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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: Mon, 21 Dec 2009 04:27:10 -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/21/t1261394863d3ncs4s6kcijh15.htm/, Retrieved Mon, 21 Dec 2009 12:27:45 +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/21/t1261394863d3ncs4s6kcijh15.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 «

581 597 587 536 524 537 536 533 528 516 502 506 518 534 528 478 469 490 493 508 517 514 510 527 542 565 555 499 511 526 532 549 561 557 566 588 620 626 620 573 573 574 580 590 593 597 595 612 628 629 621 569 567 573 584 589 591 595 594 611

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	0.24048	1.8472	0.03487
2	-0.253569	-1.9477	0.028107
3	-0.271351	-2.0843	0.020736
4	-0.173781	-1.3348	0.093529
5	0.084553	0.6495	0.259279
6	0.224878	1.7273	0.044671
7	0.087985	0.6758	0.250895
8	-0.221612	-1.7022	0.046988
9	-0.275659	-2.1174	0.019226
10	-0.219224	-1.6839	0.048743
11	0.24297	1.8663	0.033487
12	0.73257	5.627	0
13	0.124695	0.9578	0.171035
14	-0.249413	-1.9158	0.030121
15	-0.244891	-1.881	0.032452
16	-0.166905	-1.282	0.102425
17	0.039017	0.2997	0.38273
18	0.148568	1.1412	0.129205
19	0.039908	0.3065	0.380136
20	-0.232469	-1.7856	0.03965
21	-0.249982	-1.9202	0.029838
22	-0.167542	-1.2869	0.101575
23	0.193498	1.4863	0.071264
24	0.511704	3.9305	0.000113
25	0.050093	0.3848	0.350896
26	-0.223415	-1.7161	0.045697
27	-0.153089	-1.1759	0.122179
28	-0.105792	-0.8126	0.209856
29	0.033514	0.2574	0.398872
30	0.098042	0.7531	0.227199
31	0.026701	0.2051	0.419102
32	-0.193302	-1.4848	0.071463
33	-0.165037	-1.2677	0.104947
34	-0.064354	-0.4943	0.311461
35	0.141575	1.0875	0.140629
36	0.294181	2.2596	0.013775
37	0.038654	0.2969	0.383791
38	-0.114281	-0.8778	0.191805
39	-0.087873	-0.675	0.251167
40	-0.033213	-0.2551	0.399763
41	0.032199	0.2473	0.402758
42	0.062132	0.4772	0.317476
43	0.01941	0.1491	0.440995
44	-0.083383	-0.6405	0.262172
45	-0.065934	-0.5064	0.307215
46	-0.018748	-0.144	0.442995
47	0.065792	0.5054	0.307596
48	0.141882	1.0898	0.140112
49	0.017623	0.1354	0.446392
50	-0.066472	-0.5106	0.305775
51	-0.037475	-0.2878	0.387235
52	-0.014061	-0.108	0.45718
53	-0.002394	-0.0184	0.492696
54	0.004844	0.0372	0.485221
55	-0.006961	-0.0535	0.478769
56	-0.038169	-0.2932	0.385206
57	-0.00963	-0.074	0.470643
58	0.01251	0.0961	0.461888
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.24048	1.8472	0.03487
2	-0.330514	-2.5387	0.006892
3	-0.131948	-1.0135	0.157478
4	-0.169972	-1.3056	0.098382
5	0.070531	0.5418	0.295013
6	0.079836	0.6132	0.271041
7	-0.005163	-0.0397	0.484249
8	-0.204601	-1.5716	0.060699
9	-0.121931	-0.9366	0.176399
10	-0.24529	-1.8841	0.03224
11	0.253804	1.9495	0.027996
12	0.597618	4.5904	1.2e-05
13	-0.191436	-1.4704	0.073377
14	0.059171	0.4545	0.325568
15	-0.019912	-0.153	0.43948
16	-0.103579	-0.7956	0.214725
17	-0.087362	-0.671	0.252408
18	-0.172965	-1.3286	0.094553
19	-0.05221	-0.401	0.344922
20	-0.035598	-0.2734	0.392737
21	-0.02674	-0.2054	0.418986
22	-0.011909	-0.0915	0.463713
23	-0.107881	-0.8287	0.205321
24	-0.042903	-0.3295	0.371455
25	-0.045142	-0.3467	0.365009
26	-0.072928	-0.5602	0.288741
27	0.105206	0.8081	0.211138
28	-0.020181	-0.155	0.438669
29	0.02882	0.2214	0.412783
30	-0.034198	-0.2627	0.396855
31	0.002662	0.0204	0.491879
32	-0.008703	-0.0669	0.473462
33	0.023126	0.1776	0.429809
34	0.038659	0.2969	0.383777
35	-0.08653	-0.6646	0.254433
36	-0.161232	-1.2384	0.110227
37	0.120207	0.9233	0.179798
38	-2.6e-05	-2e-04	0.499921
39	-0.093056	-0.7148	0.238782
40	0.078557	0.6034	0.274275
41	-0.053609	-0.4118	0.340997
42	0.039554	0.3038	0.381167
43	-0.008993	-0.0691	0.472581
44	0.110043	0.8453	0.200691
45	0.016668	0.128	0.449281
46	-0.046516	-0.3573	0.361073
47	0.015355	0.1179	0.453255
48	-0.027595	-0.212	0.416433
49	-0.079807	-0.613	0.271113
50	-0.026756	-0.2055	0.418938
51	-0.047335	-0.3636	0.358733
52	-0.056369	-0.433	0.333305
53	-0.007249	-0.0557	0.477893
54	-0.051106	-0.3926	0.348032
55	-0.039865	-0.3062	0.380263
56	-0.088689	-0.6812	0.249194
57	0.021139	0.1624	0.435783
58	0.0106	0.0814	0.467691
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261394863d3ncs4s6kcijh15/1r4op1261394828.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261394863d3ncs4s6kcijh15/1r4op1261394828.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261394863d3ncs4s6kcijh15/2hy6y1261394828.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261394863d3ncs4s6kcijh15/2hy6y1261394828.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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