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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: Tue, 03 Aug 2010 14:10:28 +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/Aug/03/t1280844697o14kvinwgz7hvbu.htm/, Retrieved Tue, 03 Aug 2010 16:11:39 +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/Aug/03/t1280844697o14kvinwgz7hvbu.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:

Philippe De Vocht

Dataseries X:

» Textbox « » Textfile « » CSV «

73 72 71 69 89 88 73 63 64 64 65 67 69 71 70 72 88 83 76 70 75 71 75 81 87 90 80 85 105 104 98 94 107 112 121 118 120 122 109 112 132 127 116 113 123 125 137 127 123 128 114 120 143 135 119 117 132 139 158 141 139 150 142 149 166 150 139 140 158 169 186 177 175 187 176 185 204 188 171 171 182 185 200 192 185 195 190 195 213 194 171 171 186 182 193 185 172 185 179 182 193 173 155 164 188 186 200 185 173 190 190 193 195 178 163 165 188 182 200 177

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	5 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.956557	10.4786	0
2	0.912629	9.9973	0
3	0.892926	9.7815	0
4	0.877514	9.6127	0
5	0.879689	9.6365	0
6	0.87821	9.6203	0
7	0.846124	9.2688	0
8	0.806754	8.8375	0
9	0.781339	8.5591	0
10	0.758031	8.3038	0
11	0.754203	8.2619	0
12	0.753305	8.252	0
13	0.699476	7.6624	0
14	0.650011	7.1205	0
15	0.625884	6.8562	0
16	0.606606	6.645	0
17	0.597949	6.5502	0
18	0.585587	6.4148	0
19	0.548002	6.0031	0
20	0.506426	5.5476	0
21	0.48213	5.2815	0
22	0.458091	5.0181	1e-06
23	0.448054	4.9082	1e-06
24	0.439895	4.8188	2e-06
25	0.389553	4.2673	2e-05
26	0.346331	3.7939	0.000117
27	0.326123	3.5725	0.000255
28	0.310864	3.4053	0.00045
29	0.300364	3.2903	0.000657
30	0.284552	3.1171	0.001143
31	0.246099	2.6959	0.004015
32	0.206139	2.2581	0.012872
33	0.186911	2.0475	0.021395
34	0.17066	1.8695	0.031996
35	0.163518	1.7912	0.037887
36	0.154351	1.6908	0.046732
37	0.110178	1.2069	0.114914
38	0.072848	0.798	0.213221
39	0.056193	0.6156	0.269674
40	0.043475	0.4762	0.317382
41	0.032648	0.3576	0.360619
42	0.015328	0.1679	0.433468
43	-0.021528	-0.2358	0.406986
44	-0.058859	-0.6448	0.260152
45	-0.077116	-0.8448	0.199961
46	-0.092896	-1.0176	0.155453
47	-0.102863	-1.1268	0.131035
48	-0.11747	-1.2868	0.100316

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.956557	10.4786	0
2	-0.02792	-0.3058	0.380127
3	0.262306	2.8734	0.002402
4	0.037223	0.4078	0.34209
5	0.29614	3.2441	0.000763
6	-0.014838	-0.1625	0.435578
7	-0.238582	-2.6135	0.005054
8	-0.122465	-1.3415	0.091139
9	0.025233	0.2764	0.391352
10	-0.086513	-0.9477	0.172593
11	0.18273	2.0017	0.023786
12	0.023598	0.2585	0.398231
13	-0.50654	-5.5489	0
14	0.132625	1.4528	0.07444
15	0.092941	1.0181	0.155336
16	0.063361	0.6941	0.244484
17	-0.059809	-0.6552	0.256804
18	-0.016421	-0.1799	0.428774
19	0.002217	0.0243	0.490334
20	0.006802	0.0745	0.470365
21	0.035708	0.3912	0.348184
22	-0.08187	-0.8968	0.1858
23	0.002782	0.0305	0.487868
24	-0.029405	-0.3221	0.373964
25	-0.13334	-1.4607	0.07336
26	0.066977	0.7337	0.232282
27	-0.021432	-0.2348	0.407391
28	0.055055	0.6031	0.273791
29	-0.055659	-0.6097	0.271602
30	-0.012771	-0.1399	0.444488
31	-0.039593	-0.4337	0.332635
32	-0.000367	-0.004	0.498398
33	0.037747	0.4135	0.339988
34	0.02669	0.2924	0.385252
35	-0.02098	-0.2298	0.409309
36	-0.053241	-0.5832	0.280417
37	-0.04575	-0.5012	0.308586
38	0.00996	0.1091	0.456649
39	-0.036773	-0.4028	0.343895
40	-0.036124	-0.3957	0.346506
41	-0.034405	-0.3769	0.353461
42	-0.04243	-0.4648	0.321461
43	-0.01477	-0.1618	0.435871
44	-0.028394	-0.311	0.378156
45	-0.037031	-0.4057	0.342859
46	-0.013306	-0.1458	0.442178
47	-0.011623	-0.1273	0.44945
48	-0.038985	-0.4271	0.335052

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/03/t1280844697o14kvinwgz7hvbu/1mg7p1280844623.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/03/t1280844697o14kvinwgz7hvbu/1mg7p1280844623.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/03/t1280844697o14kvinwgz7hvbu/2ktdz1280844623.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/03/t1280844697o14kvinwgz7hvbu/2ktdz1280844623.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; 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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