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Q2_T2

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 29 Nov 2007 08:50:27 -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/Nov/29/t1196350794rytaq2px4trrcfy.htm/, Retrieved Thu, 29 Nov 2007 16:39:54 +0100

User-defined keywords:

Dataseries X:

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5,35 5,3 5,05 4,94 4,94 4,84 5 5,2 5,14 5,16 4,96 4,97 4,76 4,61 4,85 4,94 5 5,24 5,24 5,25 5,11 4,96 4,68 4,49 4,58 4,58 4,41 4,23 4,01 4,09 4,23 3,91 3,7 4 4,16 4,23 4,29 4,41 4,34 4,2 4,15 3,99 4,19 4,33 4,39 4,28 4,12 4,09 3,97 3,85 3,64 3,58 3,59 3,76 3,55 3,37 3,2 3,26 3,3 3,13 3,29 3,49 3,38 3,34 3,5 3,68 3,94 4,01 4,01 4,03 3,9 3,77 3,81 3,74 3,8 4,06 4,1 3,99 4,2 4,33 4,61 4,59 4,39 4,35 4,4

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 2 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 9.1652 0 1 0.269211 2.4674 0.007821 2 -0.113826 -1.0432 0.850083 3 -0.010162 -0.0931 0.53699 4 -0.03713 -0.3403 0.632761 5 -0.022831 -0.2092 0.582619 6 -0.105648 -0.9683 0.832158 7 -0.10977 -1.0061 0.841362 8 0.083777 0.7678 0.222372 9 0.14307 1.3113 0.096672 10 0.089875 0.8237 0.206217 11 -0.067853 -0.6219 0.732147 12 -0.170393 -1.5617 0.938938 13 -0.045209 -0.4143 0.660162 14 -0.023854 -0.2186 0.586263 15 -0.067477 -0.6184 0.73102 16 -0.106671 -0.9777 0.834475 17 -0.059819 -0.5483 0.707514 18 0.174542 1.5997 0.056709 19 0.15852 1.4529 0.074994 20 -0.014793 -0.1356 0.553761 21 -0.158305 -1.4509 0.924732 22 -0.041415 -0.3796 0.647391 23 0.161512 1.4803 0.07127 24 0.003419 0.0313 0.487537 25 -0.108505 -0.9945 0.838573 26 0.015406 0.1412 0.444026 27 0.170763 1.5651 0.060663 28 0.161251 1.4779 0.071588 29 -0.008893 -0.0815 0.532383 30 -0.067646 -0.62 0.731526 31 0.019344 0.1773 0.429855 32 -0.018122 -0.1661 0.565757 33 -0.030509 -0.2796 0.60977 34 -0.120201 -1.1017 0.863122 35 -0.064698 -0.593 0.7226 36 0.142522 1.3062 0.097519 37 0.016004 0.1467 0.441867 38 -0.051041 -0.4678 0.679429 39 -0.097456 -0.8932 0.812849 40 -0.1359 -1.2455 0.891802 41 -0.048519 -0.4447 0.671156 42 0.034627 0.3174 0.37588 43 -0.005386 -0.0494 0.519625 44 -0.009737 -0.0892 0.535449 45 0.037871 0.3471 0.364695 46 0.103731 0.9507 0.172239 47 0.016089 0.1475 0.441562 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 0 0.269211 2.4674 0.007821 1 -0.200858 -1.8409 0.965416 2 0.090674 0.831 0.204153 3 -0.095459 -0.8749 0.807937 4 0.031253 0.2864 0.387623 5 -0.144507 -1.3244 0.905524 6 -0.030147 -0.2763 0.608503 7 0.100566 0.9217 0.179662 8 0.075057 0.6879 0.246703 9 0.057409 0.5262 0.300081 10 -0.112432 -1.0305 0.847123 11 -0.117653 -1.0783 0.858008 12 0.004199 0.0385 0.484695 13 -0.040981 -0.3756 0.645918 14 -0.01075 -0.0985 0.539124 15 -0.101497 -0.9302 0.822543 16 -0.033875 -0.3105 0.621514 17 0.140289 1.2858 0.101029 18 0.031851 0.2919 0.385535 19 0.00234 0.0214 0.491469 20 -0.160185 -1.4681 0.927097 21 0.063645 0.5833 0.280622 22 0.126459 1.159 0.124867 23 -0.057267 -0.5249 0.699469 24 -0.010589 -0.097 0.538541 25 0.005899 0.0541 0.478506 26 0.126298 1.1575 0.125166 27 0.022527 0.2065 0.418463 28 -0.016035 -0.147 0.558243 29 0.034947 0.3203 0.374769 30 0.027253 0.2498 0.401685 31 -0.064981 -0.5956 0.723465 32 -0.010273 -0.0942 0.537396 33 -0.085014 -0.7792 0.780965 34 0.077271 0.7082 0.24039 35 0.06651 0.6096 0.271896 36 -0.143058 -1.3111 0.903309 37 -0.008501 -0.0779 0.530957 38 -0.052766 -0.4836 0.68504 39 -0.014821 -0.1358 0.553861 40 -0.102887 -0.943 0.8258 41 0.064889 0.5947 0.276815 42 0.032191 0.295 0.384348 43 0.037709 0.3456 0.365249 44 -0.050705 -0.4647 0.678333 45 -0.029528 -0.2706 0.606329 46 0.003935 0.0361 0.48566 47 0.017652 0.1618 0.435933

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t1196350794rytaq2px4trrcfy/1z0cb1196351420.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t1196350794rytaq2px4trrcfy/1z0cb1196351420.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t1196350794rytaq2px4trrcfy/2hhxe1196351420.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t1196350794rytaq2px4trrcfy/2hhxe1196351420.ps (open in new window)

Parameters:

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; 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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