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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, 03 Dec 2007 07:07:34 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2007/Dec/03/t11966903469lo9bvksq8yxb7e.htm/, Retrieved Mon, 03 Dec 2007 14:59:06 +0100

User-defined keywords:

Dataseries X:

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10,31 11,17 12,42 13,24 14,19 14,04 14,47 15,5 15,73 16,39 15,54 14,76 14,89 14,37 15,33 15,75 15,68 16,24 17,27 17,95 18,26 18,74 18,73 19,53 19,87 19,95 20,24 21,42 22,34 22,33 22,87 22,18 21,23 21,58 21,6 21,54 23,19 24,01 24,51 24,16 24,65 24,51 24,32 23,19 23,45 25,15 25,54 25,55 26,04 26,49 25,94 26,31 28,39 26,97 25,28 24,73 23,75 22,1 22,79 23,63 24,54 26,42 27,64 27,67 27,9 28,07 29,34 28,49 29,11 28,52 28,01 27,24 25,22 25 26,47 27,67 28,4 31,66 30,47 31,67 28,96 28,75 30,54 30,03 30,66 29,51 30,11 30,98 30,28 29,5 25,24 23,01 21,82 20,89 21,87 23,01 23,37 24,63 24,33 26,92 25,79 24,78 23,81 24,65 23,69 23,17 23,38 23,48 24,63 25,44 25,02 25,88 25,79 25,89 26,87 27,1 26,8 26,48 24,92 24,34 23,62 23,8 22,83 23,42 23,71 24,47 24,93 24,25 24,89 25,02 25,02 25,31 21,47 20,39 19,92 19,29 19,21 18,62 17,87 17,68 16,51 17,29 17,82 16,91 17,58 18,57 18,94 19,71 18 17,56 18,18 18,51 19,19 18,74 19,11 20,4 21,92 22,88 23,38 25,09 23,88 22,84 24,18 24,66 24,13 24,89 23,8 22,99 22,47 22,08 23,22 23,68 23,65 24,01 24,86 24,2 24,11 23,91 24,86 26 25,83 25,85 26,92 26,75 27,55 27,5 26,89 26,93 25,69 24,28 23,02 21,94 22,5 23,32 24,15 24,84 27 28,5 28,47 28,22 29,05 29,35 29,18 29,61 30,86 30,92 31,43 31,44 31,33 26,92 24,21 24,94 23,24 23,23 23,55 21,65 21,85 23,51 24,04 24,2 25,04 25,51 24,58 25,04 26,13 26,47 27,25 26,64 26,54 28,18 28,23 27,62 28,26 27,15 25,98 24,98 24,88 26,37 27,75 29,48 27,78 27,14 26,61 27,81 28,49 27,6 27,35 28,21 28,97 28,32 28,22 29,2 29,97 29,52 28,84 27,43 27,45 28,8 29,21 30,54 30,92 31,26 31,28 30,02 30,14 31,33 31,42 31,91 33,72 34,99 35,98 35,28 35,09 33,08 32,9 33,05 32,02 34,36 34,99 35,74 36,6 37,64 38,58 40,49 39,67 37,63 37,58 37,78 39,85 41,19 42,2 44,03 44,08 44,72 40,99 38,7 36,18 38,26 37,23 32,75 33,76 36,3 33,29 35,21 38,3 39,7 41,89 40,55 39,59 41,4 44,04 45,15 47,23 48,69 49,6 48,06 50,95 47,2 46,93 48,58 45,8 45,64 43,53 44,25 47,29 49,05 50,16 53,08 53,52 54,35 54,49 52,62 53,59 55,51 58,07 59,61 59,95 62,36 60,22 58,1 59,63 58,83 56,35 54,62 54,04 53,45 53,62 52,73 50,24 50,29 50,28 52,94 54,76 52,64 52,22 56,18 57,89 59,34 60,9 60,65 58,26 55,78 55,76 57,51 57,54 57,75 57,89 59,91 62,17 63,68 66,99 67,59 67,53 66,03 64,63 64,12 65,11 64,81 63,33 63 65,7 68,32 69,12 70,26 68,71 70,23 72,1 68,67 67,48 65,87 63,38 59,77 57,55 56,07 55,73 55,22 55,63 55,45 55 55,8 56 54,73 57,27 59,41 58,1 58,46 57,33 55,06 50,75 48,39 50,17 51,81 54,19 53,74 54,4 57,98 58,3 57,94 57,73 61,7 64,73 64,52 63,99 64,35 64,42 62,55 64,9 67,39 65,88 66,99 66,63 68,51 68,02 70,15 73,73 74,5 73,74 73,83 69,98 68,5 67,52 68,83 71,76 73,84 75,54 76,52 76,18 76,22 80,58 81,62 86,47 86,47

Text written by user:

Output produced by software:

