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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, 04 Dec 2007 07:45:38 -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/04/t1196778810wls8amb4um0cycf.htm/, Retrieved Tue, 04 Dec 2007 15:33:33 +0100

User-defined keywords:

Dataseries X:

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112.6 113.8 107.8 103.2 103.3 101.2 107.7 110.4 101.9 115.9 89.9 88.6 117.2 123.9 100 103.6 94.1 98.7 119.5 112.7 104.4 124.7 89.1 97 121.6 118.8 114 111.5 97.2 102.5 113.4 109.8 104.9 126.1 80 96.8 117.2 112.3 117.3 111.1 102.2 104.3 122.9 107.6 121.3 131.5 89 104.4 128.9 135.9 133.3 121.3 120.5 120.4 137.9 126.1 133.2 146.6 103.4 117.2

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 2 seconds R Server 'Gwilym Jenkins' @ 72.249.127.135 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 0 1 7.3485 0 1 -0.126654 -0.9307 0.821928 2 -0.239492 -1.7599 0.957955 3 0.085203 0.6261 0.266941 4 0.379106 2.7859 0.003675 5 0.243061 1.7861 0.039847 6 -0.673287 -4.9476 0.999996 7 0.171904 1.2632 0.105967 8 0.258466 1.8993 0.031434 9 0.034892 0.2564 0.399308 10 -0.303911 -2.2333 0.985152 11 -0.151322 -1.112 0.864464 12 0.530581 3.899 0.000135 13 -0.184332 -1.3546 0.909401 14 -0.174882 -1.2851 0.897881 15 -0.072098 -0.5298 0.700793 16 0.216046 1.5876 0.059107 17 0.067736 0.4978 0.310337 18 -0.491404 -3.6111 0.999666 19 0.131349 0.9652 0.169369 20 0.106937 0.7858 0.217703 21 0.013524 0.0994 0.460602 22 -0.253253 -1.861 0.965906 23 -0.051468 -0.3782 0.646622 24 0.392383 2.8834 0.002819 25 -0.136046 -0.9997 0.83905 26 -0.109786 -0.8068 0.788327 27 0.012297 0.0904 0.464166 28 0.236642 1.739 0.04387 29 0.049884 0.3666 0.357685 30 -0.314244 -2.3092 0.987607 31 0.129512 0.9517 0.172741 32 0.131083 0.9633 0.169855 33 -0.017304 -0.1272 0.550357 34 -0.216673 -1.5922 0.941413 35 -0.039664 -0.2915 0.614094 36 0.239292 1.7584 0.04217 37 -0.06912 -0.5079 0.693213 38 -0.179788 -1.3212 0.903991 39 -0.032113 -0.236 0.592829 40 0.150542 1.1063 0.13676 41 -0.026444 -0.1943 0.576674 42 -0.199813 -1.4683 0.926091 43 -0.011492 -0.0845 0.533495 44 0.049512 0.3638 0.3587 45 0.01011 0.0743 0.470527 46 -0.126613 -0.9304 0.82185 47 -0.022743 -0.1671 0.566053 48 0.08629 0.6341 0.264347 49 -0.026561 -0.1952 0.577009 50 -0.001611 -0.0118 0.504701 51 -0.001382 -0.0102 0.504032 52 0.022054 0.1621 0.435931 53 0.00509 0.0374 0.48515 54 NA NA NA 55 NA NA NA 56 NA NA NA 57 NA NA NA 58 NA NA NA 59 NA NA NA Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 0 -0.126654 -0.9307 0.821928 1 -0.259699 -1.9084 0.969169 2 0.015367 0.1129 0.455254 3 0.362661 2.665 0.005066 4 0.478508 3.5163 0.000448 5 -0.591963 -4.35 0.99997 6 -0.009371 -0.0689 0.527324 7 -0.093131 -0.6844 0.751665 8 0.157309 1.156 0.126389 9 0.04825 0.3546 0.362149 10 0.157562 1.1578 0.126013 11 -0.01099 -0.0808 0.532034 12 -0.196536 -1.4442 0.922775 13 -0.036634 -0.2692 0.6056 14 -0.064343 -0.4728 0.680876 15 -0.048619 -0.3573 0.638861 16 -0.024539 -0.1803 0.571213 17 -0.12816 -0.9418 0.82475 18 -0.046667 -0.3429 0.63351 19 0.085556 0.6287 0.266096 20 0.076834 0.5646 0.287338 21 0.000152 0.0011 0.499556 22 0.033547 0.2465 0.403108 23 0.008053 0.0592 0.476516 24 0.00246 0.0181 0.492822 25 -0.004507 -0.0331 0.51315 26 0.11299 0.8303 0.205012 27 -0.048067 -0.3532 0.63735 28 0.035459 0.2606 0.397708 29 -0.040053 -0.2943 0.615181 30 -0.050617 -0.372 0.64431 31 -0.013834 -0.1017 0.540299 32 -0.043516 -0.3198 0.624815 33 -0.080279 -0.5899 0.721151 34 -0.081978 -0.6024 0.72529 35 -0.06399 -0.4702 0.679958 36 0.161916 1.1898 0.119658 37 -0.05382 -0.3955 0.652982 38 -0.027359 -0.201 0.57929 39 -0.161961 -1.1902 0.880406 40 -0.15806 -1.1615 0.874726 41 0.085781 0.6304 0.26556 42 0.150833 1.1084 0.136302 43 -0.104567 -0.7684 0.777204 44 0.013951 0.1025 0.459364 45 -0.003453 -0.0254 0.510075 46 0.041291 0.3034 0.381365 47 -0.003564 -0.0262 0.510398 48 -0.012521 -0.092 0.536486 49 -0.013205 -0.097 0.538473 50 -0.054539 -0.4008 0.654919 51 -0.075674 -0.5561 0.709775 52 0.004882 0.0359 0.485757 53 NA NA NA 54 NA NA NA 55 NA NA NA 56 NA NA NA 57 NA NA NA 58 NA NA NA 59 NA NA NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/04/t1196778810wls8amb4um0cycf/1fp8t1196779536.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/04/t1196778810wls8amb4um0cycf/1fp8t1196779536.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/04/t1196778810wls8amb4um0cycf/2cy2o1196779536.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/04/t1196778810wls8amb4um0cycf/2cy2o1196779536.ps (open in new window)

Parameters:

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 6 ;

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')

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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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