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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: Tue, 08 Dec 2009 12:39:19 -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/08/t1260301205o6znihh99s0k2ob.htm/, Retrieved Tue, 08 Dec 2009 20:40:07 +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/08/t1260301205o6znihh99s0k2ob.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:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

5789 6333 6901 5813 6504 5619 5867 6084 5258 5601 5081 4678 5463 5546 6810 6407 5985 5119 5904 5034 4922 6083 4365 4464 4557 5885 5286 6017 5376 5935 6276 5510 5998 5193 4602 5326 5307 5014 6153 6441 5584 6427 6062 5589 6216 5809 4989 6706 7174 6122 8075 6292 6337 8576 6077 5931 6288 7167 6054 6468 6403 6927 7914 7728 8701 8522 6481 7502 7778 7424 6941 8574 9171 7718 9083 7164 8213 8124 7075 7026 7390 7778 6203 6905 7087 6495 7664 6516 6322 7828 6708 6717 5707 8063 6315 5893 6914 7319 6615 7341 6210 7408 6168 5878 6834 6211 5982 6973

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.489056	-5.0588	1e-06
2	-0.085732	-0.8868	0.188582
3	0.245341	2.5378	0.006297
4	-0.142827	-1.4774	0.071251
5	-0.021824	-0.2257	0.410915
6	0.02029	0.2099	0.41708
7	-0.031308	-0.3238	0.373342
8	-0.082845	-0.857	0.196692
9	0.1634	1.6902	0.046949
10	-0.09018	-0.9328	0.176503
11	-0.107035	-1.1072	0.13535
12	0.337636	3.4925	0.000348
13	-0.240436	-2.4871	0.007212
14	0.022043	0.228	0.410036
15	0.180041	1.8624	0.032648
16	-0.216504	-2.2395	0.013595
17	0.061242	0.6335	0.263882
18	0.039978	0.4135	0.340022
19	-0.056184	-0.5812	0.281172
20	-0.101688	-1.0519	0.147614
21	0.184252	1.9059	0.029672
22	-0.148603	-1.5372	0.063603
23	0.029932	0.3096	0.378725
24	0.147011	1.5207	0.065643
25	-0.091526	-0.9468	0.172948
26	0.011207	0.1159	0.453966
27	0.045183	0.4674	0.320592
28	-0.082321	-0.8515	0.198186
29	0.04447	0.46	0.323225
30	0.010043	0.1039	0.458729
31	-0.178551	-1.8469	0.033759
32	0.109925	1.1371	0.129025
33	0.062515	0.6467	0.259618
34	-0.056715	-0.5867	0.279334
35	-0.086549	-0.8953	0.186327
36	0.208985	2.1618	0.016433
37	-0.070274	-0.7269	0.234433
38	-0.056576	-0.5852	0.279814
39	0.040264	0.4165	0.33894
40	-0.000513	-0.0053	0.497888
41	-0.037191	-0.3847	0.350608
42	-0.053788	-0.5564	0.289555
43	0.0484	0.5007	0.308823
44	0.024932	0.2579	0.398491
45	-0.097368	-1.0072	0.158061
46	0.117378	1.2142	0.113678
47	-0.050452	-0.5219	0.301416
48	0.013502	0.1397	0.444593

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.489056	-5.0588	1e-06
2	-0.427048	-4.4174	1.2e-05
3	-0.037524	-0.3882	0.349337
4	-0.04005	-0.4143	0.339749
5	-0.054194	-0.5606	0.288126
6	-0.119639	-1.2376	0.109294
7	-0.129745	-1.3421	0.091204
8	-0.253123	-2.6183	0.005059
9	-0.034397	-0.3558	0.361343
10	-0.043621	-0.4512	0.326372
11	-0.197065	-2.0385	0.021985
12	0.168956	1.7477	0.041693
13	0.039902	0.4128	0.340306
14	0.044431	0.4596	0.323368
15	0.150005	1.5517	0.061848
16	0.001155	0.0119	0.495246
17	0.01426	0.1475	0.441505
18	0.013412	0.1387	0.444959
19	0.052001	0.5379	0.295882
20	-0.112317	-1.1618	0.123947
21	-1e-04	-0.001	0.49959
22	-0.116243	-1.2024	0.115925
23	-0.031678	-0.3277	0.371899
24	-0.019438	-0.2011	0.420515
25	0.116778	1.208	0.114862
26	0.066281	0.6856	0.247219
27	-0.014291	-0.1478	0.44138
28	-0.023579	-0.2439	0.403887
29	0.020516	0.2122	0.416169
30	0.039809	0.4118	0.340659
31	-0.182761	-1.8905	0.030699
32	-0.093022	-0.9622	0.169052
33	-0.078723	-0.8143	0.208637
34	0.114288	1.1822	0.119872
35	-0.142176	-1.4707	0.072156
36	-0.007478	-0.0774	0.469243
37	0.026379	0.2729	0.392739
38	-0.017812	-0.1842	0.427085
39	-0.097239	-1.0058	0.158379
40	-0.01477	-0.1528	0.439428
41	-0.033817	-0.3498	0.363587
42	-0.211677	-2.1896	0.015363
43	-0.00092	-0.0095	0.496213
44	0.050088	0.5181	0.302725
45	-0.089107	-0.9217	0.179371
46	-0.006137	-0.0635	0.474752
47	0.014993	0.1551	0.438523
48	-0.092752	-0.9594	0.169751

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260301205o6znihh99s0k2ob/15uwu1260301157.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260301205o6znihh99s0k2ob/15uwu1260301157.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260301205o6znihh99s0k2ob/2o0he1260301157.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260301205o6znihh99s0k2ob/2o0he1260301157.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; 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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