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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 09:43:06 -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/t1259340222eut5mxh8u7sh2pu.htm/, Retrieved Fri, 27 Nov 2009 17:43:44 +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/t1259340222eut5mxh8u7sh2pu.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	0.414411	3.21	0.001067
2	0.013864	0.1074	0.457418
3	-0.127692	-0.9891	0.163294
4	-0.119506	-0.9257	0.179157
5	-0.124734	-0.9662	0.168916
6	-0.092033	-0.7129	0.23934
7	-0.047062	-0.3645	0.358368
8	0.068033	0.527	0.300074
9	0.090717	0.7027	0.242484
10	-0.036468	-0.2825	0.389275
11	-0.320886	-2.4856	0.007869
12	-0.400281	-3.1006	0.00147
13	-0.138028	-1.0692	0.14464
14	0.133506	1.0341	0.152613
15	0.177995	1.3787	0.086547
16	0.110139	0.8531	0.19849
17	0.086635	0.6711	0.252376
18	0.023966	0.1856	0.426677
19	0.05281	0.4091	0.341976
20	-0.061443	-0.4759	0.317925
21	-0.053315	-0.413	0.340549
22	0.012727	0.0986	0.460898
23	0.178897	1.3857	0.085479
24	0.189748	1.4698	0.073423
25	-0.12003	-0.9298	0.178113
26	-0.259038	-2.0065	0.024658
27	-0.103119	-0.7988	0.213792
28	-0.03294	-0.2552	0.399738
29	0.029477	0.2283	0.410083
30	0.049981	0.3871	0.350008
31	-0.022951	-0.1778	0.429747
32	-0.066589	-0.5158	0.303946
33	-0.10104	-0.7827	0.218455
34	-0.159044	-1.2319	0.111388
35	-0.211419	-1.6376	0.053365
36	-0.104626	-0.8104	0.210449

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.414411	3.21	0.001067
2	-0.190606	-1.4764	0.072529
3	-0.069588	-0.539	0.295931
4	-0.034234	-0.2652	0.395893
5	-0.092457	-0.7162	0.238333
6	-0.029565	-0.229	0.40982
7	-0.023883	-0.185	0.426926
8	0.08407	0.6512	0.2587
9	0.00209	0.0162	0.493567
10	-0.116463	-0.9021	0.185301
11	-0.319274	-2.4731	0.008122
12	-0.198964	-1.5412	0.064266
13	0.084557	0.655	0.257492
14	0.119757	0.9276	0.178658
15	0.012678	0.0982	0.461048
16	-0.056255	-0.4358	0.33229
17	-0.019455	-0.1507	0.44036
18	-0.076757	-0.5946	0.277188
19	0.143283	1.1099	0.135743
20	-0.039834	-0.3086	0.379364
21	0.051353	0.3978	0.346101
22	-0.083022	-0.6431	0.261309
23	0.025835	0.2001	0.421033
24	0.038884	0.3012	0.382153
25	-0.222936	-1.7269	0.04467
26	-0.007036	-0.0545	0.478358
27	0.101427	0.7856	0.217583
28	-0.033802	-0.2618	0.397176
29	0.045934	0.3558	0.361617
30	0.017631	0.1366	0.445915
31	-0.148053	-1.1468	0.128005
32	-0.134247	-1.0399	0.151286
33	-0.107209	-0.8304	0.204792
34	-0.049539	-0.3837	0.351268
35	-0.050481	-0.391	0.348582
36	-0.091205	-0.7065	0.241314

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259340222eut5mxh8u7sh2pu/1fsfq1259340184.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259340222eut5mxh8u7sh2pu/1fsfq1259340184.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259340222eut5mxh8u7sh2pu/2zmdi1259340184.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259340222eut5mxh8u7sh2pu/2zmdi1259340184.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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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