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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 16:49:43 +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/t1273078223jj6dm0y7wnmmxko.htm/, Retrieved Wed, 05 May 2010 18:50:25 +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/05/t1273078223jj6dm0y7wnmmxko.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 «

77 70 67 76 85 106 108 120 108 111 109 104 104 117 111 110 116 118 115 111 112 97 106 93 95 97 81 71 75 70 72 80 78 80 81 99 87 100 95 128 112 104 102 108 103 99 96 85 78 74 106 100 109 87 107 106 109 83 84 83 65 68 61 75 66 78 68 68 174 64 48 45

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.393273	-3.3138	0.000726
2	-0.011104	-0.0936	0.462861
3	-0.009425	-0.0794	0.468461
4	0.006753	0.0569	0.477393
5	0.03078	0.2594	0.398056
6	-0.069996	-0.5898	0.2786
7	0.022671	0.191	0.424525
8	-0.095044	-0.8009	0.212944
9	0.083118	0.7004	0.242993
10	-0.057839	-0.4874	0.313753
11	-0.020454	-0.1723	0.431827
12	0.048635	0.4098	0.341593
13	0.062371	0.5255	0.300421
14	-0.025007	-0.2107	0.416857
15	-0.04701	-0.3961	0.346604
16	0.025315	0.2133	0.415849
17	0.00943	0.0795	0.468446
18	0.062598	0.5275	0.299758
19	-0.080887	-0.6816	0.248864
20	-0.035615	-0.3001	0.38249
21	-0.021348	-0.1799	0.42888
22	0.029371	0.2475	0.402623
23	-0.033725	-0.2842	0.388553
24	0.017332	0.146	0.442152
25	0.005618	0.0473	0.481189
26	0.033612	0.2832	0.388917
27	-0.06626	-0.5583	0.289191
28	0.009921	0.0836	0.466807
29	0.117173	0.9873	0.16342
30	-0.061054	-0.5145	0.304266
31	0.010391	0.0876	0.465237
32	-0.046868	-0.3949	0.347045
33	0.083289	0.7018	0.242547
34	-0.009391	-0.0791	0.468576
35	-0.02205	-0.1858	0.426567
36	-0.014508	-0.1222	0.451525
37	0.038556	0.3249	0.373113
38	-0.028596	-0.241	0.405143
39	-0.009835	-0.0829	0.467093
40	0.006373	0.0537	0.478664
41	-0.033137	-0.2792	0.390445
42	-0.056468	-0.4758	0.317837
43	0.089626	0.7552	0.226312
44	-0.029285	-0.2468	0.402904
45	-0.011591	-0.0977	0.461234
46	0.070605	0.5949	0.27689
47	-0.056974	-0.4801	0.316326
48	0.035537	0.2994	0.382738

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.393273	-3.3138	0.000726
2	-0.196096	-1.6523	0.051441
3	-0.112899	-0.9513	0.172338
4	-0.056148	-0.4731	0.318793
5	0.010033	0.0845	0.466434
6	-0.063527	-0.5353	0.297062
7	-0.036251	-0.3055	0.380457
8	-0.141642	-1.1935	0.118324
9	-0.031353	-0.2642	0.396202
10	-0.073438	-0.6188	0.269016
11	-0.090324	-0.7611	0.224565
12	-0.018631	-0.157	0.437851
13	0.082799	0.6977	0.243828
14	0.039483	0.3327	0.370174
15	-0.027987	-0.2358	0.407126
16	-0.026213	-0.2209	0.41291
17	-0.004987	-0.042	0.483301
18	0.073487	0.6192	0.268879
19	-0.008084	-0.0681	0.472941
20	-0.060002	-0.5056	0.307356
21	-0.091825	-0.7737	0.220829
22	-0.051607	-0.4349	0.332495
23	-0.06923	-0.5833	0.280755
24	-0.018937	-0.1596	0.436839
25	-0.02053	-0.173	0.431576
26	0.02526	0.2128	0.416028
27	-0.076889	-0.6479	0.259576
28	-0.064289	-0.5417	0.294859
29	0.084233	0.7098	0.240088
30	0.012293	0.1036	0.458895
31	-0.004502	-0.0379	0.484922
32	-0.029507	-0.2486	0.402181
33	0.080681	0.6798	0.249411
34	0.074519	0.6279	0.266039
35	0.024345	0.2051	0.419026
36	-0.002343	-0.0197	0.492151
37	0.07468	0.6293	0.265599
38	0.001695	0.0143	0.494323
39	0.003928	0.0331	0.486844
40	0.0081	0.0682	0.472889
41	-0.041052	-0.3459	0.365217
42	-0.172934	-1.4572	0.07474
43	-0.02056	-0.1732	0.431478
44	0.002573	0.0217	0.491382
45	-0.005478	-0.0462	0.481658
46	0.03546	0.2988	0.382986
47	-0.045341	-0.3821	0.351782
48	0.017318	0.1459	0.442198

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/05/t1273078223jj6dm0y7wnmmxko/1q5oo1273078180.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t1273078223jj6dm0y7wnmmxko/1q5oo1273078180.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t1273078223jj6dm0y7wnmmxko/2q5oo1273078180.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t1273078223jj6dm0y7wnmmxko/2q5oo1273078180.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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