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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 15:43:50 +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/t128992219472t4cqu4ee02v6u.htm/, Retrieved Tue, 16 Nov 2010 16:43:16 +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/t128992219472t4cqu4ee02v6u.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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.551146	4.6766	7e-06
2	0.076714	0.6509	0.258579
3	-0.19625	-1.6652	0.050106
4	-0.286128	-2.4279	0.008844
5	-0.271716	-2.3056	0.012009
6	-0.421235	-3.5743	0.000316
7	-0.335881	-2.85	0.002849
8	-0.274947	-2.333	0.011223
9	-0.175475	-1.489	0.070433
10	0.140511	1.1923	0.118534
11	0.508286	4.313	2.5e-05
12	0.747062	6.339	0
13	0.439423	3.7286	0.00019
14	0.007787	0.0661	0.47375
15	-0.231218	-1.962	0.026817
16	-0.272038	-2.3083	0.011928
17	-0.249417	-2.1164	0.018885
18	-0.364608	-3.0938	0.001406
19	-0.29633	-2.5144	0.007079
20	-0.222403	-1.8872	0.031585
21	-0.099274	-0.8424	0.201185
22	0.124556	1.0569	0.147046
23	0.412632	3.5013	4e-04
24	0.61789	5.243	1e-06
25	0.329542	2.7963	0.003312
26	-0.049111	-0.4167	0.339061
27	-0.218255	-1.852	0.034066
28	-0.212208	-1.8006	0.037973
29	-0.166684	-1.4144	0.080783
30	-0.266933	-2.265	0.013261
31	-0.233452	-1.9809	0.025711
32	-0.1726	-1.4646	0.073697
33	-0.039742	-0.3372	0.368464
34	0.127817	1.0846	0.140866
35	0.30849	2.6176	0.005393
36	0.425489	3.6104	0.000281
37	0.19984	1.6957	0.047132
38	-0.042574	-0.3613	0.359483
39	-0.155133	-1.3163	0.096117
40	-0.124372	-1.0553	0.147401
41	-0.084227	-0.7147	0.238557
42	-0.180238	-1.5294	0.065277
43	-0.154296	-1.3092	0.097308
44	-0.098155	-0.8329	0.203835
45	-0.010351	-0.0878	0.465128
46	0.091471	0.7762	0.2201
47	0.18154	1.5404	0.063921
48	0.252209	2.1401	0.017869

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.551146	4.6766	7e-06
2	-0.326107	-2.7671	0.003592
3	-0.11666	-0.9899	0.16277
4	-0.109798	-0.9317	0.17731
5	-0.108799	-0.9232	0.179496
6	-0.447984	-3.8013	0.000149
7	0.040369	0.3425	0.36647
8	-0.420784	-3.5705	0.00032
9	-0.222106	-1.8846	0.031758
10	0.105425	0.8946	0.187001
11	0.36888	3.1301	0.001262
12	0.277703	2.3564	0.010589
13	-0.098505	-0.8358	0.203004
14	-0.083343	-0.7072	0.240867
15	-0.154213	-1.3085	0.097426
16	0.016873	0.1432	0.443277
17	-0.024846	-0.2108	0.416808
18	-0.062841	-0.5332	0.29776
19	0.139533	1.184	0.120158
20	-0.059921	-0.5084	0.306349
21	-0.05679	-0.4819	0.315676
22	-0.237388	-2.0143	0.023857
23	0.038127	0.3235	0.373621
24	-0.004551	-0.0386	0.484651
25	-0.109423	-0.9285	0.178129
26	-0.043426	-0.3685	0.356799
27	0.061111	0.5185	0.302835
28	-0.018864	-0.1601	0.436637
29	-0.012733	-0.108	0.45713
30	0.004213	0.0358	0.48579
31	-0.02629	-0.2231	0.412052
32	-0.091847	-0.7794	0.219164
33	0.125203	1.0624	0.145805
34	-0.173259	-1.4701	0.072939
35	-0.056212	-0.477	0.317411
36	-0.137543	-1.1671	0.123513
37	-0.035345	-0.2999	0.382554
38	0.016807	0.1426	0.443499
39	0.084511	0.7171	0.237815
40	-0.050647	-0.4298	0.334329
41	-0.036089	-0.3062	0.380158
42	0.006568	0.0557	0.477854
43	-0.038631	-0.3278	0.372009
44	-0.040142	-0.3406	0.367191
45	0.023339	0.198	0.421787
46	-0.040439	-0.3431	0.366248
47	-0.02911	-0.247	0.402803
48	-0.120224	-1.0201	0.155539

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/16/t128992219472t4cqu4ee02v6u/1ecyt1289922228.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t128992219472t4cqu4ee02v6u/1ecyt1289922228.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t128992219472t4cqu4ee02v6u/2ecyt1289922228.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t128992219472t4cqu4ee02v6u/2ecyt1289922228.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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