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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 07:21:45 -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/t1228573335mzk6tc2ewqvgqhv.htm/, Retrieved Sat, 06 Dec 2008 14:22:17 +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/t1228573335mzk6tc2ewqvgqhv.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:

kleuter

Dataseries X:

» Textbox « » Textfile « » CSV «

104.3 119.8 116.8 118.2 107.4 110.8 94.8 96.5 113.4 109.8 118.7 117.2 110.3 111.6 128.1 121.3 107.3 120.5 98.5 97.7 113.2 114.6 118.3 123.9 113.6 117.5 130.1 124.7 114.2 127.3 105.9 101.5 120.2 117.1 131.1 130 120.6 123.1 135.3 134.1 123.7 134.6 108.3 110.4 127.8 126.6 131.4 141.1 127 127.3 143.6 149.4 126.6 136.5 116 118 131.4 140.7 144.9 143.9 127.1

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	0.565311	4.4152	2.1e-05
2	0.369912	2.8891	0.002671
3	0.334432	2.612	0.005658
4	0.124254	0.9705	0.167826
5	0.189234	1.478	0.072281
6	0.417021	3.257	0.00092
7	0.246316	1.9238	0.029525
8	0.092634	0.7235	0.236071
9	0.267846	2.0919	0.020307
10	0.196478	1.5345	0.065034
11	0.304385	2.3773	0.010295
12	0.603134	4.7106	7e-06
13	0.305248	2.3841	0.010124
14	0.104417	0.8155	0.208973
15	0.092807	0.7248	0.235659
16	-0.066617	-0.5203	0.30237
17	-0.032915	-0.2571	0.398992
18	0.147368	1.151	0.127115
19	0.023766	0.1856	0.426678
20	-0.097571	-0.7621	0.224483
21	0.010201	0.0797	0.468379
22	-0.036565	-0.2856	0.388084
23	0.022208	0.1735	0.431435
24	0.256133	2.0005	0.024953
25	0.037657	0.2941	0.384837
26	-0.108126	-0.8445	0.200847
27	-0.136194	-1.0637	0.145826
28	-0.251463	-1.964	0.027046
29	-0.218344	-1.7053	0.046612
30	-0.068188	-0.5326	0.298135
31	-0.13734	-1.0727	0.143825
32	-0.234214	-1.8293	0.036124
33	-0.153729	-1.2007	0.117262
34	-0.198178	-1.5478	0.063419
35	-0.154215	-1.2045	0.116533
36	0.012987	0.1014	0.459769
37	-0.108557	-0.8479	0.199916
38	-0.215912	-1.6863	0.048421
39	-0.241793	-1.8885	0.031861
40	-0.283843	-2.2169	0.015184
41	-0.263983	-2.0618	0.021749
42	-0.136578	-1.0667	0.145154
43	-0.148005	-1.156	0.126104
44	-0.213063	-1.6641	0.050613
45	-0.179581	-1.4026	0.082906
46	-0.182565	-1.4259	0.0795
47	-0.168809	-1.3184	0.096142
48	-0.077459	-0.605	0.273719
49	-0.108894	-0.8505	0.19919
50	-0.162731	-1.271	0.104283
51	-0.201308	-1.5723	0.060531
52	-0.176235	-1.3764	0.086858
53	-0.16158	-1.262	0.10588
54	-0.073949	-0.5776	0.282845
55	-0.045322	-0.354	0.36229
56	-0.042016	-0.3282	0.37196
57	-0.043813	-0.3422	0.366691
58	-0.043286	-0.3381	0.368233
59	-0.038788	-0.3029	0.381482
60	-0.012021	-0.0939	0.462752

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.565311	4.4152	2.1e-05
2	0.073977	0.5778	0.282769
3	0.146248	1.1422	0.128911
4	-0.194676	-1.5205	0.06678
5	0.222971	1.7415	0.043322
6	0.366149	2.8597	0.002899
7	-0.201524	-1.574	0.060335
8	-0.250055	-1.953	0.027706
9	0.404737	3.1611	0.001224
10	0.188657	1.4735	0.072884
11	0.116274	0.9081	0.183693
12	0.226225	1.7669	0.041126
13	-0.410104	-3.203	0.001081
14	-0.109191	-0.8528	0.19855
15	0.002598	0.0203	0.491939
16	-0.038141	-0.2979	0.383399
17	-0.015233	-0.119	0.452845
18	-0.287204	-2.2431	0.014266
19	-0.01969	-0.1538	0.439143
20	0.199077	1.5548	0.062579
21	-0.151784	-1.1855	0.120214
22	0.010374	0.081	0.467843
23	-0.074112	-0.5788	0.282416
24	0.086655	0.6768	0.250546
25	-0.000636	-0.005	0.498026
26	-0.088569	-0.6917	0.24586
27	-0.085938	-0.6712	0.252313
28	0.004185	0.0327	0.487015
29	-0.000855	-0.0067	0.497346
30	0.017583	0.1373	0.445612
31	-0.075237	-0.5876	0.279478
32	-0.070095	-0.5475	0.293032
33	0.009908	0.0774	0.469284
34	0.042717	0.3336	0.3699
35	-0.060472	-0.4723	0.319199
36	-0.10882	-0.8499	0.19935
37	0.064044	0.5002	0.309367
38	0.031718	0.2477	0.402588
39	-0.061518	-0.4805	0.316306
40	0.070976	0.5543	0.290687
41	-0.082698	-0.6459	0.260385
42	0.02526	0.1973	0.422129
43	0.076039	0.5939	0.277393
44	-0.044158	-0.3449	0.365684
45	-0.042132	-0.3291	0.371618
46	-0.019202	-0.15	0.44064
47	-0.048235	-0.3767	0.353843
48	-0.011801	-0.0922	0.463432
49	0.005083	0.0397	0.48423
50	0.063799	0.4983	0.310036
51	-0.059114	-0.4617	0.322972
52	0.006188	0.0483	0.480806
53	-0.011117	-0.0868	0.465548
54	0.118227	0.9234	0.179723
55	-0.014677	-0.1146	0.454558
56	0.076921	0.6008	0.275109
57	-0.003314	-0.0259	0.489717
58	-0.092982	-0.7262	0.235242
59	0.011219	0.0876	0.465233
60	0.101385	0.7918	0.21576

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228573335mzk6tc2ewqvgqhv/1nunc1228573304.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228573335mzk6tc2ewqvgqhv/1nunc1228573304.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228573335mzk6tc2ewqvgqhv/2uic41228573304.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228573335mzk6tc2ewqvgqhv/2uic41228573304.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -0.1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -0.1 ; 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')

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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