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workshop 5

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 06 Dec 2007 06:43:04 -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/06/t1196947936tr0npjozpkgftu7.htm/, Retrieved Thu, 06 Dec 2007 14:32:18 +0100

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

2.4 -0.9 -2.0 6.0 -2.8 -0.2 8.2 1.6 0.3 7.5 2.7 7.3 6.7 0.5 6.2 4.6 2.4 0.5 -4.9 -1.6 0.5 3.2 -6.5 -1.8 -1.2 -3.7 5.6 2.0 4.4 5.8 10.1 0.7 12.7 1.6 5.8 6.0 2.1 11.1 2.8 -0.6 6.5 3.8 3.3 5.9 -0.3 3.0 6.8 3.4 -3.0

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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
0	1	6.0828	0
1	0.232405	1.4137	0.082909
2	0.391585	2.3819	0.011239
3	0.328919	2.0007	0.026399
4	0.137607	0.837	0.203975
5	0.115017	0.6996	0.24427
6	0.045495	0.2767	0.391761
7	-0.219014	-1.3322	0.904531
8	-0.239125	-1.4545	0.922886
9	-0.21982	-1.3371	0.905325
10	-0.406818	-2.4746	0.990976
11	-0.273722	-1.665	0.947819
12	-0.454395	-2.764	0.995576
13	-0.23437	-1.4256	0.918819
14	-0.273877	-1.6659	0.947914
15	-0.085886	-0.5224	0.697755
16	-0.061068	-0.3715	0.643794
17	-0.014105	-0.0858	0.533955
18	0.057338	0.3488	0.364617
19	-0.054463	-0.3313	0.628851
20	0.194287	1.1818	0.122412
21	0.162909	0.9909	0.164077
22	0.075623	0.46	0.324106
23	0.16738	1.0181	0.157613
24	0.091149	0.5544	0.291308
25	0.041708	0.2537	0.400565
26	0.121995	0.7421	0.231365
27	0.00705	0.0429	0.483013
28	-0.070866	-0.4311	0.665538
29	0.063053	0.3835	0.351759
30	-0.031626	-0.1924	0.575748
31	-0.002295	-0.014	0.505533
32	-0.039331	-0.2392	0.59388
33	-0.005072	-0.0309	0.512223
34	-0.025084	-0.1526	0.560221
35	-0.010092	-0.0614	0.524311
36	-0.01249	-0.076	0.530075
37	NA	NA	NA
38	NA	NA	NA
39	NA	NA	NA
40	NA	NA	NA
41	NA	NA	NA
42	NA	NA	NA
43	NA	NA	NA
44	NA	NA	NA
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
0	0.232405	1.4137	0.082909
1	0.356847	2.1706	0.018225
2	0.227073	1.3812	0.087746
3	-0.081898	-0.4982	0.689343
4	-0.107944	-0.6566	0.742248
5	-0.065682	-0.3995	0.654099
6	-0.30463	-1.853	0.964064
7	-0.281535	-1.7125	0.952414
8	-0.038918	-0.2367	0.592914
9	-0.14218	-0.8648	0.803652
10	-0.022317	-0.1358	0.553623
11	-0.224058	-1.3629	0.909422
12	0.09174	0.558	0.290092
13	-0.013481	-0.082	0.532457
14	0.123027	0.7483	0.229492
15	0.065615	0.3991	0.346049
16	-0.046041	-0.2801	0.609504
17	-0.095627	-0.5817	0.717844
18	-0.426195	-2.5924	0.993217
19	-0.080022	-0.4868	0.685347
20	0.093939	0.5714	0.285589
21	-0.118059	-0.7181	0.761406
22	0.051015	0.3103	0.379034
23	-0.060754	-0.3696	0.643089
24	0.041762	0.254	0.400441
25	-0.084898	-0.5164	0.695681
26	-0.005544	-0.0337	0.513361
27	-0.043299	-0.2634	0.603139
28	-0.06308	-0.3837	0.648302
29	-0.013696	-0.0833	0.532972
30	-0.169403	-1.0304	0.845253
31	-0.098559	-0.5995	0.723757
32	0.044662	0.2717	0.393693
33	0.029963	0.1823	0.428189
34	0.053343	0.3245	0.373705
35	-0.13894	-0.8451	0.798268
36	NA	NA	NA
37	NA	NA	NA
38	NA	NA	NA
39	NA	NA	NA
40	NA	NA	NA
41	NA	NA	NA
42	NA	NA	NA
43	NA	NA	NA
44	NA	NA	NA
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/06/t1196947936tr0npjozpkgftu7/1eir21196948582.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/06/t1196947936tr0npjozpkgftu7/1eir21196948582.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/06/t1196947936tr0npjozpkgftu7/2a8x71196948582.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/06/t1196947936tr0npjozpkgftu7/2a8x71196948582.ps (open in new window)

Parameters:

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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')

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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