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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 22:47:27 +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/t1289774767r2jrsjg0qscco92.htm/, Retrieved Sun, 14 Nov 2010 23:46:07 +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/t1289774767r2jrsjg0qscco92.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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.400656	-3.376	0.000598
2	-0.097978	-0.8256	0.205904
3	0.222932	1.8785	0.032212
4	-0.132308	-1.1148	0.134338
5	0.012972	0.1093	0.456636
6	-0.209984	-1.7694	0.040564
7	0.041509	0.3498	0.363778
8	-0.136381	-1.1492	0.127173
9	0.187045	1.5761	0.059728
10	-0.062871	-0.5298	0.298965
11	-0.318983	-2.6878	0.004477
12	0.784917	6.6138	0
13	-0.296892	-2.5017	0.007334
14	-0.096654	-0.8144	0.209065
15	0.201235	1.6956	0.047168
16	-0.110431	-0.9305	0.177631
17	-0.014664	-0.1236	0.451006
18	-0.171857	-1.4481	0.075996
19	0.051183	0.4313	0.333787
20	-0.120477	-1.0152	0.15674
21	0.162738	1.3713	0.087307
22	-0.062161	-0.5238	0.301032
23	-0.248691	-2.0955	0.019846
24	0.653499	5.5065	0
25	-0.285667	-2.4071	0.009342
26	-0.046696	-0.3935	0.347575
27	0.137631	1.1597	0.125028
28	-0.054749	-0.4613	0.322989
29	-0.029763	-0.2508	0.401353
30	-0.144552	-1.218	0.113625
31	0.043193	0.364	0.358487
32	-0.067603	-0.5696	0.285362
33	0.106239	0.8952	0.186857
34	-0.056548	-0.4765	0.317596
35	-0.17362	-1.4629	0.073948
36	0.467958	3.9431	9.3e-05
37	-0.19397	-1.6344	0.053299
38	-0.053825	-0.4535	0.325771
39	0.126316	1.0644	0.145387
40	-0.066795	-0.5628	0.287664
41	-0.018745	-0.1579	0.437473
42	-0.07381	-0.6219	0.267988
43	0.035281	0.2973	0.38356
44	-0.072928	-0.6145	0.270424
45	0.084013	0.7079	0.240661
46	-0.036424	-0.3069	0.379905
47	-0.10594	-0.8927	0.187525
48	0.288727	2.4329	0.008751

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.400656	-3.376	0.000598
2	-0.307934	-2.5947	0.005747
3	0.063449	0.5346	0.297288
4	-0.028186	-0.2375	0.406476
5	0.003904	0.0329	0.486924
6	-0.334677	-2.82	0.00311
7	-0.259631	-2.1877	0.015993
8	-0.466796	-3.9333	9.6e-05
9	-0.064057	-0.5398	0.295527
10	-0.129341	-1.0898	0.139734
11	-0.667867	-5.6275	0
12	0.255687	2.1545	0.017299
13	0.123771	1.0429	0.150263
14	0.098851	0.8329	0.203839
15	-0.02149	-0.1811	0.428411
16	-0.049623	-0.4181	0.338558
17	-0.104966	-0.8845	0.189716
18	-0.024901	-0.2098	0.417206
19	-0.014596	-0.123	0.451233
20	0.042586	0.3588	0.360391
21	0.078192	0.6589	0.256058
22	-0.023369	-0.1969	0.42223
23	-0.061439	-0.5177	0.303141
24	0.072913	0.6144	0.270464
25	-0.105705	-0.8907	0.188052
26	0.02552	0.215	0.415177
27	-0.141505	-1.1923	0.118548
28	0.009018	0.076	0.469821
29	0.009523	0.0802	0.468134
30	0.079446	0.6694	0.252699
31	-0.066186	-0.5577	0.289403
32	0.115623	0.9743	0.166619
33	-0.060645	-0.511	0.305467
34	0.006191	0.0522	0.47927
35	0.021886	0.1844	0.427108
36	-0.189835	-1.5996	0.057067
37	-0.018823	-0.1586	0.437214
38	-0.086001	-0.7247	0.235521
39	0.035136	0.2961	0.384023
40	-0.137248	-1.1565	0.125683
41	-0.143911	-1.2126	0.114648
42	-0.055704	-0.4694	0.320122
43	0.110444	0.9306	0.177602
44	-0.058176	-0.4902	0.312751
45	-0.086302	-0.7272	0.234749
46	-0.034893	-0.294	0.384803
47	0.075638	0.6373	0.262976
48	-0.040604	-0.3421	0.366631

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/14/t1289774767r2jrsjg0qscco92/1sxuy1289774844.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/14/t1289774767r2jrsjg0qscco92/1sxuy1289774844.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/14/t1289774767r2jrsjg0qscco92/2sxuy1289774844.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/14/t1289774767r2jrsjg0qscco92/2sxuy1289774844.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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