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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, 16 Dec 2009 08:01:05 -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/16/t1260975732haattsubq1sorg5.htm/, Retrieved Wed, 16 Dec 2009 16:02:14 +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/16/t1260975732haattsubq1sorg5.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 «

-9 -13 -18 -11 -9 -10 -13 -11 -5 -15 -6 -6 -3 -1 -3 -4 -6 0 -4 -2 -2 -6 -7 -6 -6 -3 -2 -5 -11 -11 -11 -10 -14 -8 -9 -5 -1 -2 -5 -4 -6 -2 -2 -2 -2 2 1 -8 -1 1 -1 2 2 1 -1 -2 -2 -1 -8 -4 -6 -3 -3 -7 -9 -11 -13 -11 -9 -17 -22 -25 -20 -24 -24 -22 -19 -18 -17 -11 -11

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	-0.243411	-2.1771	0.016209
2	-0.058969	-0.5274	0.299675
3	0.011071	0.099	0.460685
4	0.040028	0.358	0.360636
5	0.00908	0.0812	0.467738
6	-0.094835	-0.8482	0.199421
7	0.159811	1.4294	0.078392
8	-0.082757	-0.7402	0.230673
9	0.007252	0.0649	0.474223
10	-0.072481	-0.6483	0.259327
11	-0.012437	-0.1112	0.455853
12	0.002662	0.0238	0.490533
13	0.022231	0.1988	0.421445
14	-0.100434	-0.8983	0.185858
15	-0.017027	-0.1523	0.439668
16	0.086067	0.7698	0.221842
17	-0.090066	-0.8056	0.211439
18	-0.029015	-0.2595	0.397952
19	0.078621	0.7032	0.241984
20	-0.011342	-0.1014	0.459726
21	-0.179749	-1.6077	0.055918
22	-0.011273	-0.1008	0.45997
23	0.119023	1.0646	0.145136
24	-0.08794	-0.7866	0.216933
25	-0.086138	-0.7704	0.221655
26	0.198519	1.7756	0.0398
27	-0.05793	-0.5181	0.302893
28	0.003097	0.0277	0.488985
29	-0.013758	-0.1231	0.451185
30	-0.09623	-0.8607	0.195986
31	0.162232	1.451	0.075338
32	-0.035297	-0.3157	0.376525
33	-0.003765	-0.0337	0.486611
34	-0.062523	-0.5592	0.288787
35	-0.017648	-0.1578	0.437488
36	-0.001917	-0.0171	0.493181
37	-0.009385	-0.0839	0.466655
38	0.157359	1.4075	0.081582
39	-0.10485	-0.9378	0.175584
40	-0.049651	-0.4441	0.329087
41	0.089821	0.8034	0.212067
42	0.097288	0.8702	0.193405
43	-0.00658	-0.0589	0.476609
44	-0.047757	-0.4272	0.335207
45	0.081274	0.7269	0.234693
46	-0.004943	-0.0442	0.482423
47	-0.06651	-0.5949	0.2768
48	-0.031233	-0.2794	0.390347

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.243411	-2.1771	0.016209
2	-0.125664	-1.124	0.132194
3	-0.03853	-0.3446	0.365642
4	0.027802	0.2487	0.402128
5	0.028812	0.2577	0.398649
6	-0.084088	-0.7521	0.227097
7	0.12606	1.1275	0.131447
8	-0.028691	-0.2566	0.399065
9	0.003259	0.0291	0.48841
10	-0.081946	-0.7329	0.232867
11	-0.06578	-0.5884	0.278975
12	-0.040667	-0.3637	0.358507
13	0.0323	0.2889	0.386701
14	-0.122152	-1.0926	0.138932
15	-0.05412	-0.4841	0.314832
16	0.041849	0.3743	0.354582
17	-0.055598	-0.4973	0.310177
18	-0.054235	-0.4851	0.314467
19	0.058218	0.5207	0.302
20	-0.022624	-0.2024	0.420077
21	-0.174463	-1.5604	0.061301
22	-0.114356	-1.0228	0.154735
23	0.026412	0.2362	0.406927
24	-0.074122	-0.663	0.25463
25	-0.12788	-1.1438	0.12806
26	0.144234	1.2901	0.100372
27	-0.008772	-0.0785	0.468831
28	0.024805	0.2219	0.412492
29	0.000955	0.0085	0.496602
30	-0.163845	-1.4655	0.073355
31	0.076497	0.6842	0.247909
32	0.00457	0.0409	0.483747
33	-0.057674	-0.5159	0.303691
34	-0.056967	-0.5095	0.305893
35	-0.150148	-1.343	0.09154
36	-0.087529	-0.7829	0.218005
37	0.053676	0.4801	0.316236
38	0.121342	1.0853	0.14052
39	-0.099357	-0.8887	0.18842
40	-0.051645	-0.4619	0.322695
41	0.09907	0.8861	0.189107
42	0.078916	0.7058	0.241168
43	0.066666	0.5963	0.276338
44	-0.029136	-0.2606	0.397535
45	-0.029284	-0.2619	0.397028
46	0.016838	0.1506	0.440333
47	-0.017377	-0.1554	0.438441
48	-0.052966	-0.4737	0.318486

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/16/t1260975732haattsubq1sorg5/1oj4f1260975663.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t1260975732haattsubq1sorg5/1oj4f1260975663.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t1260975732haattsubq1sorg5/2yzsj1260975663.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t1260975732haattsubq1sorg5/2yzsj1260975663.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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