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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: Fri, 27 Nov 2009 09:33:53 -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/Nov/27/t1259339707qzs69rhr1qgwjms.htm/, Retrieved Fri, 27 Nov 2009 17:35:09 +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/Nov/27/t1259339707qzs69rhr1qgwjms.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 «

12.008 9.169 8.788 8.417 8.247 8.197 8.236 8.253 7.733 8.366 8.626 8.863 10.102 8.463 9.114 8.563 8.872 8.301 8.301 8.278 7.736 7.973 8.268 9.476 11.100 8.962 9.173 8.738 8.459 8.078 8.411 8.291 7.810 8.616 8.312 9.692 9.911 8.915 9.452 9.112 8.472 8.230 8.384 8.625 8.221 8.649 8.625 10.443 10.357 8.586 8.892 8.329 8.101 7.922 8.120 7.838 7.735 8.406 8.209 9.451 10.041 9.411 10.405 8.467 8.464 8.102 7.627 7.513 7.510 8.291 8.064 9.383

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	0.420701	3.5698	0.00032
2	0.227057	1.9266	0.028986
3	-0.026365	-0.2237	0.411806
4	-0.269141	-2.2837	0.01267
5	-0.337099	-2.8604	0.002767
6	-0.429438	-3.6439	0.000252
7	-0.348298	-2.9554	0.002109
8	-0.326429	-2.7698	0.003565
9	-0.05789	-0.4912	0.312384
10	0.081015	0.6874	0.247007
11	0.282198	2.3945	0.009623
12	0.591205	5.0165	2e-06
13	0.248793	2.1111	0.019119
14	0.237259	2.0132	0.023916
15	0.031822	0.27	0.393959
16	-0.16458	-1.3965	0.083426
17	-0.226267	-1.9199	0.029414
18	-0.312358	-2.6504	0.004939
19	-0.264632	-2.2455	0.013904
20	-0.27992	-2.3752	0.010102
21	-0.077005	-0.6534	0.257786
22	0.04203	0.3566	0.361204
23	0.322896	2.7399	0.003872
24	0.528329	4.483	1.4e-05
25	0.161095	1.3669	0.087949
26	0.126988	1.0775	0.14242
27	-0.051806	-0.4396	0.330776
28	-0.198388	-1.6834	0.048317
29	-0.22807	-1.9352	0.028444
30	-0.262828	-2.2302	0.014427
31	-0.211671	-1.7961	0.038338
32	-0.196476	-1.6672	0.049914
33	-0.019074	-0.1618	0.435939
34	0.037347	0.3169	0.376119
35	0.259394	2.201	0.01547
36	0.358348	3.0407	0.001645

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.420701	3.5698	0.00032
2	0.060835	0.5162	0.303648
3	-0.172776	-1.4661	0.073493
4	-0.270365	-2.2941	0.012351
5	-0.146616	-1.2441	0.108753
6	-0.235724	-2.0002	0.024626
7	-0.137322	-1.1652	0.123889
8	-0.258259	-2.1914	0.01583
9	0.016646	0.1412	0.444034
10	-0.067662	-0.5741	0.283836
11	0.076724	0.651	0.258552
12	0.393171	3.3362	0.000673
13	-0.295759	-2.5096	0.007168
14	0.049811	0.4227	0.3369
15	0.004813	0.0408	0.483767
16	-0.096384	-0.8178	0.208072
17	0.03371	0.286	0.387836
18	-0.024883	-0.2111	0.416686
19	-0.009628	-0.0817	0.467558
20	-0.050477	-0.4283	0.334853
21	-0.065582	-0.5565	0.289803
22	0.082337	0.6987	0.24351
23	0.201178	1.7071	0.046061
24	0.155191	1.3168	0.096035
25	-0.263494	-2.2358	0.014232
26	-0.156145	-1.3249	0.094691
27	0.035647	0.3025	0.38158
28	-0.068624	-0.5823	0.281094
29	-0.013122	-0.1113	0.455828
30	0.02072	0.1758	0.430467
31	-0.017313	-0.1469	0.441809
32	-0.008375	-0.0711	0.471772
33	-0.065019	-0.5517	0.291429
34	-0.079665	-0.676	0.250611
35	-0.053647	-0.4552	0.325165
36	-0.04897	-0.4155	0.339496

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259339707qzs69rhr1qgwjms/107d41259339632.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259339707qzs69rhr1qgwjms/107d41259339632.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259339707qzs69rhr1qgwjms/2azss1259339632.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259339707qzs69rhr1qgwjms/2azss1259339632.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; 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')

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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