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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: Sat, 20 Nov 2010 15:52:40 +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/20/t1290268304yygfn0yialxmz4v.htm/, Retrieved Sat, 20 Nov 2010 16:51:44 +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/20/t1290268304yygfn0yialxmz4v.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 «

84.9 81.9 95.9 81 89.2 102.5 89.8 88.8 83.2 90.2 100.4 187.1 87.6 85.4 86.1 86.7 89.1 103.7 86.9 85.2 80.8 91.2 102.8 182.5 80.9 83.1 88.3 86.6 93 105.3 93.8 86.4 87 96.7 100.5 196.7 86.8 88.2 93.8 85 90.4 115.9 94.9 87.7 91.7 95.9 106.8 204.5 90.2 90.5 93.2 97.8 99.4 120 108.2 98.5 104.3 102.9 111.1 188.1 93.8 94.5 112.4 102.5 115.8 136.5 122.1 110.6 116.4 112.6 121.5 199.3

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	0.063576	0.5395	0.295616
2	-0.055384	-0.4699	0.319906
3	-0.04485	-0.3806	0.352324
4	-0.078422	-0.6654	0.25395
5	0.032524	0.276	0.391679
6	0.316257	2.6835	0.004516
7	0.023285	0.1976	0.421964
8	-0.104653	-0.888	0.188746
9	-0.055401	-0.4701	0.319854
10	-0.101117	-0.858	0.196868
11	-0.001968	-0.0167	0.493362
12	0.797142	6.764	0
13	0.011256	0.0955	0.462088
14	-0.08685	-0.7369	0.231774
15	-0.080131	-0.6799	0.249362
16	-0.10271	-0.8715	0.193182
17	-0.012284	-0.1042	0.458637
18	0.227669	1.9318	0.028658
19	-0.00242	-0.0205	0.491836
20	-0.111954	-0.95	0.172655
21	-0.071018	-0.6026	0.274333
22	-0.109367	-0.928	0.178251
23	-0.032608	-0.2767	0.391407
24	0.63283	5.3697	0
25	-0.014322	-0.1215	0.451807
26	-0.101175	-0.8585	0.196733
27	-0.103866	-0.8813	0.190535
28	-0.117025	-0.993	0.16202
29	-0.054236	-0.4602	0.323376
30	0.147321	1.2501	0.107662
31	-0.029091	-0.2468	0.402864
32	-0.120015	-1.0184	0.155959
33	-0.070481	-0.598	0.275842
34	-0.113696	-0.9647	0.168951
35	-0.051909	-0.4405	0.330461
36	0.432061	3.6662	0.000234
37	-0.032279	-0.2739	0.392473
38	-0.096462	-0.8185	0.207885
39	-0.099855	-0.8473	0.199819
40	-0.097489	-0.8272	0.205421
41	-0.05897	-0.5004	0.309169
42	0.070812	0.6009	0.274911
43	-0.03227	-0.2738	0.392503
44	-0.101721	-0.8631	0.195466
45	-0.065795	-0.5583	0.289189
46	-0.107281	-0.9103	0.182848
47	-0.065829	-0.5586	0.289092
48	0.236806	2.0094	0.024124

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.063576	0.5395	0.295616
2	-0.059667	-0.5063	0.3071
3	-0.037611	-0.3191	0.375274
4	-0.076966	-0.6531	0.257893
5	0.038302	0.325	0.373062
6	0.306217	2.5983	0.005677
7	-0.017137	-0.1454	0.442396
8	-0.089691	-0.761	0.224556
9	-0.023399	-0.1985	0.421588
10	-0.065933	-0.5595	0.288791
11	-0.016094	-0.1366	0.445879
12	0.778753	6.6079	0
13	-0.237751	-2.0174	0.023692
14	-0.094468	-0.8016	0.212713
15	-0.047846	-0.406	0.342978
16	-0.058207	-0.4939	0.31144
17	-0.076108	-0.6458	0.260233
18	-0.174304	-1.479	0.071749
19	0.06064	0.5145	0.304223
20	0.070329	0.5968	0.276268
21	-0.047789	-0.4055	0.343154
22	0.078494	0.666	0.253756
23	0.026713	0.2267	0.410663
24	-0.024615	-0.2089	0.41757
25	-0.012251	-0.104	0.458746
26	-0.050333	-0.4271	0.335293
27	-0.024272	-0.206	0.418705
28	-0.053396	-0.4531	0.325925
29	-0.068559	-0.5817	0.28128
30	-0.013675	-0.116	0.453974
31	-0.028518	-0.242	0.404741
32	-0.006672	-0.0566	0.477506
33	0.052215	0.4431	0.329525
34	-0.021586	-0.1832	0.427592
35	0.009997	0.0848	0.466317
36	-0.240777	-2.0431	0.022354
37	0.069647	0.591	0.278194
38	0.041159	0.3492	0.363964
39	-0.029566	-0.2509	0.401313
40	0.061457	0.5215	0.301817
41	0.031152	0.2643	0.396138
42	-0.045791	-0.3885	0.349379
43	0.009637	0.0818	0.467526
44	-0.040983	-0.3478	0.364521
45	-0.027482	-0.2332	0.408138
46	-0.079375	-0.6735	0.251388
47	-0.075693	-0.6423	0.261366
48	-0.111246	-0.944	0.174174

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/20/t1290268304yygfn0yialxmz4v/1sjyn1290268356.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/20/t1290268304yygfn0yialxmz4v/1sjyn1290268356.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/20/t1290268304yygfn0yialxmz4v/2sjyn1290268356.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/20/t1290268304yygfn0yialxmz4v/2sjyn1290268356.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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