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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, 15 Dec 2009 14:20:50 -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/15/t1260912150q3yw2bb46ce6225.htm/, Retrieved Tue, 15 Dec 2009 22:22:33 +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/15/t1260912150q3yw2bb46ce6225.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 «

100,7 105,9 115,4 113,9 121,5 119,5 115,8 116,3 113,5 110,7 116,9 141,1 101,8 102,9 119 112,8 120,9 123,1 121,9 119,4 110,9 116,8 120,6 143,3 106,4 106,9 125,6 110,9 127 124,3 121,3 124,4 113,2 120,2 122,6 143,3 106,5 105,9 114 121,6 119,7 122,5 126,5 118,2 115,5 120,1 115,3 146,5 107,7 106,3 121,8 115,8 115,4 124,3 121,7 118,7 113,5 113,4 115,1 144,2 100,9 103,2 121,3 111,9 117,3 124,2 122 119,6 114,9 112,2 115,3 143 104 105,3 124,3 114,1 124,8 131,9 125,8 125,2 119,8 116,2 120,2 148,6 109,4 109,6 135,2 115,2 129,1 138,8 126 130,7 120,5 126,5 128 151,7 114,8 118,9 131,5 124,8 137 137,1 137 131,3 126 129,7 125,1 157,8

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	0.053018	0.551	0.291391
2	-0.048189	-0.5008	0.308769
3	0.190179	1.9764	0.025329
4	0.057118	0.5936	0.277014
5	0.19658	2.0429	0.021748
6	0.280837	2.9185	0.00214
7	0.189405	1.9684	0.025795
8	0.054652	0.568	0.285622
9	0.141014	1.4655	0.072851
10	-0.136409	-1.4176	0.079593
11	-0.031196	-0.3242	0.373209
12	0.778604	8.0915	0
13	-0.009886	-0.1027	0.459179
14	-0.111573	-1.1595	0.124406
15	0.072587	0.7543	0.226142
16	-0.023002	-0.239	0.405761
17	0.070302	0.7306	0.233303
18	0.155111	1.612	0.054944
19	0.079381	0.8249	0.20561
20	-0.03321	-0.3451	0.365335
21	0.035161	0.3654	0.357763
22	-0.205713	-2.1378	0.017393
23	-0.116541	-1.2111	0.114246
24	0.592363	6.156	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.053018	0.551	0.291391
2	-0.051143	-0.5315	0.298083
3	0.196642	2.0436	0.021715
4	0.03262	0.339	0.367636
5	0.222234	2.3095	0.011408
6	0.249045	2.5882	0.005488
7	0.224214	2.3301	0.01083
8	0.044327	0.4607	0.322983
9	0.1029	1.0694	0.143643
10	-0.300738	-3.1254	0.001141
11	-0.217596	-2.2613	0.012871
12	0.723713	7.5211	0
13	-0.199544	-2.0737	0.020242
14	-0.190075	-1.9753	0.025392
15	-0.208923	-2.1712	0.016053
16	0.055884	0.5808	0.281304
17	-0.119096	-1.2377	0.109258
18	-0.103824	-1.079	0.141502
19	-0.094925	-0.9865	0.16305
20	-0.016339	-0.1698	0.432741
21	-0.024591	-0.2556	0.399389
22	0.149722	1.556	0.061322
23	0.035397	0.3679	0.356849
24	0.06041	0.6278	0.26573

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260912150q3yw2bb46ce6225/17q1w1260912049.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260912150q3yw2bb46ce6225/17q1w1260912049.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260912150q3yw2bb46ce6225/226tp1260912049.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260912150q3yw2bb46ce6225/226tp1260912049.ps (open in new window)

Parameters (Session):

par1 = 24 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 24 ; par2 = 1 ; par3 = 0 ; 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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