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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 14:24:41 +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/t1272896773m2mmzi83kcyh79t.htm/, Retrieved Mon, 03 May 2010 16:26:15 +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/t1272896773m2mmzi83kcyh79t.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 «

66857.2 64722.8 68489.6 71342.9 63542.5 69425.0 58927.9 61009.0 66837.0 66147.6 65982.3 65527.5 65914.6 59189.9 66211.4 66400.8 60167.7 64547.9 57706.2 58642.6 60082.1 63414.8 66044.0 57628.5 62838.8 55758.6 61004.5 66173.4 57489.0 59552.2 57061.8 55895.3 56314.7 61232.8 60014.1 57685.4 60403.1 52349.7 55693.3 65676.1 54898.8 55518.2 53779.1 52340.9 55704.4 60330.3 52837.4 55388.1 60383.4 52070.3 54077.0 62887.8 49212.8 57722.0 53936.8 46991.0 54984.2 56485.1 51277.8 53596.4 54252.5 49413.0 53213.2 58695.3 48723.5 54510.0 49454.1 46136.6 54622.5 50583.0 53224.3 53056.4

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	0.539925	4.5814	9e-06
2	0.550461	4.6708	7e-06
3	0.646828	5.4885	0
4	0.385532	3.2714	0.000822
5	0.528101	4.4811	1.4e-05
6	0.587478	4.9849	2e-06
7	0.43544	3.6948	0.000213
8	0.347912	2.9521	0.002129
9	0.485723	4.1215	5e-05
10	0.323102	2.7416	0.003853
11	0.303595	2.5761	0.006022
12	0.56602	4.8028	4e-06
13	0.224465	1.9047	0.03041
14	0.259114	2.1987	0.015558
15	0.283093	2.4021	0.009441
16	0.073314	0.6221	0.267924
17	0.23164	1.9655	0.026605
18	0.225371	1.9123	0.029906
19	0.143156	1.2147	0.114221
20	0.065491	0.5557	0.290066
21	0.127074	1.0783	0.14226
22	0.063558	0.5393	0.295669
23	0.035006	0.297	0.383647
24	0.203856	1.7298	0.043978
25	0.006224	0.0528	0.479012
26	-0.009223	-0.0783	0.46892
27	0.021377	0.1814	0.428287
28	-0.125393	-1.064	0.145443
29	-0.031362	-0.2661	0.395455
30	-0.046505	-0.3946	0.347148
31	-0.085963	-0.7294	0.234055
32	-0.152371	-1.2929	0.100088
33	-0.123199	-1.0454	0.149672
34	-0.120598	-1.0233	0.154793
35	-0.190214	-1.614	0.055449
36	-0.05983	-0.5077	0.306616
37	-0.173893	-1.4755	0.072215
38	-0.223494	-1.8964	0.030959
39	-0.153335	-1.3011	0.098688
40	-0.265788	-2.2553	0.013578
41	-0.231233	-1.9621	0.026809
42	-0.211802	-1.7972	0.038249
43	-0.229401	-1.9465	0.027747
44	-0.278466	-2.3629	0.010419
45	-0.243716	-2.068	0.021117
46	-0.223187	-1.8938	0.031134
47	-0.303016	-2.5712	0.006101
48	-0.173088	-1.4687	0.073135

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.539925	4.5814	9e-06
2	0.365489	3.1013	0.001375
3	0.425045	3.6066	0.000284
4	-0.171198	-1.4527	0.07533
5	0.209157	1.7748	0.040083
6	0.25545	2.1676	0.01675
7	0.051706	0.4387	0.331081
8	-0.400811	-3.401	0.000549
9	0.243532	2.0664	0.021192
10	0.022018	0.1868	0.426161
11	-0.103082	-0.8747	0.192329
12	0.28094	2.3839	0.009885
13	-0.203978	-1.7308	0.043885
14	-0.161087	-1.3669	0.087959
15	-0.254913	-2.163	0.016931
16	0.099685	0.8459	0.200217
17	0.115625	0.9811	0.164913
18	-0.11516	-0.9772	0.16588
19	0.049866	0.4231	0.336732
20	-0.060776	-0.5157	0.303822
21	0.00571	0.0485	0.480745
22	0.097262	0.8253	0.205966
23	0.000425	0.0036	0.498566
24	-0.040736	-0.3457	0.365305
25	0.045396	0.3852	0.350614
26	-0.135161	-1.1469	0.127613
27	-0.023644	-0.2006	0.420778
28	-0.070821	-0.6009	0.274884
29	-0.007897	-0.067	0.473379
30	-0.112251	-0.9525	0.172019
31	-0.062324	-0.5288	0.299272
32	0.07785	0.6606	0.255495
33	0.018229	0.1547	0.438754
34	0.014093	0.1196	0.452573
35	-0.072883	-0.6184	0.269121
36	-0.012982	-0.1102	0.456297
37	0.023064	0.1957	0.422696
38	-0.016018	-0.1359	0.446133
39	0.011165	0.0947	0.462394
40	-0.041701	-0.3538	0.362245
41	-0.113097	-0.9597	0.170219
42	-0.022469	-0.1907	0.424667
43	0.053478	0.4538	0.325676
44	0.00647	0.0549	0.478185
45	-0.019949	-0.1693	0.433027
46	-0.047511	-0.4031	0.344017
47	0.005036	0.0427	0.483015
48	0.013065	0.1109	0.456017

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/03/t1272896773m2mmzi83kcyh79t/1xe8e1272896679.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272896773m2mmzi83kcyh79t/1xe8e1272896679.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272896773m2mmzi83kcyh79t/2xe8e1272896679.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272896773m2mmzi83kcyh79t/2xe8e1272896679.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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