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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, 05 May 2010 16:02:01 +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/05/t12730754019xfzc5q3hvfzlni.htm/, Retrieved Wed, 05 May 2010 18:03:22 +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/05/t12730754019xfzc5q3hvfzlni.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 «

254 234 222 225 243 270 289 273 274 220 271 288 276 266 239 201 242 239 273 280 294 212 264 272 262 238 227 250 245 270 288 298 281 218 284 281 277 276 222 255 267 261 263 264 278 248 320 305 301 274 220 235 252 272 280 305 299 246 307 325 302 274 251 272 253 292 288 258 295 231 250 268

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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.342787	2.9086	0.002412
2	0.058229	0.4941	0.311372
3	-0.133101	-1.1294	0.131239
4	-0.174184	-1.478	0.071885
5	0.046839	0.3974	0.346107
6	0.092559	0.7854	0.217401
7	0.129887	1.1021	0.137039
8	-0.083381	-0.7075	0.240767
9	-0.132764	-1.1265	0.131838
10	-0.024158	-0.205	0.419082
11	0.122418	1.0387	0.151199
12	0.549685	4.6642	7e-06
13	0.18376	1.5593	0.06166
14	-0.002905	-0.0247	0.490201
15	-0.13426	-1.1392	0.12919
16	-0.074506	-0.6322	0.264627
17	0.102606	0.8706	0.193422
18	0.046207	0.3921	0.348079
19	0.079732	0.6766	0.25043
20	-0.129369	-1.0977	0.13799
21	-0.165154	-1.4014	0.082698
22	-0.084352	-0.7157	0.238231
23	0.060183	0.5107	0.305573
24	0.359852	3.0534	0.001585
25	0.075511	0.6407	0.261864
26	0.002887	0.0245	0.490263
27	-0.113215	-0.9607	0.169969
28	-0.02081	-0.1766	0.430169
29	0.084825	0.7198	0.236999
30	-0.067971	-0.5767	0.282954
31	-0.089232	-0.7572	0.225712
32	-0.211316	-1.7931	0.03858
33	-0.19901	-1.6887	0.047806
34	-0.07124	-0.6045	0.273708
35	0.057576	0.4885	0.313324
36	0.251654	2.1354	0.018067
37	0.007606	0.0645	0.474359
38	-0.100401	-0.8519	0.198538
39	-0.134024	-1.1372	0.129605
40	-0.06733	-0.5713	0.284784
41	0.02113	0.1793	0.429105
42	-0.023504	-0.1994	0.421241
43	-0.08824	-0.7487	0.228227
44	-0.216579	-1.8377	0.035114
45	-0.181257	-1.538	0.064214
46	-0.094111	-0.7986	0.213586
47	0.011926	0.1012	0.459838
48	0.17193	1.4589	0.074474

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.342787	2.9086	0.002412
2	-0.067165	-0.5699	0.285254
3	-0.149546	-1.2689	0.104274
4	-0.087141	-0.7394	0.231029
5	0.166022	1.4087	0.081607
6	0.015558	0.132	0.447672
7	0.051732	0.439	0.331002
8	-0.175059	-1.4854	0.070898
9	-0.012361	-0.1049	0.458379
10	0.088733	0.7529	0.226976
11	0.132033	1.1203	0.133147
12	0.486586	4.1288	4.8e-05
13	-0.251235	-2.1318	0.018218
14	-0.029469	-0.2501	0.40163
15	0.017986	0.1526	0.439565
16	0.201623	1.7108	0.045709
17	0.008193	0.0695	0.472385
18	-0.174082	-1.4771	0.072
19	-0.037438	-0.3177	0.375826
20	-0.027967	-0.2373	0.406547
21	0.053297	0.4522	0.326227
22	-0.076301	-0.6474	0.259704
23	0.026162	0.222	0.412476
24	0.009317	0.0791	0.468602
25	-0.077848	-0.6606	0.255501
26	0.105121	0.892	0.187686
27	-0.004842	-0.0411	0.483669
28	0.050477	0.4283	0.334851
29	-0.12816	-1.0875	0.140227
30	-0.140329	-1.1907	0.118835
31	-0.116603	-0.9894	0.162889
32	0.054205	0.4599	0.32347
33	-0.051726	-0.4389	0.331022
34	-0.007417	-0.0629	0.474997
35	-0.049796	-0.4225	0.336949
36	-0.011039	-0.0937	0.462816
37	0.037138	0.3151	0.376789
38	-0.114249	-0.9694	0.167786
39	0.065931	0.5594	0.288798
40	-0.16726	-1.4192	0.080071
41	-0.040557	-0.3441	0.365873
42	0.11685	0.9915	0.16238
43	-0.034086	-0.2892	0.386617
44	-0.08828	-0.7491	0.228124
45	-0.081722	-0.6934	0.245133
46	0.032068	0.2721	0.393159
47	0.007425	0.063	0.474969
48	0.059078	0.5013	0.308846

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/05/t12730754019xfzc5q3hvfzlni/1lhwq1273075317.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t12730754019xfzc5q3hvfzlni/1lhwq1273075317.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t12730754019xfzc5q3hvfzlni/2lhwq1273075317.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t12730754019xfzc5q3hvfzlni/2lhwq1273075317.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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