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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, 01 Jun 2009 06:46:33 -0600

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Jun/01/t1243860411iku6yrq7t3oar7h.htm/, Retrieved Mon, 01 Jun 2009 14:46:52 +0200

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/Jun/01/t1243860411iku6yrq7t3oar7h.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 «

27.00 26.88 27.38 26.82 27.00 26.15 25.85 26.17 25.66 25.72 25.42 25.10 26.20 26.39 26.27 26.63 21.10 20.30 20.61 21.05 20.45 20.91 21.22 20.85 21.90 22.71 22.40 22.81 23.96 23.37 23.55 23.01 22.63 22.63 22.00 22.15 22.00 22.00 21.84 22.10 22.37 21.83 21.77 21.89 20.76 20.21 20.19 20.01 19.16 18.50 17.41 18.14 18.60 18.32 18.40 18.16 17.29 16.65 16.36 16.32 17.37 17.30 18.10 19.00 18.38 18.41 18.10 17.87 18.70 18.81 18.88 19.44 18.60 18.80 18.62 18.24 17.84 17.85 17.67 17.99 18.15 18.39 18.07 18.39

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	2 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.027826	0.2535	0.400253
2	-0.038832	-0.3538	0.362203
3	0.030179	0.2749	0.392022
4	-0.168343	-1.5337	0.064456
5	-0.061236	-0.5579	0.289212
6	0.0297	0.2706	0.393691
7	-0.049122	-0.4475	0.327833
8	-0.042218	-0.3846	0.35075
9	-0.069199	-0.6304	0.265072
10	0.021315	0.1942	0.423252
11	0.04963	0.4521	0.32617
12	-0.107938	-0.9834	0.164144
13	0.058756	0.5353	0.296938
14	-0.11223	-1.0225	0.154766
15	0.066468	0.6056	0.273233
16	0.022222	0.2025	0.42003
17	-0.020338	-0.1853	0.426729
18	0.047337	0.4313	0.333698
19	-0.072883	-0.664	0.254266
20	-0.054497	-0.4965	0.31043
21	-0.019629	-0.1788	0.429256
22	-0.05098	-0.4644	0.321772
23	-0.056751	-0.517	0.303257
24	-0.03635	-0.3312	0.370676
25	0.008988	0.0819	0.467468
26	-0.009713	-0.0885	0.464851
27	0.003108	0.0283	0.488739
28	0.13215	1.2039	0.116016
29	-0.023417	-0.2133	0.415792
30	-0.007829	-0.0713	0.471656
31	-0.027768	-0.253	0.400456
32	0.048091	0.4381	0.331214
33	0.074439	0.6782	0.249774
34	0.075373	0.6867	0.247099
35	-0.078183	-0.7123	0.239145
36	-0.052467	-0.478	0.316954
37	-0.023863	-0.2174	0.414214
38	0.021038	0.1917	0.424236
39	0.048515	0.442	0.329823
40	0.106734	0.9724	0.166841
41	0.107816	0.9822	0.164416
42	0.009659	0.088	0.465046
43	-0.000167	-0.0015	0.499394
44	-0.087551	-0.7976	0.213682
45	0.000282	0.0026	0.498978
46	-0.1089	-0.9921	0.162009
47	-0.078298	-0.7133	0.238823
48	0.044312	0.4037	0.343734

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.027826	0.2535	0.400253
2	-0.039636	-0.3611	0.359469
3	0.032481	0.2959	0.384016
4	-0.17232	-1.5699	0.060121
5	-0.049134	-0.4476	0.327792
6	0.017992	0.1639	0.435099
7	-0.04566	-0.416	0.339248
8	-0.064984	-0.592	0.277719
9	-0.094629	-0.8621	0.195554
10	0.02955	0.2692	0.394216
11	0.032209	0.2934	0.384959
12	-0.134863	-1.2287	0.111335
13	0.036435	0.3319	0.370385
14	-0.13698	-1.2479	0.10778
15	0.110361	1.0054	0.158805
16	-0.054888	-0.5001	0.30918
17	-0.012375	-0.1127	0.455255
18	0.013617	0.1241	0.450784
19	-0.079144	-0.721	0.236456
20	-0.030066	-0.2739	0.392416
21	-0.078008	-0.7107	0.239636
22	-0.0371	-0.338	0.36811
23	-0.087449	-0.7967	0.213949
24	-0.081854	-0.7457	0.228971
25	0.013488	0.1229	0.45125
26	-0.103741	-0.9451	0.173669
27	0.010865	0.099	0.460695
28	0.046377	0.4225	0.336872
29	-0.040485	-0.3688	0.356596
30	-0.017396	-0.1585	0.437231
31	-0.10955	-0.998	0.160579
32	0.105578	0.9619	0.169456
33	0.019331	0.1761	0.430317
34	0.075902	0.6915	0.245591
35	-0.129801	-1.1825	0.120183
36	-0.044225	-0.4029	0.344026
37	0.02872	0.2617	0.397119
38	0.001702	0.0155	0.493832
39	0.034484	0.3142	0.377093
40	0.084994	0.7743	0.220468
41	0.131036	1.1938	0.11798
42	0.066447	0.6054	0.273295
43	-0.064777	-0.5901	0.278349
44	-0.045291	-0.4126	0.340475
45	0.02656	0.242	0.4047
46	-0.054565	-0.4971	0.310213
47	-0.087345	-0.7958	0.214223
48	0.044645	0.4067	0.342625

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243860411iku6yrq7t3oar7h/153yz1243860390.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243860411iku6yrq7t3oar7h/153yz1243860390.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243860411iku6yrq7t3oar7h/2gxcm1243860390.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243860411iku6yrq7t3oar7h/2gxcm1243860390.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

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 (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='lags',ylab='ACF')

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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