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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: Wed, 18 Aug 2010 00:13:18 +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/18/t1282090412wbasrgswbie7ohy.htm/, Retrieved Wed, 18 Aug 2010 02:13:34 +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/18/t1282090412wbasrgswbie7ohy.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:

Dataseries X:

» Textbox « » Textfile « » CSV «

158 157 156 154 152 151 152 154 155 155 156 158 155 151 152 156 147 159 152 148 146 148 142 141 139 143 146 150 141 153 142 139 134 152 142 139 137 132 137 134 127 140 127 120 112 128 119 117 115 104 108 104 98 111 104 98 91 94 82 81 70 64 71 73 71 80 72 68 60 71 62 69 55 58 67 69 71 85 76 79 69 95 94 99

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.403897	-3.6797	0.000207
2	0.161045	1.4672	0.073052
3	-0.140659	-1.2815	0.1018
4	0.172294	1.5697	0.060148
5	-0.141671	-1.2907	0.100198
6	0.179164	1.6323	0.053207
7	-0.091413	-0.8328	0.20367
8	0.188352	1.716	0.044949
9	-0.101858	-0.928	0.178056
10	0.064094	0.5839	0.280427
11	-0.33046	-3.0106	0.001727
12	0.637423	5.8072	0
13	-0.359804	-3.278	0.000764
14	0.102529	0.9341	0.176486
15	-0.156127	-1.4224	0.079331
16	0.132772	1.2096	0.114931
17	-0.141381	-1.288	0.100656
18	0.150117	1.3676	0.08756
19	-0.084142	-0.7666	0.222756
20	0.042553	0.3877	0.349623
21	-0.008954	-0.0816	0.467591
22	-0.061879	-0.5637	0.287223
23	-0.229101	-2.0872	0.019968
24	0.387858	3.5336	0.000336
25	-0.303445	-2.7645	0.003511
26	0.108013	0.984	0.163976
27	-0.198217	-1.8058	0.037284
28	0.149613	1.363	0.088278
29	-0.104416	-0.9513	0.172113
30	0.109233	0.9952	0.161275
31	-0.079695	-0.7261	0.234923
32	-0.015388	-0.1402	0.444424
33	-0.02168	-0.1975	0.421956
34	-0.059531	-0.5424	0.294515
35	-0.202382	-1.8438	0.034391
36	0.353557	3.2211	0.000912
37	-0.209239	-1.9063	0.030039
38	0.131666	1.1995	0.116867
39	-0.191558	-1.7452	0.042327
40	0.129272	1.1777	0.121137
41	-0.12641	-1.1516	0.126386
42	0.090273	0.8224	0.206595
43	-0.089599	-0.8163	0.208338
44	0.067011	0.6105	0.271599
45	-0.036426	-0.3319	0.370417
46	0.000413	0.0038	0.498505
47	-0.143674	-1.3089	0.097086
48	0.237511	2.1638	0.016676

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.403897	-3.6797	0.000207
2	-0.002495	-0.0227	0.490961
3	-0.091363	-0.8324	0.203797
4	0.102144	0.9306	0.177386
5	-0.035507	-0.3235	0.373569
6	0.114954	1.0473	0.149006
7	0.045844	0.4177	0.338638
8	0.168948	1.5392	0.063781
9	0.068983	0.6285	0.265711
10	0.009226	0.0841	0.466609
11	-0.353737	-3.2227	0.000908
12	0.496342	4.5219	1e-05
13	0.009755	0.0889	0.464697
14	-0.190636	-1.7368	0.043068
15	-0.123798	-1.1279	0.131315
16	-0.061582	-0.561	0.288143
17	0.029364	0.2675	0.394865
18	0.04579	0.4172	0.338817
19	0.02877	0.2621	0.396944
20	-0.221674	-2.0195	0.023329
21	0.061796	0.563	0.28748
22	-0.027352	-0.2492	0.401915
23	-0.032597	-0.297	0.383613
24	-0.064912	-0.5914	0.277938
25	-0.157779	-1.4374	0.077177
26	0.017018	0.155	0.438584
27	-0.105236	-0.9587	0.170235
28	0.064895	0.5912	0.27799
29	0.080987	0.7378	0.231349
30	-0.016526	-0.1506	0.440344
31	-0.015985	-0.1456	0.442284
32	0.003311	0.0302	0.488004
33	-0.119156	-1.0856	0.140408
34	-0.016674	-0.1519	0.439815
35	-0.1245	-1.1342	0.129978
36	0.059668	0.5436	0.294086
37	0.078822	0.7181	0.237356
38	0.021128	0.1925	0.423917
39	0.005018	0.0457	0.481823
40	-0.064894	-0.5912	0.277993
41	-0.039889	-0.3634	0.358614
42	-0.059701	-0.5439	0.293983
43	-0.027553	-0.251	0.401211
44	0.038383	0.3497	0.363729
45	-0.047554	-0.4332	0.332984
46	0.000542	0.0049	0.498036
47	0.024879	0.2267	0.410624
48	-0.070995	-0.6468	0.259774

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/18/t1282090412wbasrgswbie7ohy/1jjir1282090396.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/18/t1282090412wbasrgswbie7ohy/1jjir1282090396.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/18/t1282090412wbasrgswbie7ohy/2jjir1282090396.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/18/t1282090412wbasrgswbie7ohy/2jjir1282090396.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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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