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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: Thu, 13 Dec 2007 06:48:47 -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/13/t1197552793g24obcub96vkjuj.htm/, Retrieved Thu, 13 Dec 2007 14:33:15 +0100

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

-3,8 -1,9 14,2 0 2,1 14,9 18,2 7,2 1 6,8 24,9 10,3 1,7 8,6 8,2 6 7 3,5 -1,5 1 14,6 -8,6 -8,9 2,5 1,7 24,7 15,2 15,5 8,9 16,3 5,7 23,9 14,6 12,7 10,6 9,7 24,8 4,5 13,1 22,4 15,6 20,4 19,1 11,8 7,3 29,7 13,4

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	5.9161	0
1	0.211939	1.2538	0.109104
2	0.027566	0.1631	0.435695
3	0.089562	0.5299	0.299778
4	0.131406	0.7774	0.221071
5	0.183223	1.084	0.142897
6	0.073376	0.4341	0.333442
7	-0.07737	-0.4577	0.675011
8	-0.165828	-0.9811	0.83335
9	-0.087841	-0.5197	0.69672
10	-0.1797	-1.0631	0.852496
11	-0.085203	-0.5041	0.691315
12	-0.284087	-1.6807	0.949135
13	-0.186856	-1.1055	0.861748
14	-0.08466	-0.5009	0.690196
15	0.019705	0.1166	0.453932
16	0.049483	0.2927	0.385722
17	-0.162811	-0.9632	0.828973
18	-0.082299	-0.4869	0.685313
19	-0.002324	-0.0137	0.505445
20	0.076229	0.451	0.327394
21	0.090168	0.5334	0.298549
22	0.044607	0.2639	0.396702
23	-0.053113	-0.3142	0.622391
24	-0.092899	-0.5496	0.706957
25	0.052186	0.3087	0.379676
26	0.054438	0.3221	0.374661
27	-0.024369	-0.1442	0.556903
28	-0.058154	-0.344	0.633565
29	0.036201	0.2142	0.415828
30	0.008169	0.0483	0.480865
31	-0.041155	-0.2435	0.595471
32	0.013904	0.0823	0.467456
33	0.006506	0.0385	0.484758
34	1e-06	0	0.499997
35	NA	NA	NA
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

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
0	0.211939	1.2538	0.109104
1	-0.018168	-0.1075	0.542491
2	0.091608	0.542	0.29564
3	0.098823	0.5846	0.281269
4	0.145089	0.8584	0.198268
5	0.004667	0.0276	0.489065
6	-0.113667	-0.6725	0.747147
7	-0.180079	-1.0654	0.852996
8	-0.076814	-0.4544	0.67384
9	-0.200847	-1.1882	0.878627
10	0.003073	0.0182	0.4928
11	-0.242793	-1.4364	0.920114
12	0.000755	0.0045	0.49823
13	0.001737	0.0103	0.495929
14	0.155677	0.921	0.181679
15	0.12256	0.7251	0.236612
16	-0.114888	-0.6797	0.749413
17	-0.046326	-0.2741	0.607179
18	-0.088419	-0.5231	0.697897
19	-0.086269	-0.5104	0.693503
20	0.004718	0.0279	0.488945
21	-0.043963	-0.2601	0.60184
22	-0.031827	-0.1883	0.574131
23	-0.161992	-0.9584	0.827772
24	0.039114	0.2314	0.409175
25	0.020757	0.1228	0.451485
26	-0.03502	-0.2072	0.581465
27	0.037877	0.2241	0.411999
28	0.040929	0.2421	0.405043
29	-0.042905	-0.2538	0.599445
30	-0.110608	-0.6544	0.741423
31	0.002467	0.0146	0.494219
32	0.03631	0.2148	0.41558
33	-0.073816	-0.4367	0.667495
34	NA	NA	NA
35	NA	NA	NA
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/13/t1197552793g24obcub96vkjuj/1on4i1197553725.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/13/t1197552793g24obcub96vkjuj/1on4i1197553725.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/13/t1197552793g24obcub96vkjuj/2oo8c1197553725.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/13/t1197552793g24obcub96vkjuj/2oo8c1197553725.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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