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6.2.1 bis

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 29 Apr 2010 16:03:54 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Apr/29/t1272557096amqxchb4jbkwafs.htm/, Retrieved Thu, 29 Apr 2010 18:04:58 +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/2010/Apr/29/t1272557096amqxchb4jbkwafs.htm/},
    year = {2010},
}
@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 = {2010},
    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:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

81.28 69.39 67.63 51.25 103.97 133.83 162.37 172.91 163.01 151.50 111.73 88.58 74.29 63.98 61.18 76.48 107.98 124.97 145.57 140.20 143.84 138.80 104.06 74.70 60.18 55.16 35.62 56.18 85.44 114.08 133.64 67.14 95.58 89.37 75.24 69.18 54.49 57.50 62.16 76.67 110.04 127.38 156.47 167.56 153.54 124.08 100.97 79.17 68.13 61.77 54.31 60.30 84.18 104.05 114.66 105.55 96.61 70.94 63.91 58.61 44.53 49.58 57.39 76.76 104.57 125.41 143.11 136.35 135.15 131.70 96.87 70.63 66.29 63.49 62.97 66.43 101.49 127.69 133.21 158.72 148.61 134.31 100.99 75.16 59.74 52.87 52.07 57.38 79.43 101.40 120.19 134.38 135.97 113.83 84.38 70.28 65.96 56.36 49.57 68.33 90.32 117.06 134.69 131.67 129.25 118.77 88.44 76.79 75.28 73.89 76.24 88.58 105.83 115.84 127.76 131.75 119.63 93.38 75.55 51.79

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.824748	9.0347	0
2	0.491852	5.388	0
3	0.074745	0.8188	0.207264
4	-0.325659	-3.5674	0.00026
5	-0.602151	-6.5962	0
6	-0.719135	-7.8777	0
7	-0.615901	-6.7469	0
8	-0.355482	-3.8941	8.1e-05
9	-0.015498	-0.1698	0.432739
10	0.320982	3.5162	0.000309
11	0.558833	6.1217	0
12	0.635938	6.9664	0
13	0.512839	5.6179	0
14	0.241502	2.6455	0.004624
15	-0.102824	-1.1264	0.131127
16	-0.418668	-4.5863	6e-06
17	-0.640606	-7.0175	0
18	-0.694114	-7.6036	0
19	-0.563064	-6.1681	0
20	-0.302194	-3.3104	0.000615
21	0.019802	0.2169	0.414318
22	0.320361	3.5094	0.000317
23	0.543247	5.951	0
24	0.605089	6.6284	0
25	0.494919	5.4216	0
26	0.262273	2.8731	0.002404
27	-0.035782	-0.392	0.347886
28	-0.287918	-3.154	0.001018
29	-0.467703	-5.1234	1e-06
30	-0.512914	-5.6187	0
31	-0.409844	-4.4896	8e-06
32	-0.203353	-2.2276	0.013885
33	0.068189	0.747	0.228271
34	0.330559	3.6211	0.000215
35	0.51433	5.6342	0
36	0.571456	6.26	0
37	0.46608	5.1057	1e-06
38	0.244086	2.6738	0.004272
39	-0.023892	-0.2617	0.396994
40	-0.282968	-3.0998	0.001207
41	-0.455879	-4.9939	1e-06
42	-0.508307	-5.5682	0
43	-0.426095	-4.6676	4e-06
44	-0.246618	-2.7016	0.00395
45	-0.035664	-0.3907	0.348363
46	0.179712	1.9686	0.02565
47	0.340199	3.7267	0.000149
48	0.383013	4.1957	2.6e-05
49	0.308259	3.3768	0.000494
50	0.134158	1.4696	0.07214
51	-0.070221	-0.7692	0.221634
52	-0.263152	-2.8827	0.002337
53	-0.398314	-4.3633	1.4e-05
54	-0.422562	-4.6289	5e-06
55	-0.337662	-3.6989	0.000164
56	-0.165121	-1.8088	0.036492
57	0.041074	0.4499	0.326783
58	0.235973	2.585	0.005468
59	0.377185	4.1319	3.3e-05
60	0.419626	4.5968	5e-06

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.824748	9.0347	0
2	-0.589006	-6.4522	0
3	-0.402497	-4.4091	1.1e-05
4	-0.249567	-2.7339	0.003604
5	-0.045726	-0.5009	0.308678
6	-0.111415	-1.2205	0.112336
7	0.222047	2.4324	0.008238
8	0.066532	0.7288	0.233767
9	0.050737	0.5558	0.289692
10	0.078755	0.8627	0.195006
11	0.052484	0.5749	0.283208
12	-0.068978	-0.7556	0.225679
13	-0.183662	-2.0119	0.023234
14	-0.099343	-1.0882	0.139333
15	-0.113286	-1.241	0.108516
16	-0.026046	-0.2853	0.387944
17	-0.156245	-1.7116	0.044779
18	0.011877	0.1301	0.448349
19	0.000371	0.0041	0.498381
20	-0.062144	-0.6808	0.248669
21	-0.071915	-0.7878	0.216186
22	0.01745	0.1912	0.424363
23	0.104114	1.1405	0.128173
24	-0.082943	-0.9086	0.182693
25	-0.033864	-0.371	0.355661
26	0.026661	0.2921	0.385373
27	-0.027462	-0.3008	0.382034
28	0.130919	1.4341	0.077065
29	-0.078966	-0.865	0.194374
30	-0.050877	-0.5573	0.28917
31	-0.026926	-0.295	0.384266
32	-0.021446	-0.2349	0.407334
33	0.046748	0.5121	0.30476
34	0.136093	1.4908	0.069316
35	0.007762	0.085	0.466191
36	0.050167	0.5496	0.291822
37	-0.066348	-0.7268	0.234379
38	-0.01364	-0.1494	0.440737
39	0.063352	0.694	0.244516
40	-0.030265	-0.3315	0.370408
41	0.046475	0.5091	0.305807
42	-0.039359	-0.4312	0.333565
43	0.012067	0.1322	0.447529
44	-0.110407	-1.2094	0.114435
45	-0.115009	-1.2599	0.105082
46	0.019325	0.2117	0.416353
47	0.022642	0.248	0.402266
48	-0.138715	-1.5195	0.065628
49	-0.018758	-0.2055	0.418772
50	-0.025139	-0.2754	0.391747
51	0.018197	0.1993	0.421168
52	-0.040337	-0.4419	0.329688
53	-0.048705	-0.5335	0.297324
54	-0.010051	-0.1101	0.456254
55	0.004676	0.0512	0.479617
56	0.000102	0.0011	0.499556
57	-0.027277	-0.2988	0.382804
58	0.004455	0.0488	0.480579
59	-0.021612	-0.2367	0.406627
60	0.020714	0.2269	0.41044

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Apr/29/t1272557096amqxchb4jbkwafs/10o161272557031.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/29/t1272557096amqxchb4jbkwafs/10o161272557031.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/29/t1272557096amqxchb4jbkwafs/20o161272557031.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/29/t1272557096amqxchb4jbkwafs/20o161272557031.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')

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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