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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: Sun, 13 Dec 2009 03:07:50 -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/13/t1260698988lsq9fjwrd047sb9.htm/, Retrieved Sun, 13 Dec 2009 11:09:50 +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/13/t1260698988lsq9fjwrd047sb9.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 «

2.14 2.45 2.52 2.3 2.2541086 39690 43129 37863 35953 29133 24693 22205 21725 27192 21790 13253 37702 30364 32609 30212 29965 28352 25814 22414 20506 28806 22228 13971 36845 35338 35022 34777 26887 23970 22780 17351 21382 24561 17409 11514 31514 27071 29462 26105 22397 23843 21705 18089 20764 25316 17704 15548 28029 29383 36438 32034 22679 24319 18004 17537 20366 22782 19169 13807 29743 25591 29096 26482 22405 27044 17970 18730 19684 19785 18479 10698 2.06 1.99 2.25 2.26 2.36 2.3 2.19 2.31 2.21 2.21 2.26 2.18 2.21 2.33 2.12 2.08 1.97 2.09 2.11 2.24 2.45 2.68 2.73 2.76 2.83 3.16 3.22 3.22 3.34 3.35 3.42 3.58 3.71 3.68 3.83 3.94 3.88 4.03 4.15 4.32 4.4 4.37 4.14 4.11 4.16 3.98 4.13 3.76 3.66 3.85 4.03 4.31 4.58 4.46 4.41 3.84 2.84 2.66 2.17 1.43 1.47 1.29 1.23 1.09 0.94 0.76 0.67

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
R Framework error message	Warning: there are blank lines in the 'Data' field. Please, use NA for missing data - blank lines are simply deleted and are NOT treated as missing values.

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.150315	-1.7912	0.037695
2	-0.121051	-1.4425	0.075682
3	0.078758	0.9385	0.174788
4	-0.145475	-1.7335	0.042585
5	-0.011174	-0.1332	0.447129
6	-0.061946	-0.7382	0.230814
7	-0.060237	-0.7178	0.237027
8	0.03542	0.4221	0.336802
9	0.015169	0.1808	0.428409
10	-0.159525	-1.901	0.029667
11	0.063488	0.7565	0.225287
12	0.365697	4.3578	1.3e-05
13	-0.09936	-1.184	0.119193
14	-0.075372	-0.8982	0.185311
15	0.080898	0.964	0.16834
16	-0.131967	-1.5726	0.059022
17	0.024446	0.2913	0.385622
18	-0.053887	-0.6421	0.26091
19	-0.089269	-1.0638	0.144622
20	0.139426	1.6615	0.049414
21	-0.044227	-0.527	0.299501
22	-0.170554	-2.0324	0.021989
23	0.113753	1.3555	0.088702
24	0.295953	3.5267	0.000284
25	-0.09988	-1.1902	0.117975
26	0.013469	0.1605	0.436359
27	-0.060905	-0.7258	0.234588
28	-0.098191	-1.1701	0.121965
29	0.070034	0.8346	0.202686
30	-0.114979	-1.3701	0.086403
31	-0.014583	-0.1738	0.431145
32	0.072765	0.8671	0.193675
33	-0.042227	-0.5032	0.307804
34	-0.102699	-1.2238	0.111526
35	0.120575	1.4368	0.076486
36	0.122412	1.4587	0.073427
37	-0.030048	-0.3581	0.360413
38	0.004391	0.0523	0.479174
39	-0.027949	-0.3331	0.369793
40	-0.065922	-0.7856	0.216718
41	0.074667	0.8898	0.187549
42	-0.110003	-1.3108	0.096014
43	0.026823	0.3196	0.37486
44	0.086333	1.0288	0.152666
45	-0.095462	-1.1376	0.12861
46	-0.006968	-0.083	0.466973
47	0.038513	0.4589	0.323493
48	0.098082	1.1688	0.122226
49	0.046987	0.5599	0.28821
50	-0.041271	-0.4918	0.311809
51	-0.068837	-0.8203	0.206712
52	-0.015981	-0.1904	0.42462
53	0.008967	0.1069	0.457526
54	-0.051595	-0.6148	0.269827
55	0.023313	0.2778	0.390781
56	0.042335	0.5045	0.307354
57	-0.05686	-0.6776	0.249573
58	-0.022995	-0.274	0.392236
59	0.107819	1.2848	0.100476
60	-0.062571	-0.7456	0.228566

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.150315	-1.7912	0.037695
2	-0.146967	-1.7513	0.041026
3	0.037432	0.4461	0.328117
4	-0.150492	-1.7933	0.037525
5	-0.046108	-0.5494	0.291783
6	-0.122073	-1.4547	0.073985
7	-0.092273	-1.0996	0.136691
8	-0.040892	-0.4873	0.313403
9	-0.012774	-0.1522	0.439614
10	-0.202159	-2.409	0.008639
11	-0.033996	-0.4051	0.343005
12	0.341086	4.0645	4e-05
13	0.035701	0.4254	0.335584
14	-0.066139	-0.7881	0.215965
15	0.040924	0.4877	0.313268
16	-0.042227	-0.5032	0.307806
17	0.016687	0.1989	0.421331
18	-0.024676	-0.294	0.384577
19	-0.069796	-0.8317	0.203483
20	0.04055	0.4832	0.314846
21	-0.003333	-0.0397	0.484189
22	-0.109109	-1.3002	0.097821
23	-0.033094	-0.3944	0.346954
24	0.22515	2.683	0.004082
25	0.02969	0.3538	0.362008
26	0.03586	0.4273	0.334898
27	-0.109834	-1.3088	0.096354
28	-0.032986	-0.3931	0.347429
29	0.043223	0.5151	0.303656
30	-0.013668	-0.1629	0.435424
31	-0.025716	-0.3064	0.37986
32	-0.101619	-1.2109	0.113967
33	0.022825	0.272	0.393013
34	-0.002043	-0.0243	0.490305
35	-0.007793	-0.0929	0.463072
36	-0.041426	-0.4936	0.311159
37	0.017895	0.2132	0.41572
38	0.004388	0.0523	0.479187
39	0.03911	0.466	0.320947
40	-0.042252	-0.5035	0.3077
41	0.02732	0.3256	0.372621
42	0.015236	0.1816	0.428093
43	0.053555	0.6382	0.262192
44	-0.026447	-0.3151	0.376556
45	-0.018401	-0.2193	0.413374
46	0.044743	0.5332	0.297375
47	-0.006718	-0.08	0.468156
48	0.022025	0.2625	0.396674
49	0.047587	0.5671	0.285783
50	-0.018092	-0.2156	0.414806
51	-0.012795	-0.1525	0.439517
52	0.00919	0.1095	0.456474
53	-0.029394	-0.3503	0.36333
54	0.019649	0.2341	0.407605
55	-0.007352	-0.0876	0.465155
56	0.009003	0.1073	0.457359
57	-0.025399	-0.3027	0.381295
58	-0.023269	-0.2773	0.390984
59	0.090757	1.0815	0.140656
60	-0.127793	-1.5228	0.065013

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260698988lsq9fjwrd047sb9/1d00p1260698868.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260698988lsq9fjwrd047sb9/1d00p1260698868.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260698988lsq9fjwrd047sb9/2b7rq1260698868.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260698988lsq9fjwrd047sb9/2b7rq1260698868.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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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