*Unverified author*

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 18:52:54 +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/May/03/t12729129009lcqfmwbppbo7v7.htm/, Retrieved Mon, 03 May 2010 20:55:02 +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/t12729129009lcqfmwbppbo7v7.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 «

464 675 703 887 1139 1077 1318 1260 1120 963 996 960 530 883 894 1045 1199 1287 1565 1577 1076 918 1008 1063 544 635 804 980 1018 1064 1404 1286 1104 999 996 1015 615 722 832 977 1270 1437 1520 1708 1151 934 1159 1209 699 830 996 1124 1458 1270 1753 2258 1208 1241 1265 1828 809 997 1164 1205 1538 1513 1378 2083 1357 1536 1526 1376 779 1005 1193 1522 1539 1546 2116 2326 1596 1356 1553 1613 814 1150 1225 1691 1759 1754 2100 2062 2012 1897 1964 2186 966 1549 1538 1612 2078 2137 2907 2249 1883 1739 1828 1868 1138 1430 1809 1763 2200 2067 2503 2141 2103 1972 2181 2344 970 1199 1718 1683 2025 2051 2439 2353 2230 1852 2147 2286 1007 1665 1642 1518 1831 2207 2822 2393 2306 1785 2047 2171 1212 1335 2011 1860 1954 2152 2835 2224 2182 1992 2389 2724 891 1247 2017 2257 2255 2255 3057 3330 1896 2096 2374 2535 1041 1728 2201 2455 2204 2660 3670 2665 etc...

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 -0.208239 -2.84 0.002507 2 -0.233893 -3.1899 0.000835 3 0.050988 0.6954 0.243842 4 0.18205 2.4828 0.00696 5 0.008732 0.1191 0.452666 6 -0.522238 -7.1224 0 7 0.006219 0.0848 0.466252 8 0.184775 2.52 0.006288 9 0.016838 0.2296 0.409313 10 -0.226165 -3.0845 0.001175 11 -0.078865 -1.0756 0.141755 12 0.686078 9.3569 0 13 -0.105039 -1.4325 0.076834 14 -0.2122 -2.894 0.002129 15 0.064201 0.8756 0.191193 16 0.188768 2.5745 0.005409 17 -0.046521 -0.6345 0.263278 18 -0.468631 -6.3913 0 19 0.072231 0.9851 0.162926 20 0.093317 1.2727 0.102361 21 0.018144 0.2475 0.402414 22 -0.186831 -2.548 0.005821 23 -0.061368 -0.837 0.201847 24 0.61602 8.4014 0 25 -0.092137 -1.2566 0.10524 26 -0.184869 -2.5213 0.006266 27 0.056241 0.767 0.222021 28 0.137511 1.8754 0.031152 29 -0.057105 -0.7788 0.218542 30 -0.351307 -4.7912 2e-06 31 0.016899 0.2305 0.408989 32 0.070196 0.9573 0.169817 33 0.051523 0.7027 0.241567 34 -0.172129 -2.3475 0.009975 35 -0.05862 -0.7995 0.212517 36 0.545296 7.4368 0 37 -0.088716 -1.2099 0.113923 38 -0.124934 -1.7039 0.045037 39 0.020714 0.2825 0.388934 40 0.127343 1.7367 0.042045 41 -0.034809 -0.4747 0.317767 42 -0.361683 -4.9327 1e-06 43 0.078176 1.0662 0.143862 44 0.010306 0.1406 0.444188 45 0.036588 0.499 0.309184 46 -0.114463 -1.5611 0.060104 47 -0.052645 -0.718 0.236836 48 0.45031 6.1414 0 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 -0.208239 -2.84 0.002507 2 -0.289824 -3.9527 5.5e-05 3 -0.082379 -1.1235 0.131338 4 0.122763 1.6743 0.047879 5 0.10357 1.4125 0.079736 6 -0.486631 -6.6368 0 7 -0.350313 -4.7776 2e-06 8 -0.220146 -3.0024 0.001523 9 -0.018564 -0.2532 0.400202 10 -0.127103 -1.7335 0.042336 11 -0.327237 -4.4629 7e-06 12 0.39863 5.4366 0 13 0.159792 2.1793 0.015284 14 0.061298 0.836 0.202117 15 0.040153 0.5476 0.292306 16 0.046478 0.6339 0.263471 17 -0.062408 -0.8511 0.197897 18 -0.107077 -1.4603 0.072942 19 0.076637 1.0452 0.148647 20 -0.117644 -1.6045 0.055155 21 -0.02075 -0.283 0.388746 22 0.026383 0.3598 0.359699 23 -0.120118 -1.6382 0.051536 24 0.15899 2.1683 0.015701 25 0.122469 1.6703 0.048275 26 0.054067 0.7374 0.230913 27 -0.034113 -0.4652 0.321153 28 -0.13182 -1.7978 0.036916 29 -0.140324 -1.9138 0.028593 30 0.096317 1.3136 0.0953 31 0.016785 0.2289 0.409594 32 -0.033563 -0.4577 0.323836 33 0.078801 1.0747 0.141951 34 -0.005498 -0.075 0.470153 35 -0.130284 -1.7768 0.038615 36 0.119361 1.6279 0.052623 37 0.008039 0.1096 0.456408 38 0.006663 0.0909 0.463848 39 0.00261 0.0356 0.485819 40 -0.032029 -0.4368 0.331377 41 -0.010534 -0.1437 0.44296 42 -0.048947 -0.6675 0.252626 43 0.120217 1.6395 0.051396 44 0.008264 0.1127 0.455194 45 -0.057899 -0.7896 0.215374 46 -0.009242 -0.126 0.449915 47 0.011081 0.1511 0.440019 48 -0.041454 -0.5654 0.286256

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/03/t12729129009lcqfmwbppbo7v7/1j19j1272912773.png (open in new window) http://www.freestatistics.org/blog/date/2010/May/03/t12729129009lcqfmwbppbo7v7/1j19j1272912773.ps (open in new window) http://www.freestatistics.org/blog/date/2010/May/03/t12729129009lcqfmwbppbo7v7/2j19j1272912773.png (open in new window) http://www.freestatistics.org/blog/date/2010/May/03/t12729129009lcqfmwbppbo7v7/2j19j1272912773.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')

Copyright

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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