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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: Sat, 06 Dec 2008 04:30:49 -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/06/t1228563097giswiravuu78jpy.htm/, Retrieved Sat, 06 Dec 2008 11:31:38 +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/06/t1228563097giswiravuu78jpy.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 «

118.4 121.4 128.8 131.7 141.7 142.9 139.4 134.7 125.0 113.6 111.5 108.5 112.3 116.6 115.5 120.1 132.9 128.1 129.3 132.5 131.0 124.9 120.8 122.0 122.1 127.4 135.2 137.3 135.0 136.0 138.4 134.7 138.4 133.9 133.6 141.2 151.8 155.4 156.6 161.6 160.7 156.0 159.5 168.7 169.9 169.9 185.9 190.8 195.8 211.9 227.1 251.3 256.7 251.9 251.2 270.3 267.2 243.0 229.9 187.2

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.279658	-2.1298	0.018721
2	-0.19795	-1.5075	0.06855
3	0.263854	2.0095	0.024575
4	-0.041455	-0.3157	0.376677
5	-0.239661	-1.8252	0.036561
6	0.080889	0.616	0.270143
7	-0.000541	-0.0041	0.498364
8	-0.054052	-0.4116	0.341058
9	0.002158	0.0164	0.493471
10	0.018091	0.1378	0.445448
11	0.036343	0.2768	0.391468
12	0.065679	0.5002	0.309414
13	-0.042037	-0.3201	0.375005
14	0.1591	1.2117	0.115277
15	-0.236572	-1.8017	0.038397
16	0.130297	0.9923	0.162584
17	-0.040122	-0.3056	0.380518
18	-0.228651	-1.7414	0.043462
19	0.123184	0.9381	0.176031
20	0.14679	1.1179	0.134106
21	-0.083911	-0.639	0.262653
22	-0.048306	-0.3679	0.357148
23	0.104422	0.7953	0.214855
24	0.019877	0.1514	0.440102
25	-0.094383	-0.7188	0.237574
26	0.049814	0.3794	0.352897
27	-0.057943	-0.4413	0.330325
28	0.047389	0.3609	0.359741
29	-0.19126	-1.4566	0.075311
30	0.126773	0.9655	0.169158
31	0.024157	0.184	0.427336
32	0.008218	0.0626	0.475155
33	0.056139	0.4275	0.335283
34	-0.104271	-0.7941	0.215185
35	0.021413	0.1631	0.435514
36	0.05132	0.3908	0.348674

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.279658	-2.1298	0.018721
2	-0.299589	-2.2816	0.013101
3	0.128869	0.9814	0.165227
4	0.036674	0.2793	0.390505
5	-0.183194	-1.3952	0.084143
6	-0.109006	-0.8302	0.204925
7	-0.10469	-0.7973	0.214265
8	-0.007658	-0.0583	0.476847
9	-0.036819	-0.2804	0.390081
10	-0.049482	-0.3768	0.353833
11	0.017148	0.1306	0.448275
12	0.09407	0.7164	0.238305
13	0.0192	0.1462	0.442125
14	0.194321	1.4799	0.072155
15	-0.217908	-1.6595	0.051203
16	0.117472	0.8946	0.187339
17	-0.096984	-0.7386	0.231562
18	-0.182994	-1.3936	0.084372
19	0.005723	0.0436	0.482693
20	0.078181	0.5954	0.276942
21	0.171371	1.3051	0.098503
22	-0.088394	-0.6732	0.251749
23	-0.081027	-0.6171	0.269799
24	0.032516	0.2476	0.402645
25	-0.014806	-0.1128	0.455305
26	0.034579	0.2633	0.396609
27	-0.108454	-0.826	0.206106
28	0.006067	0.0462	0.481654
29	-0.114977	-0.8756	0.192419
30	0.033365	0.2541	0.400158
31	0.040904	0.3115	0.378262
32	0.093214	0.7099	0.240306
33	0.014429	0.1099	0.456439
34	-0.178906	-1.3625	0.089153
35	-0.090774	-0.6913	0.246063
36	-0.003016	-0.023	0.490876

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228563097giswiravuu78jpy/14gmq1228563048.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228563097giswiravuu78jpy/14gmq1228563048.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228563097giswiravuu78jpy/2ffvy1228563048.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228563097giswiravuu78jpy/2ffvy1228563048.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = -1.0 ; par3 = 2 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = -1.0 ; par3 = 2 ; 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')

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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