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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: Wed, 03 Dec 2008 10:53:13 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/03/t1228326899jhwt6tw9vxyuaua.htm/, Retrieved Wed, 03 Dec 2008 17:55:01 +0000

BibTeX entries for LaTeX users:

@Manual{KEY, author = {{YOUR NAME}}, publisher = {Office for Research Development and Education}, title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2008/Dec/03/t1228326899jhwt6tw9vxyuaua.htm/}, year = {2008}, } @Manual{R, title = {R: A Language and Environment for Statistical Computing}, author = {{R Development Core Team}}, organization = {R Foundation for Statistical Computing}, address = {Vienna, Austria}, year = {2008}, note = {{ISBN} 3-900051-07-0}, url = {http://www.R-project.org}, }

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc]  [reply]  test Post a new message

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

98,4 99,4 108,8 112,6 104,4 112,2 81,1 97,1 112,6 113,8 107,8 103,2 103,3 101,2 107,7 110,4 101,9 115,9 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 89 104,4 128,9 135,9 133,3 121,3 120,5 120,4 137,9 126,1 133,2 151,1 105 119 140,4 156,6 137,1 122,7 125,8

Output produced by software:

Summary of computational 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 1 0.406368 3.472 0.000436 2 0.160308 1.3697 0.087494 3 0.283348 2.4209 0.008984 4 0.229105 1.9575 0.027057 5 0.382794 3.2706 0.00082 6 0.534364 4.5656 1e-05 7 0.331367 2.8312 0.002994 8 0.147129 1.2571 0.106368 9 0.157272 1.3437 0.091598 10 -0.018284 -0.1562 0.438145 11 0.174853 1.4939 0.06975 12 0.576433 4.925 3e-06 13 0.12729 1.0876 0.140182 14 -0.062035 -0.53 0.298852 15 -0.017835 -0.1524 0.439651 16 -0.054803 -0.4682 0.320506 17 0.094127 0.8042 0.211939 18 0.230921 1.973 0.026142 19 0.067846 0.5797 0.281958 20 -0.068117 -0.582 0.281182 21 -0.062487 -0.5339 0.297519 22 -0.190749 -1.6298 0.05373 23 -0.001722 -0.0147 0.494151 24 0.29227 2.4972 0.007387 25 -0.039319 -0.3359 0.36894 26 -0.122346 -1.0453 0.149661 27 -0.130172 -1.1122 0.134852 28 -0.149159 -1.2744 0.103279 29 -0.005145 -0.044 0.482529 30 0.099369 0.849 0.199326 31 0.013295 0.1136 0.454935 32 -0.063357 -0.5413 0.294968 33 -0.107076 -0.9149 0.181639 34 -0.205578 -1.7565 0.041602 35 -0.031983 -0.2733 0.392713 36 0.191132 1.633 0.053384 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.406368 3.472 0.000436 2 -0.005782 -0.0494 0.480368 3 0.263736 2.2534 0.01362 4 0.030765 0.2629 0.396702 5 0.346761 2.9627 0.002057 6 0.32843 2.8061 0.003212 7 0.072805 0.622 0.267925 8 -0.080212 -0.6853 0.247651 9 -0.072517 -0.6196 0.268729 10 -0.39843 -3.4042 0.000541 11 -0.002363 -0.0202 0.491975 12 0.452902 3.8696 0.000117 13 -0.299046 -2.5551 0.00635 14 -0.051674 -0.4415 0.330076 15 -0.161244 -1.3777 0.086257 16 0.026415 0.2257 0.411038 17 -0.026684 -0.228 0.410148 18 0.01197 0.1023 0.459411 19 0.046834 0.4001 0.345109 20 0.042421 0.3624 0.359035 21 0.001267 0.0108 0.495695 22 0.048097 0.4109 0.341161 23 -0.00533 -0.0455 0.481899 24 -0.009512 -0.0813 0.467724 25 -0.093955 -0.8027 0.212363 26 0.084486 0.7219 0.236346 27 -0.078384 -0.6697 0.252578 28 0.017275 0.1476 0.441533 29 -0.054889 -0.469 0.320243 30 -0.033833 -0.2891 0.386674 31 0.080739 0.6898 0.246244 32 0.066884 0.5715 0.284724 33 -0.047345 -0.4045 0.343509 34 0.002626 0.0224 0.491079 35 -0.06823 -0.583 0.280859 36 0.051753 0.4422 0.329833

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228326899jhwt6tw9vxyuaua/115hf1228326791.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228326899jhwt6tw9vxyuaua/115hf1228326791.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228326899jhwt6tw9vxyuaua/210hn1228326791.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228326899jhwt6tw9vxyuaua/210hn1228326791.ps (open in new window)

Parameters (Session):

par1 = -0.4 ; par2 = 0 ; par3 = 1 ; par4 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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 2:(par1+1)) { 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(abs(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,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(abs(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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