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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: Tue, 16 Nov 2010 15:39:53 +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/16/t1289921937e44p4kqthii2dh4.htm/, Retrieved Tue, 16 Nov 2010 16:38:57 +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/16/t1289921937e44p4kqthii2dh4.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 «

6.715 7.703 9.856 8.326 9.269 7.035 10.342 11.682 10.304 11.385 9.777 8.882 7.897 6.930 9.545 9.110 7.459 7.320 10.017 12.307 11.072 10.749 9.589 9.080 7.384 8.062 8.511 8.684 8.306 7.643 10.577 13.747 11.783 11.611 9.946 8.693 7.303 7.609 9.423 8.584 7.586 6.843 11.811 13.414 12.103 11.501 8.213 7.982 7.687 7.180 7.862 8.043 8.340 6.692 10.065 12.684 11.587 9.843 8.110 7.940 6.475 6.121 9.669 7.778 7.826 7.403 10.741 14.023 11.519 10.236 8.075 8.157

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.040186	0.3386	0.367951
2	-0.197297	-1.6625	0.050416
3	-0.222225	-1.8725	0.032628
4	-0.097854	-0.8245	0.206199
5	0.147406	1.2421	0.10915
6	-0.248766	-2.0961	0.019817
7	0.045626	0.3845	0.350896
8	-0.059955	-0.5052	0.307496
9	-0.227849	-1.9199	0.029445
10	-0.094483	-0.7961	0.214306
11	0.140296	1.1822	0.120545
12	0.624937	5.2658	1e-06
13	0.132509	1.1165	0.133977
14	-0.183967	-1.5501	0.062778
15	-0.224981	-1.8957	0.031034
16	-0.086951	-0.7327	0.233089
17	0.144257	1.2155	0.114095
18	-0.196635	-1.6569	0.050979
19	0.027604	0.2326	0.408374
20	-0.071786	-0.6049	0.273593
21	-0.120228	-1.0131	0.157236
22	-0.090162	-0.7597	0.224969
23	0.092108	0.7761	0.22013
24	0.550424	4.638	8e-06
25	0.112676	0.9494	0.172813
26	-0.220695	-1.8596	0.033542
27	-0.197218	-1.6618	0.050483
28	-0.04396	-0.3704	0.356089
29	0.152214	1.2826	0.101905
30	-0.14432	-1.2161	0.113995
31	0.008383	0.0706	0.471943
32	-0.100079	-0.8433	0.200951
33	-0.037736	-0.318	0.375721
34	-0.042456	-0.3577	0.360799
35	0.05774	0.4865	0.314045
36	0.385241	3.2461	0.000893
37	0.02848	0.24	0.405519
38	-0.121292	-1.022	0.15512
39	-0.174024	-1.4664	0.073484
40	-0.013312	-0.1122	0.455502
41	0.132749	1.1186	0.133549
42	-0.098011	-0.8259	0.205826
43	-0.013083	-0.1102	0.456264
44	-0.049228	-0.4148	0.339769
45	-0.02358	-0.1987	0.421537
46	-0.025854	-0.2179	0.414085
47	0.016443	0.1385	0.445099
48	0.253672	2.1375	0.018002

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.040186	0.3386	0.367951
2	-0.199233	-1.6788	0.048797
3	-0.213517	-1.7991	0.038124
4	-0.136928	-1.1538	0.12623
5	0.067814	0.5714	0.284762
6	-0.380115	-3.2029	0.001019
7	0.051556	0.4344	0.33265
8	-0.2175	-1.8327	0.035521
9	-0.427547	-3.6026	0.00029
10	-0.412202	-3.4733	0.00044
11	-0.172412	-1.4528	0.075346
12	0.277923	2.3418	0.011
13	0.137855	1.1616	0.124647
14	0.104727	0.8824	0.190257
15	-0.044336	-0.3736	0.354916
16	-0.065648	-0.5532	0.290945
17	0.030126	0.2538	0.400175
18	-0.145672	-1.2275	0.111854
19	0.054418	0.4585	0.323986
20	0.003058	0.0258	0.489758
21	0.116	0.9774	0.165837
22	-0.109744	-0.9247	0.179122
23	-0.061885	-0.5215	0.301837
24	0.083557	0.7041	0.241849
25	0.004539	0.0382	0.4848
26	-0.121102	-1.0204	0.155496
27	0.020821	0.1754	0.430617
28	0.02216	0.1867	0.426205
29	0.030491	0.2569	0.39899
30	0.028442	0.2397	0.405644
31	0.118875	1.0017	0.159955
32	-0.134378	-1.1323	0.130662
33	0.178272	1.5021	0.068747
34	0.039102	0.3295	0.371381
35	0.010266	0.0865	0.465656
36	-0.073279	-0.6175	0.269454
37	-0.055461	-0.4673	0.32085
38	-0.0623	-0.525	0.300626
39	0.055845	0.4706	0.319699
40	0.04959	0.4179	0.338657
41	-0.036446	-0.3071	0.379834
42	0.029344	0.2473	0.40271
43	0.024944	0.2102	0.417064
44	-0.011857	-0.0999	0.460349
45	0.023368	0.1969	0.422233
46	-0.006455	-0.0544	0.478388
47	0.021763	0.1834	0.427511
48	-0.078181	-0.6588	0.256089

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289921937e44p4kqthii2dh4/11rw51289921987.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289921937e44p4kqthii2dh4/11rw51289921987.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289921937e44p4kqthii2dh4/21rw51289921987.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289921937e44p4kqthii2dh4/21rw51289921987.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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