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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: Thu, 17 Dec 2009 04:48:10 -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/17/t1261050523wrkyiv35z02b2vs.htm/, Retrieved Thu, 17 Dec 2009 12:48:45 +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/17/t1261050523wrkyiv35z02b2vs.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 «

1322.4 1089.2 1147.3 1196.4 1190.2 1146 1139.8 1045.6 1050.9 1117.3 1120 1052.1 1065.8 1092.5 1422 1367.5 1136.3 1293.7 1154.8 1206.7 1199 1265 1247.1 1116.5 1153.9 1077.4 1132.5 1058.8 1195.1 1263.4 1023.1 1141 1116.3 1135.6 1210.5 1230 1136.5 1068.7 1372.5 1049.9 1302.2 1305.9 1173.5 1277.4 1238.6 1508.6 1423.4 1375.1 1344.1 1287.5 1446.9 1451 1604.4 1501.5 1522.8 1328 1420.5 1648 1631.1 1396.6 1663.4 1283 1582.4 1785.2 1853.6 1994.1 2042.8 1586.1 1942.4 1763.6 1819.9 1836 1449.9 1513.3 1677.7 1494.4 1375.3 1577.7 1537.7 1356.6 1469.6

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	0.786829	7.0815	0
2	0.760642	6.8458	0
3	0.742927	6.6863	0
4	0.669928	6.0294	0
5	0.689731	6.2076	0
6	0.676038	6.0843	0
7	0.589786	5.3081	0
8	0.537503	4.8375	3e-06
9	0.480389	4.3235	2.2e-05
10	0.431687	3.8852	0.000104
11	0.440539	3.9648	7.9e-05
12	0.443714	3.9934	7.1e-05
13	0.347337	3.126	0.00123
14	0.353468	3.1812	0.00104
15	0.269323	2.4239	0.008791
16	0.242528	2.1828	0.015975
17	0.257524	2.3177	0.011495
18	0.213188	1.9187	0.029273
19	0.190782	1.717	0.044897
20	0.161542	1.4539	0.074922
21	0.101626	0.9146	0.18155
22	0.075637	0.6807	0.248992
23	0.073738	0.6636	0.254403
24	0.048599	0.4374	0.331497
25	0.015745	0.1417	0.443832
26	-0.026636	-0.2397	0.405574
27	-0.096908	-0.8722	0.192846
28	-0.074645	-0.6718	0.251811
29	-0.115509	-1.0396	0.150815
30	-0.116267	-1.0464	0.149244
31	-0.133282	-1.1995	0.116909
32	-0.180606	-1.6255	0.053975
33	-0.205784	-1.8521	0.033831
34	-0.232077	-2.0887	0.019938
35	-0.233395	-2.1006	0.019395
36	-0.225521	-2.0297	0.022836

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.786829	7.0815	0
2	0.371597	3.3444	0.000626
3	0.226763	2.0409	0.02226
4	-0.034032	-0.3063	0.380086
5	0.173958	1.5656	0.060668
6	0.106643	0.9598	0.17001
7	-0.164211	-1.4779	0.071656
8	-0.173175	-1.5586	0.061498
9	-0.099423	-0.8948	0.186772
10	-0.030921	-0.2783	0.39075
11	0.100577	0.9052	0.184025
12	0.167955	1.5116	0.067264
13	-0.159909	-1.4392	0.076976
14	0.072915	0.6562	0.256767
15	-0.13468	-1.2121	0.114495
16	-0.002383	-0.0214	0.49147
17	-0.002688	-0.0242	0.490378
18	-0.031017	-0.2792	0.390418
19	0.002586	0.0233	0.490746
20	-0.003916	-0.0352	0.485988
21	-0.027048	-0.2434	0.404142
22	-0.064806	-0.5833	0.280671
23	0.002992	0.0269	0.489293
24	-0.014537	-0.1308	0.448116
25	-0.038082	-0.3427	0.366341
26	-0.13433	-1.209	0.115097
27	-0.07696	-0.6926	0.245257
28	0.113683	1.0231	0.154643
29	-0.041794	-0.3761	0.353896
30	0.059565	0.5361	0.296685
31	-0.058519	-0.5267	0.299929
32	-0.003625	-0.0326	0.487026
33	-0.038105	-0.3429	0.366264
34	-0.090819	-0.8174	0.208057
35	-0.00865	-0.0778	0.469071
36	0.032394	0.2915	0.385689

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261050523wrkyiv35z02b2vs/1ks891261050488.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261050523wrkyiv35z02b2vs/1ks891261050488.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261050523wrkyiv35z02b2vs/2n5251261050488.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261050523wrkyiv35z02b2vs/2n5251261050488.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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