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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: Wed, 17 Nov 2010 09:38:12 +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/17/t1289986643zmk7jg4ti3ewg5a.htm/, Retrieved Wed, 17 Nov 2010 10:37:25 +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/17/t1289986643zmk7jg4ti3ewg5a.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 «

41086 39690 43129 37863 35953 29133 24693 22205 21725 27192 21790 13253 37702 30364 32609 30212 29965 28352 25814 22414 20506 28806 22228 13971 36845 35338 35022 34777 26887 23970 22780 17351 21382 24561 17409 11514 31514 27071 29462 26105 22397 23843 21705 18089 20764 25316 17704 15548 28029 29383 36438 32034 22679 24319 18004 17537 20366 22782 19169 13807 29743 25591 29096 26482 22405 27044 17970 18730 19684 19785 18479 10698

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.499538	4.2387	3.3e-05
2	0.294086	2.4954	0.007437
3	0.186006	1.5783	0.059439
4	-0.025916	-0.2199	0.413283
5	-0.117689	-0.9986	0.16066
6	-0.219519	-1.8627	0.033294
7	-0.186776	-1.5848	0.058692
8	-0.100033	-0.8488	0.199402
9	0.028785	0.2442	0.403868
10	0.073049	0.6198	0.26866
11	0.234924	1.9934	0.025004
12	0.643267	5.4583	0
13	0.276641	2.3474	0.010829
14	0.133165	1.1299	0.131125
15	0.078298	0.6644	0.254283
16	-0.092697	-0.7866	0.217061
17	-0.124197	-1.0538	0.147738
18	-0.205911	-1.7472	0.042432
19	-0.200215	-1.6989	0.04683
20	-0.093638	-0.7945	0.214744
21	-0.010596	-0.0899	0.464304
22	0.05393	0.4576	0.324306
23	0.23488	1.993	0.025025
24	0.540306	4.5846	9e-06
25	0.25674	2.1785	0.016322
26	0.123012	1.0438	0.150037
27	0.021149	0.1795	0.429042
28	-0.115572	-0.9807	0.165021
29	-0.138651	-1.1765	0.121637
30	-0.231081	-1.9608	0.026887
31	-0.210914	-1.7897	0.038857
32	-0.114261	-0.9695	0.167761
33	-0.071502	-0.6067	0.272975
34	-0.041658	-0.3535	0.362382
35	0.074101	0.6288	0.265746
36	0.302874	2.57	0.00612
37	0.102432	0.8692	0.193823
38	0.026195	0.2223	0.412367
39	-0.054585	-0.4632	0.32232
40	-0.14598	-1.2387	0.109743
41	-0.145596	-1.2354	0.110345
42	-0.237249	-2.0131	0.023921
43	-0.205485	-1.7436	0.042748
44	-0.145312	-1.233	0.110791
45	-0.108272	-0.9187	0.180654
46	-0.045215	-0.3837	0.351179
47	0.037691	0.3198	0.375017
48	0.224949	1.9088	0.03014

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.499538	4.2387	3.3e-05
2	0.059361	0.5037	0.308008
3	0.024293	0.2061	0.418634
4	-0.186365	-1.5814	0.059089
5	-0.077256	-0.6555	0.257105
6	-0.143315	-1.2161	0.113966
7	0.030159	0.2559	0.399376
8	0.056864	0.4825	0.315454
9	0.139127	1.1805	0.120837
10	-0.008644	-0.0733	0.470867
11	0.194655	1.6517	0.051475
12	0.596492	5.0614	2e-06
13	-0.512861	-4.3518	2.2e-05
14	-0.129969	-1.1028	0.136887
15	0.036015	0.3056	0.380397
16	0.042795	0.3631	0.358787
17	0.009244	0.0784	0.468848
18	0.051144	0.434	0.332805
19	-0.040168	-0.3408	0.36711
20	0.008134	0.069	0.472584
21	0.005467	0.0464	0.481566
22	0.188805	1.6021	0.05676
23	0.141315	1.1991	0.117211
24	-0.110135	-0.9345	0.176578
25	-0.068624	-0.5823	0.281095
26	-0.029649	-0.2516	0.40104
27	-0.15843	-1.3443	0.091532
28	0.123001	1.0437	0.150058
29	0.030432	0.2582	0.398484
30	-0.079591	-0.6754	0.250807
31	0.05977	0.5072	0.306794
32	-0.044999	-0.3818	0.351856
33	-0.018395	-0.1561	0.4382
34	-0.117067	-0.9933	0.161934
35	-0.217087	-1.842	0.034793
36	0.042814	0.3633	0.358726
37	0.024792	0.2104	0.416987
38	0.043274	0.3672	0.357278
39	0.091835	0.7792	0.219194
40	-0.149853	-1.2715	0.103814
41	-0.107575	-0.9128	0.182196
42	0.039475	0.335	0.369316
43	-0.016756	-0.1422	0.443668
44	-0.065404	-0.555	0.290318
45	0.010698	0.0908	0.463961
46	0.005801	0.0492	0.48044
47	-0.003448	-0.0293	0.488372
48	-0.035739	-0.3033	0.381285

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/17/t1289986643zmk7jg4ti3ewg5a/1rwp61289986690.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/17/t1289986643zmk7jg4ti3ewg5a/1rwp61289986690.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/17/t1289986643zmk7jg4ti3ewg5a/2rwp61289986690.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/17/t1289986643zmk7jg4ti3ewg5a/2rwp61289986690.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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