Summary of compuational transaction Raw Input view raw input (R code) Raw Output view raw output of R engine Computing time 3 seconds R Server 'Herman Ole Andreas Wold' @ 193.190.124.10:1001 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 0 1 20.9523 0 1 0.251247 5.2642 0 2 0.047698 0.9994 0.159078 3 0.078292 1.6404 0.05082 4 -0.062647 -1.3126 0.904998 5 -0.002833 -0.0593 0.52365 6 -0.073057 -1.5307 0.936721 7 -0.043799 -0.9177 0.82036 8 0.035275 0.7391 0.23012 9 -0.134997 -2.8285 0.997555 10 -0.100243 -2.1003 0.981865 11 -0.199157 -4.1728 0.999982 12 -0.492534 -10.3197 1 13 -0.024107 -0.5051 0.693128 14 0.03708 0.7769 0.218812 15 0.040326 0.8449 0.199304 16 0.073324 1.5363 0.062592 17 0.025533 0.535 0.296471 18 0.076615 1.6053 0.054578 19 -0.041552 -0.8706 0.807777 20 -0.042828 -0.8973 0.814987 21 0.10831 2.2694 0.011866 22 0.093288 1.9546 0.025632 23 0.077431 1.6224 0.052722 24 0.021564 0.4518 0.325816 25 -0.071812 -1.5046 0.933431 26 0.005307 0.1112 0.45576 27 -0.08028 -1.682 0.953365 28 -0.061991 -1.2988 0.902661 29 0.012145 0.2545 0.39963 30 0.055511 1.1631 0.122714 31 0.103199 2.1623 0.015569 32 -0.000618 -0.0129 0.505163 33 -0.094767 -1.9856 0.97615 34 -0.107878 -2.2603 0.987854 35 -0.097267 -2.038 0.978924 36 -0.079211 -1.6596 0.95115 37 -0.057134 -1.1971 0.88404 38 -0.078149 -1.6374 0.948868 39 -0.011558 -0.2422 0.595615 40 0.032279 0.6763 0.249594 41 0.005318 0.1114 0.455663 42 -0.069352 -1.4531 0.926542 43 0.040155 0.8413 0.200309 44 0.128884 2.7004 0.003597 45 0.140854 2.9512 0.001667 46 0.155576 3.2597 0.000601 47 0.126203 2.6442 0.00424 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 0 0.251247 5.2642 0 1 -0.016466 -0.345 0.634869 2 0.075001 1.5714 0.0584 3 -0.107245 -2.247 0.987433 4 0.042243 0.8851 0.188299 5 -0.095929 -2.0099 0.977476 6 0.014954 0.3133 0.377096 7 0.034453 0.7219 0.235379 8 -0.14978 -3.1382 0.999093 9 -0.039555 -0.8288 0.796155 10 -0.194478 -4.0748 0.999973 11 -0.429236 -8.9935 1 12 0.212068 4.4433 6e-06 13 0.006488 0.1359 0.445969 14 0.07209 1.5105 0.065823 15 -0.048864 -1.0238 0.846758 16 0.020914 0.4382 0.330729 17 -0.039562 -0.8289 0.796199 18 -0.082297 -1.7243 0.957322 19 0.013851 0.2902 0.385897 20 -0.001536 -0.0322 0.512834 21 0.047234 0.9897 0.161444 22 -0.088427 -1.8527 0.967705 23 -0.250344 -5.2453 1 24 0.09426 1.975 0.024449 25 0.067654 1.4175 0.078521 26 -0.027274 -0.5715 0.716011 27 -0.04349 -0.9112 0.818661 28 0.030072 0.6301 0.264488 29 0.088929 1.8633 0.031545 30 -0.018611 -0.3899 0.651618 31 -0.029829 -0.625 0.73385 32 -0.067923 -1.4231 0.922297 33 -0.067163 -1.4072 0.919965 34 -0.101142 -2.1192 0.982681 35 -0.257004 -5.3848 1 36 0.001546 0.0324 0.487088 37 -0.019971 -0.4184 0.662083 38 -0.080548 -1.6877 0.953906 39 0.02364 0.4953 0.310314 40 0.046466 0.9736 0.165402 41 -0.004003 -0.0839 0.533403 42 0.088832 1.8612 0.03169 43 0.032963 0.6907 0.245074 44 0.045247 0.948 0.171819 45 0.042516 0.8908 0.18676 46 -0.014292 -0.2994 0.61763 47 -0.094746 -1.9851 0.976125

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/03/t11966903469lo9bvksq8yxb7e/1gncy1196690849.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/03/t11966903469lo9bvksq8yxb7e/1gncy1196690849.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/03/t11966903469lo9bvksq8yxb7e/20dnc1196690849.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/03/t11966903469lo9bvksq8yxb7e/20dnc1196690849.ps (open in new window)

Parameters:

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

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 (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='lags',ylab='ACF') 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 1:par1) { 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(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-1,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(mytstat,lengthx),6)) a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable1.tab')

Copyright

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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