*Unverified author*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 18 Dec 2009 04:38:13 -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/18/t1261136317fj4rt3fm3gap05f.htm/, Retrieved Fri, 18 Dec 2009 12:38:39 +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/18/t1261136317fj4rt3fm3gap05f.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 «

100.00 100.00 93.55 88.17 89.25 91.40 92.47 91.40 88.17 87.10 84.95 92.47 93.55 93.55 91.40 90.32 91.40 93.55 93.55 92.47 91.40 89.25 86.02 88.17 87.10 87.10 86.02 84.95 84.95 86.02 86.02 84.95 86.02 82.80 77.42 80.65 78.49 75.27 75.27 75.27 77.42 78.49 76.34 73.12 68.82 65.59 69.89 82.80 84.95 80.65 74.19 70.97 74.19 82.80 86.02 86.02 82.80 78.49 79.57 87.10 89.25

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 0.852946 6.6617 0 2 0.634231 4.9535 3e-06 3 0.518338 4.0483 7.4e-05 4 0.542175 4.2345 3.9e-05 5 0.631933 4.9356 3e-06 6 0.67582 5.2783 1e-06 7 0.597725 4.6684 9e-06 8 0.45116 3.5237 0.000407 9 0.34236 2.6739 0.004804 10 0.315562 2.4646 0.008274 11 0.363267 2.8372 0.003085 12 0.371012 2.8977 0.002608 13 0.288164 2.2506 0.014012 14 0.189428 1.4795 0.072079 15 0.130799 1.0216 0.155509 16 0.098566 0.7698 0.222187 17 0.075219 0.5875 0.279525 18 0.036182 0.2826 0.389224 19 -0.028644 -0.2237 0.411862 20 -0.097921 -0.7648 0.223674 21 -0.150268 -1.1736 0.122553 22 -0.17767 -1.3876 0.085146 23 -0.178878 -1.3971 0.083725 24 -0.200126 -1.563 0.061609 25 -0.257191 -2.0087 0.024499 26 -0.294251 -2.2982 0.012497 27 -0.291624 -2.2777 0.013132 28 -0.27601 -2.1557 0.01753 29 -0.261738 -2.0442 0.022627 30 -0.269252 -2.1029 0.019803 31 -0.30674 -2.3957 0.009836 32 -0.348201 -2.7195 0.004252 33 -0.367141 -2.8675 0.002837 34 -0.335081 -2.6171 0.005583 35 -0.281411 -2.1979 0.015881 36 -0.280922 -2.1941 0.016025 37 -0.32183 -2.5136 0.007304 38 -0.344398 -2.6898 0.004604 39 -0.325135 -2.5394 0.006835 40 -0.267903 -2.0924 0.020286 41 -0.214783 -1.6775 0.049281 42 -0.203105 -1.5863 0.058921 43 -0.241068 -1.8828 0.032249 44 -0.279769 -2.1851 0.016367 45 -0.254019 -1.984 0.025883 46 -0.154597 -1.2074 0.115961 47 -0.061401 -0.4796 0.316629 48 -0.058055 -0.4534 0.325927 49 -0.109655 -0.8564 0.197555 50 -0.150994 -1.1793 0.121428 51 -0.130488 -1.0191 0.15608 52 -0.065899 -0.5147 0.304316 53 -0.003388 -0.0265 0.489488 54 0.010256 0.0801 0.468209 55 -0.010415 -0.0813 0.467719 56 -0.039737 -0.3104 0.378675 57 -0.038651 -0.3019 0.381889 58 0.000626 0.0049 0.498058 59 0.031855 0.2488 0.402179 60 0.020733 0.1619 0.435949 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.852946 6.6617 0 2 -0.342352 -2.6739 0.004805 3 0.349952 2.7332 0.004098 4 0.281235 2.1965 0.015933 5 0.206603 1.6136 0.055886 6 0.045275 0.3536 0.362426 7 -0.17432 -1.3615 0.089184 8 -0.090474 -0.7066 0.241244 9 -0.05115 -0.3995 0.345463 10 -0.072101 -0.5631 0.287705 11 0.092914 0.7257 0.235404 12 -0.200204 -1.5636 0.061538 13 -0.076853 -0.6002 0.275284 14 0.115081 0.8988 0.186144 15 -0.0414 -0.3233 0.373772 16 -0.138483 -1.0816 0.141847 17 -0.081391 -0.6357 0.263681 18 -0.064053 -0.5003 0.309342 19 -0.031944 -0.2495 0.401911 20 -0.089881 -0.702 0.242677 21 -0.060155 -0.4698 0.320077 22 -0.022029 -0.1721 0.431983 23 0.070435 0.5501 0.292125 24 -0.036513 -0.2852 0.388238 25 -0.063604 -0.4968 0.310571 26 0.082106 0.6413 0.261875 27 0.067254 0.5253 0.300651 28 0.019872 0.1552 0.438585 29 0.043879 0.3427 0.366498 30 -0.036088 -0.2819 0.389504 31 -0.041872 -0.327 0.372382 32 -0.0612 -0.478 0.317183 33 -0.061846 -0.483 0.315401 34 0.073714 0.5757 0.283459 35 -0.035143 -0.2745 0.392322 36 -0.121036 -0.9453 0.174113 37 0.050238 0.3924 0.348075 38 0.005156 0.0403 0.484006 39 0.018111 0.1415 0.44399 40 0.060865 0.4754 0.318111 41 -0.081147 -0.6338 0.264298 42 -0.006434 -0.0503 0.480043 43 -0.116289 -0.9082 0.183662 44 -0.040272 -0.3145 0.377094 45 0.123781 0.9668 0.168741 46 0.066056 0.5159 0.30389 47 0.040174 0.3138 0.377385 48 -0.03791 -0.2961 0.384084 49 0.03854 0.301 0.382218 50 -0.03918 -0.306 0.38032 51 -0.015803 -0.1234 0.451088 52 -0.080935 -0.6321 0.264834 53 -0.041549 -0.3245 0.373331 54 -0.026139 -0.2042 0.419456 55 0.076467 0.5972 0.276283 56 -0.075836 -0.5923 0.27792 57 -0.023329 -0.1822 0.428012 58 -0.045423 -0.3548 0.361994 59 -0.025432 -0.1986 0.421607 60 -0.04155 -0.3245 0.373329

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/18/t1261136317fj4rt3fm3gap05f/1b1vs1261136291.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/18/t1261136317fj4rt3fm3gap05f/1b1vs1261136291.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/18/t1261136317fj4rt3fm3gap05f/2e2k01261136291.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/18/t1261136317fj4rt3fm3gap05f/2e2k01261136291.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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')

Copyright

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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