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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: Fri, 04 Dec 2009 08:09:20 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/04/t1259939434bvtfojx6jyrptuh.htm/, Retrieved Fri, 04 Dec 2009 16:10:36 +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/2009/Dec/04/t1259939434bvtfojx6jyrptuh.htm/},
    year = {2009},
}
@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 = {2009},
    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 «

8 8,1 7,7 7,5 7,6 7,8 7,8 7,8 7,5 7,5 7,1 7,5 7,5 7,6 7,7 7,7 7,9 8,1 8,2 8,2 8,2 7,9 7,3 6,9 6,6 6,7 6,9 7 7,1 7,2 7,1 6,9 7 6,8 6,4 6,7 6,6 6,4 6,3 6,2 6,5 6,8 6,8 6,4 6,1 5,8 6,1 7,2 7,3 6,9 6,1 5,8 6,2 7,1 7,7 7,9 7,7 7,4 7,5 8 8,1

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	0.848975	6.6307	0
2	0.59973	4.684	8e-06
3	0.422227	3.2977	0.000815
4	0.381774	2.9817	0.002057
5	0.426447	3.3307	0.000737
6	0.442859	3.4588	0.000498
7	0.362289	2.8296	0.003151
8	0.227409	1.7761	0.04035
9	0.146217	1.142	0.128961
10	0.148653	1.161	0.125078
11	0.219021	1.7106	0.046117
12	0.248594	1.9416	0.028405
13	0.190747	1.4898	0.070718
14	0.100665	0.7862	0.217392
15	0.034971	0.2731	0.392836
16	-0.015025	-0.1173	0.453485
17	-0.05503	-0.4298	0.334428
18	-0.088838	-0.6938	0.245207
19	-0.133891	-1.0457	0.149907
20	-0.181979	-1.4213	0.080161
21	-0.228021	-1.7809	0.039954
22	-0.274902	-2.1471	0.017886
23	-0.306745	-2.3958	0.009835
24	-0.312651	-2.4419	0.008763
25	-0.303339	-2.3692	0.010505
26	-0.263788	-2.0602	0.021824
27	-0.22267	-1.7391	0.04353
28	-0.227687	-1.7783	0.04017
29	-0.269638	-2.1059	0.019666
30	-0.319554	-2.4958	0.007644
31	-0.356625	-2.7853	0.003557
32	-0.362929	-2.8346	0.003107
33	-0.332448	-2.5965	0.005893
34	-0.278306	-2.1736	0.016812
35	-0.217469	-1.6985	0.047256
36	-0.183227	-1.431	0.07876

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.848975	6.6307	0
2	-0.433417	-3.3851	0.000625
3	0.266131	2.0785	0.020936
4	0.225292	1.7596	0.041746
5	0.08775	0.6854	0.247859
6	-0.093098	-0.7271	0.234967
7	-0.139677	-1.0909	0.139801
8	-0.012816	-0.1001	0.460298
9	0.13252	1.035	0.152373
10	-0.012563	-0.0981	0.46108
11	0.135221	1.0561	0.147541
12	-0.157698	-1.2317	0.111401
13	-0.02804	-0.219	0.413691
14	0.064694	0.5053	0.307593
15	-0.076943	-0.6009	0.275052
16	-0.241712	-1.8878	0.031904
17	-0.035781	-0.2795	0.390419
18	0.027613	0.2157	0.414984
19	-0.033933	-0.265	0.395941
20	-0.09754	-0.7618	0.224554
21	-0.086333	-0.6743	0.251339
22	-0.096896	-0.7568	0.226048
23	0.024083	0.1881	0.425715
24	0.010145	0.0792	0.468552
25	-0.051522	-0.4024	0.344397
26	0.093099	0.7271	0.234964
27	0.021543	0.1683	0.433469
28	-0.070392	-0.5498	0.292239
29	-0.059532	-0.465	0.321809
30	-0.118208	-0.9232	0.179761
31	-0.074272	-0.5801	0.281997
32	-0.00723	-0.0565	0.477577
33	0.0708	0.553	0.291154
34	0.140402	1.0966	0.13857
35	0.070026	0.5469	0.293214
36	-0.041533	-0.3244	0.373379

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259939434bvtfojx6jyrptuh/15h9m1259939359.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259939434bvtfojx6jyrptuh/15h9m1259939359.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259939434bvtfojx6jyrptuh/2yake1259939359.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259939434bvtfojx6jyrptuh/2yake1259939359.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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