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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: Sun, 14 Nov 2010 22:44:30 +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/Nov/14/t1289774628g06e68we0kyn8b4.htm/, Retrieved Sun, 14 Nov 2010 23:43:50 +0100

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/Nov/14/t1289774628g06e68we0kyn8b4.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:

KDGP2W11

Dataseries X:

» Textbox « » Textfile « » CSV «

1.35 1.91 1.31 1.19 1.3 1.14 1.1 1.02 1.11 1.18 1.24 1.36 1.29 1.73 1.41 1.15 1.31 1.15 1.08 1.1 1.14 1.24 1.33 1.49 1.38 1.96 1.36 1.24 1.35 1.23 1.09 1.08 1.33 1.35 1.38 1.5 1.47 2.09 1.52 1.29 1.52 1.27 1.35 1.29 1.41 1.39 1.45 1.53 1.45 2.11 1.53 1.38 1.54 1.35 1.29 1.33 1.47 1.47 1.54 1.59 1.5 2 1.51 1.4 1.62 1.44 1.29 1.28 1.4 1.39 1.46 1.49

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	0.369431	3.1347	0.001245
2	0.250596	2.1264	0.01845
3	0.249695	2.1187	0.018782
4	-0.03346	-0.2839	0.388644
5	-0.145623	-1.2356	0.110303
6	-0.276369	-2.3451	0.010892
7	-0.147691	-1.2532	0.107094
8	-0.077377	-0.6566	0.256777
9	0.171339	1.4539	0.075165
10	0.182441	1.5481	0.062995
11	0.259693	2.2036	0.015377
12	0.753042	6.3898	0
13	0.25558	2.1687	0.016706
14	0.138277	1.1733	0.122268
15	0.14058	1.1929	0.11842
16	-0.11355	-0.9635	0.169259
17	-0.223106	-1.8931	0.031181
18	-0.315141	-2.6741	0.004634
19	-0.193613	-1.6429	0.052386
20	-0.141623	-1.2017	0.116707
21	0.066562	0.5648	0.286985
22	0.066996	0.5685	0.285739
23	0.13059	1.1081	0.135754
24	0.526743	4.4696	1.4e-05
25	0.09726	0.8253	0.205969
26	0.036459	0.3094	0.378968
27	0.028814	0.2445	0.403772
28	-0.154056	-1.3072	0.097651
29	-0.2635	-2.2359	0.01423
30	-0.338655	-2.8736	0.002665
31	-0.231615	-1.9653	0.026618
32	-0.186052	-1.5787	0.059394
33	-0.04627	-0.3926	0.347882
34	-0.046227	-0.3923	0.348016
35	0.009495	0.0806	0.468005
36	0.301765	2.5606	0.006274
37	0.004154	0.0352	0.48599
38	-0.03847	-0.3264	0.372524
39	-0.019325	-0.164	0.435103
40	-0.161346	-1.3691	0.087618
41	-0.209652	-1.779	0.039734
42	-0.237578	-2.0159	0.023771
43	-0.175459	-1.4888	0.070451
44	-0.161756	-1.3725	0.087077
45	-0.051868	-0.4401	0.330588
46	-0.051171	-0.4342	0.33272
47	-0.020467	-0.1737	0.431308
48	0.160146	1.3589	0.089213

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.369431	3.1347	0.001245
2	0.132153	1.1214	0.132931
3	0.142061	1.2054	0.115993
4	-0.220147	-1.868	0.032915
5	-0.1666	-1.4136	0.080887
6	-0.236851	-2.0097	0.024103
7	0.126622	1.0744	0.143111
8	0.114768	0.9738	0.166698
9	0.39364	3.3401	0.000665
10	0.010462	0.0888	0.464753
11	0.060052	0.5096	0.305959
12	0.622905	5.2855	1e-06
13	-0.332285	-2.8195	0.003104
14	-0.171402	-1.4544	0.075092
15	-0.14737	-1.2505	0.107588
16	-0.03641	-0.309	0.379126
17	-0.009392	-0.0797	0.468351
18	0.046281	0.3927	0.347847
19	-0.028474	-0.2416	0.404883
20	-0.021938	-0.1862	0.426425
21	-0.08517	-0.7227	0.236106
22	-0.127107	-1.0785	0.142197
23	-0.02674	-0.2269	0.410573
24	0.016644	0.1412	0.444043
25	-0.111404	-0.9453	0.173836
26	0.089118	0.7562	0.226001
27	-0.065705	-0.5575	0.28945
28	0.103321	0.8767	0.19178
29	-0.060703	-0.5151	0.304037
30	-0.060425	-0.5127	0.304858
31	-0.122366	-1.0383	0.151301
32	0.021213	0.18	0.428831
33	-0.15701	-1.3323	0.093485
34	0.019164	0.1626	0.435641
35	-0.056973	-0.4834	0.315128
36	-0.092051	-0.7811	0.218658
37	0.133541	1.1331	0.130458
38	-0.04768	-0.4046	0.343494
39	0.040634	0.3448	0.365629
40	-0.079551	-0.675	0.250916
41	0.108422	0.92	0.180325
42	0.119858	1.017	0.156272
43	0.022311	0.1893	0.425189
44	-0.13944	-1.1832	0.120314
45	0.017576	0.1491	0.440933
46	0.043271	0.3672	0.357285
47	-0.013431	-0.114	0.45479
48	-0.100453	-0.8524	0.198417

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/14/t1289774628g06e68we0kyn8b4/10m121289774668.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/14/t1289774628g06e68we0kyn8b4/10m121289774668.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/14/t1289774628g06e68we0kyn8b4/20m121289774668.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/14/t1289774628g06e68we0kyn8b4/20m121289774668.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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