298697
48	-0.040475	-0.3135	0.377487
49	-0.042818	-0.3317	0.370649
50	-0.039739	-0.3078	0.379644
51	-0.022101	-0.1712	0.432323
52	0.007537	0.0584	0.476819
53	0.034009	0.2634	0.396558
54	0.028085	0.2175	0.414261
55	0.01332	0.1032	0.459083
56	0.003504	0.0271	0.489218
57	0.001048	0.0081	0.496776
58	0.001964	0.0152	0.493957
59	0.003091	0.0239	0.490487
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.885194	6.8567	0
2	-0.287031	-2.2233	0.014985
3	0.178747	1.3846	0.085656
4	0.159556	1.2359	0.110654
5	0.11425	0.885	0.189852
6	-0.18081	-1.4005	0.08325
7	-0.025096	-0.1944	0.423262
8	0.04773	0.3697	0.35645
9	0.121208	0.9389	0.17578
10	0.127773	0.9897	0.163141
11	0.182185	1.4112	0.081675
12	-0.176188	-1.3647	0.088715
13	-0.580726	-4.4983	1.6e-05
14	0.069954	0.5419	0.294961
15	-0.07743	-0.5998	0.275459
16	-0.04371	-0.3386	0.368055
17	-0.041441	-0.321	0.374664
18	0.067468	0.5226	0.301586
19	0.039657	0.3072	0.379885
20	-0.183047	-1.4179	0.0807
21	0.042363	0.3281	0.371975
22	-0.037162	-0.2879	0.387225
23	-0.0347	-0.2688	0.39451
24	0.038706	0.2998	0.382678
25	0.014875	0.1152	0.454327
26	-0.041823	-0.324	0.373548
27	0.068117	0.5276	0.299851
28	-0.081248	-0.6293	0.265756
29	0.069718	0.54	0.295586
30	0.006667	0.0516	0.479494
31	-0.013203	-0.1023	0.459441
32	-0.040432	-0.3132	0.377614
33	-0.009712	-0.0752	0.470141
34	-0.035897	-0.2781	0.390962
35	-0.01598	-0.1238	0.450951
36	0.104838	0.8121	0.209981
37	-0.039327	-0.3046	0.380852
38	0.02193	0.1699	0.432843
39	-0.027579	-0.2136	0.415782
40	-0.029402	-0.2277	0.41031
41	-0.135298	-1.048	0.149417
42	-0.042733	-0.331	0.370895
43	0.051594	0.3996	0.34542
44	0.012314	0.0954	0.462165
45	-0.001267	-0.0098	0.496102
46	-0.044714	-0.3464	0.365145
47	0.026374	0.2043	0.419409
48	-0.08404	-0.651	0.258775
49	0.136226	1.0552	0.147781
50	-0.01953	-0.1513	0.440131
51	-0.008948	-0.0693	0.472485
52	-0.016053	-0.1243	0.450728
53	0.017929	0.1389	0.445007
54	-0.071917	-0.5571	0.289776
55	-0.057656	-0.4466	0.328385
56	0.01168	0.0905	0.464107
57	-0.084217	-0.6523	0.258337
58	-0.003972	-0.0308	0.487779
59	-0.05539	-0.4291	0.334711
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t12301291902zavyeo879v4t47/1uy961230129107.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t12301291902zavyeo879v4t47/1uy961230129107.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t12301291902zavyeo879v4t47/24frl1230129107.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t12301291902zavyeo879v4t47/24frl1230129107.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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