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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: Mon, 03 May 2010 14:03:14 +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/May/03/t1272895585ikgyuh01u0ncpcd.htm/, Retrieved Mon, 03 May 2010 16:06:25 +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/May/03/t1272895585ikgyuh01u0ncpcd.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 «

29133 24693 22205 21725 27192 21790 13253 37702 30364 32609 30212 29965 28352 25814 22414 20506 28806 22228 13971 36845 35338 35022 34777 26887 23970 22780 17351 21382 24561 17409 11514 31514 27071 29462 26105 22397 23843 21705 18089 20764 25316 17704 15548 28029 29383 36438 32034 22679 24319 18004 17537 20366 22782 19169 13807 29743 25591 29096 26482 22405 27044 17970 18730 19684 19785 18479 10698

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.351242	2.875	0.002705
2	0.132165	1.0818	0.141607
3	0.10054	0.823	0.206726
4	-0.106058	-0.8681	0.194213
5	-0.173424	-1.4195	0.08019
6	-0.275599	-2.2559	0.013674
7	-0.184131	-1.5072	0.068233
8	-0.113405	-0.9283	0.178302
9	0.035033	0.2868	0.387593
10	0.032659	0.2673	0.395021
11	0.227387	1.8612	0.033549
12	0.696965	5.7049	0
13	0.232086	1.8997	0.030888
14	0.048325	0.3956	0.346846
15	0.024331	0.1992	0.421373
16	-0.164858	-1.3494	0.090872
17	-0.186503	-1.5266	0.065785
18	-0.265666	-2.1746	0.016599
19	-0.213437	-1.7471	0.042605
20	-0.108059	-0.8845	0.189795
21	-0.057874	-0.4737	0.318621
22	-0.036547	-0.2991	0.382877
23	0.152949	1.2519	0.107472
24	0.49311	4.0363	7.1e-05
25	0.15419	1.2621	0.105644
26	0.042383	0.3469	0.36487
27	-0.00813	-0.0665	0.47357
28	-0.119369	-0.9771	0.166022
29	-0.120904	-0.9896	0.162955
30	-0.225355	-1.8446	0.034758
31	-0.143723	-1.1764	0.121794
32	-0.053613	-0.4388	0.331093
33	-0.011649	-0.0954	0.462159
34	-0.021718	-0.1778	0.429721
35	0.100271	0.8208	0.207349
36	0.344265	2.8179	0.003174
37	0.111939	0.9163	0.181408
38	0.038179	0.3125	0.377812
39	-0.018851	-0.1543	0.438917
40	-0.111125	-0.9096	0.183148
41	-0.111563	-0.9132	0.18221
42	-0.2152	-1.7615	0.041359
43	-0.144449	-1.1824	0.12062
44	-0.09046	-0.7405	0.230807
45	-0.079762	-0.6529	0.258033
46	-0.060862	-0.4982	0.309996
47	-0.030201	-0.2472	0.402751
48	0.161948	1.3256	0.094737

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.351242	2.875	0.002705
2	0.010031	0.0821	0.467402
3	0.058253	0.4768	0.317522
4	-0.183236	-1.4998	0.069176
5	-0.101873	-0.8339	0.20366
6	-0.207901	-1.7017	0.04672
7	0.00705	0.0577	0.477078
8	-0.03083	-0.2524	0.400771
9	0.131893	1.0796	0.142097
10	-0.07204	-0.5897	0.278697
11	0.230292	1.885	0.031882
12	0.620881	5.0821	2e-06
13	-0.276223	-2.261	0.013506
14	-0.164888	-1.3497	0.090832
15	-0.080364	-0.6578	0.256458
16	-0.039429	-0.3227	0.373948
17	0.043858	0.359	0.360364
18	0.010085	0.0826	0.467227
19	-0.085573	-0.7004	0.243036
20	0.009469	0.0775	0.469226
21	-0.149917	-1.2271	0.112036
22	0.034253	0.2804	0.390029
23	0.038661	0.3165	0.37632
24	0.007889	0.0646	0.474353
25	-0.056513	-0.4626	0.322583
26	0.058674	0.4803	0.316301
27	-0.085538	-0.7002	0.243127
28	0.146186	1.1966	0.117842
29	0.000629	0.0051	0.497953
30	-0.059192	-0.4845	0.314804
31	0.07304	0.5979	0.275974
32	-0.011085	-0.0907	0.463986
33	0.134078	1.0975	0.138181
34	-0.01434	-0.1174	0.453455
35	-0.165109	-1.3515	0.090545
36	-0.019317	-0.1581	0.437419
37	0.031828	0.2605	0.397628
38	0.014722	0.1205	0.452222
39	0.074122	0.6067	0.273046
40	-0.163217	-1.336	0.093037
41	-0.083179	-0.6808	0.249158
42	-0.005228	-0.0428	0.482998
43	-0.049026	-0.4013	0.344739
44	-0.047104	-0.3856	0.350521
45	-0.098815	-0.8088	0.210737
46	-0.080805	-0.6614	0.255306
47	-0.079085	-0.6473	0.259812
48	-0.054298	-0.4444	0.329076

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/03/t1272895585ikgyuh01u0ncpcd/1udj81272895390.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272895585ikgyuh01u0ncpcd/1udj81272895390.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272895585ikgyuh01u0ncpcd/2udj81272895390.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272895585ikgyuh01u0ncpcd/2udj81272895390.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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