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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: Mon, 15 Nov 2010 16:17:08 +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/15/t1289837750lpbyzyxggjhqtsk.htm/, Retrieved Mon, 15 Nov 2010 17:15:52 +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/15/t1289837750lpbyzyxggjhqtsk.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:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

101.02 101.15 101.51 101.75 101.8 101.8 101.8 101.82 101.99 102.25 102.34 102.35 102.35 102.39 102.49 102.67 102.68 102.7 102.71 102.72 102.83 102.92 103.04 103.08 103.09 103.11 103.18 103.18 103.22 103.25 103.25 103.25 103.47 103.57 103.66 103.7 103.7 103.75 103.85 104.02 104.13 104.17 104.18 104.2 104.5 104.78 104.88 104.89 104.9 104.95 105.24 105.35 105.44 105.46 105.47 105.48 105.75 106.1 106.19 106.23 106.24 106.25 106.35 106.48 106.52 106.55 106.55 106.56 106.89 107.09 107.24 107.28 107.3 107.31 107.47 107.35 107.31 107.32 107.32 107.34 107.53 107.72 107.75 107.79 107.81 107.9 107.8 107.86 107.8 107.74 107.75 107.83 107.8 107.81 107.86 107.83

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	0.361264	3.5212	0.000331
2	-0.094539	-0.9215	0.179573
3	-0.275777	-2.6879	0.004245
4	-0.168044	-1.6379	0.052377
5	0.096115	0.9368	0.175615
6	0.419645	4.0902	4.5e-05
7	0.176663	1.7219	0.044172
8	-0.190679	-1.8585	0.033096
9	-0.272159	-2.6527	0.00468
10	-0.138788	-1.3527	0.089676
11	0.281833	2.747	0.003598
12	0.467215	4.5539	8e-06
13	0.279344	2.7227	0.003852
14	-0.152648	-1.4878	0.070054
15	-0.26356	-2.5689	0.00588
16	-0.174982	-1.7055	0.045684
17	0.113106	1.1024	0.136532
18	0.182954	1.7832	0.038873
19	-0.003792	-0.037	0.485299
20	-0.16779	-1.6354	0.052636
21	-0.293436	-2.8601	0.002604
22	-0.129311	-1.2604	0.105312
23	0.128367	1.2512	0.106972
24	0.313994	3.0604	0.001437
25	0.021163	0.2063	0.41851
26	-0.206112	-2.0089	0.023691
27	-0.276325	-2.6933	0.004182
28	-0.119354	-1.1633	0.123806
29	0.045555	0.444	0.329022
30	0.173874	1.6947	0.046703
31	0.003263	0.0318	0.487348
32	-0.226754	-2.2101	0.014749
33	-0.247886	-2.4161	0.0088
34	-0.117516	-1.1454	0.12746
35	0.137457	1.3398	0.091758
36	0.203474	1.9832	0.025115
37	0.080197	0.7817	0.218178
38	-0.190523	-1.857	0.033205
39	-0.226432	-2.207	0.014862
40	-0.114409	-1.1151	0.133805
41	0.079933	0.7791	0.218932
42	0.19578	1.9082	0.02969
43	0.023498	0.229	0.409668
44	-0.148909	-1.4514	0.074984
45	-0.197461	-1.9246	0.028635
46	-0.063894	-0.6228	0.267468
47	0.101504	0.9893	0.162505
48	0.249696	2.4337	0.008407

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.361264	3.5212	0.000331
2	-0.258831	-2.5228	0.006652
3	-0.171684	-1.6734	0.048772
4	-0.012636	-0.1232	0.451121
5	0.130908	1.2759	0.102546
6	0.336447	3.2793	0.000728
7	-0.152785	-1.4892	0.069879
8	-0.173462	-1.6907	0.047086
9	0.014664	0.1429	0.443325
10	0.013039	0.1271	0.449571
11	0.339491	3.3089	0.000662
12	0.103907	1.0128	0.156874
13	0.059533	0.5803	0.281558
14	-0.108885	-1.0613	0.145628
15	0.015841	0.1544	0.438813
16	0.006286	0.0613	0.475637
17	-0.047384	-0.4618	0.322626
18	-0.170665	-1.6634	0.04976
19	-0.17855	-1.7403	0.042523
20	0.117455	1.1448	0.127581
21	-0.104787	-1.0213	0.154843
22	-0.029348	-0.286	0.387732
23	-0.084651	-0.8251	0.205697
24	0.092453	0.9011	0.184903
25	-0.115348	-1.1243	0.131864
26	-0.131428	-1.281	0.101655
27	0.006718	0.0655	0.473964
28	-0.017884	-0.1743	0.430997
29	-0.014613	-0.1424	0.443522
30	0.044121	0.43	0.334071
31	0.002511	0.0245	0.490261
32	-0.025862	-0.2521	0.400766
33	-0.043477	-0.4238	0.336348
34	0.002147	0.0209	0.491674
35	0.042686	0.416	0.339157
36	-0.013341	-0.13	0.448407
37	0.011626	0.1133	0.455008
38	0.004708	0.0459	0.481749
39	-0.008086	-0.0788	0.468673
40	-0.039723	-0.3872	0.349747
41	-0.043618	-0.4251	0.33585
42	0.11381	1.1093	0.135054
43	-0.111573	-1.0875	0.139789
44	-0.029628	-0.2888	0.386688
45	0.014596	0.1423	0.443586
46	0.003663	0.0357	0.485799
47	-0.011698	-0.114	0.454732
48	-0.018621	-0.1815	0.428182

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/15/t1289837750lpbyzyxggjhqtsk/1i31l1289837823.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/15/t1289837750lpbyzyxggjhqtsk/1i31l1289837823.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/15/t1289837750lpbyzyxggjhqtsk/2tvio1289837823.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/15/t1289837750lpbyzyxggjhqtsk/2tvio1289837823.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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