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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: Sun, 07 Dec 2008 06:39:11 -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/07/t1228657228mlhe53zim6g27og.htm/, Retrieved Sun, 07 Dec 2008 13:40:30 +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/07/t1228657228mlhe53zim6g27og.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 «

132.7 128.6 127.8 128.9 124.6 129.2 130.5 124.3 125.8 123.5 120.7 123.1 122.0 121.0 121.2 117.4 113.0 113.1 116.1 121.3 108.6 114.3 113.5 111.2 109.3 108.2 102.7 110.4 108.1 112.8 108.1 102.6 109.2 108.2 107.1 108.4 103.6 104.0 111.5 105.4 105.5 101.3 103.8 100.3 108.2 105.6 103.0 100.5 104.3 99.1 91.5

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	0.804471	5.7451	0
2	0.738242	5.2721	1e-06
3	0.710096	5.0711	3e-06
4	0.651319	4.6513	1.2e-05
5	0.61948	4.424	2.6e-05
6	0.583963	4.1703	5.9e-05
7	0.510265	3.644	0.000314
8	0.46497	3.3205	0.000833
9	0.406951	2.9062	0.0027
10	0.36343	2.5954	0.006154
11	0.313817	2.2411	0.0147
12	0.218691	1.5618	0.062264
13	0.22565	1.6115	0.056625
14	0.164597	1.1755	0.122635
15	0.111697	0.7977	0.214378
16	0.092373	0.6597	0.256216
17	0.044965	0.3211	0.374719
18	0.005147	0.0368	0.48541
19	0.0119	0.085	0.466303
20	-0.091769	-0.6554	0.257591
21	-0.093305	-0.6663	0.2541
22	-0.123905	-0.8849	0.190192
23	-0.145988	-1.0426	0.151033
24	-0.156187	-1.1154	0.134954
25	-0.206513	-1.4748	0.073207
26	-0.22194	-1.585	0.059577
27	-0.22035	-1.5736	0.06088
28	-0.274874	-1.963	0.027556
29	-0.263034	-1.8784	0.033021
30	-0.281804	-2.0125	0.024732
31	-0.340031	-2.4283	0.009368
32	-0.288448	-2.0599	0.022263
33	-0.293477	-2.0958	0.020539
34	-0.319412	-2.2811	0.013377
35	-0.344581	-2.4608	0.008644
36	-0.362315	-2.5874	0.006281
37	-0.344751	-2.462	0.008618
38	-0.326853	-2.3342	0.011781
39	-0.33618	-2.4008	0.010022
40	-0.326294	-2.3302	0.011895
41	-0.331575	-2.3679	0.010859
42	-0.303267	-2.1658	0.017515
43	-0.281578	-2.0109	0.02482
44	-0.259583	-1.8538	0.034778
45	-0.235524	-1.682	0.049344
46	-0.206652	-1.4758	0.073074
47	-0.194239	-1.3871	0.085715
48	-0.14827	-1.0589	0.147326
49	-0.128926	-0.9207	0.180766
50	-0.090399	-0.6456	0.260723
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.804471	5.7451	0
2	0.258111	1.8433	0.035552
3	0.187808	1.3412	0.092896
4	0.009599	0.0685	0.472809
5	0.057679	0.4119	0.341066
6	0.014143	0.101	0.459973
7	-0.109171	-0.7796	0.219604
8	-0.030682	-0.2191	0.413719
9	-0.073099	-0.522	0.301955
10	-0.004637	-0.0331	0.486855
11	-0.04804	-0.3431	0.366475
12	-0.177268	-1.266	0.105642
13	0.160864	1.1488	0.127999
14	-0.092776	-0.6626	0.255301
15	-0.018524	-0.1323	0.447639
16	0.010732	0.0766	0.469605
17	-0.030148	-0.2153	0.415196
18	-0.009311	-0.0665	0.473622
19	0.06097	0.4354	0.33255
20	-0.251357	-1.795	0.039287
21	0.099046	0.7073	0.24129
22	-0.070331	-0.5023	0.308822
23	0.049092	0.3506	0.36367
24	-0.049612	-0.3543	0.362286
25	-0.066404	-0.4742	0.318684
26	0.014114	0.1008	0.460054
27	0.016788	0.1199	0.452521
28	-0.135121	-0.965	0.16956
29	0.077359	0.5525	0.291525
30	-0.087169	-0.6225	0.26819
31	-0.061945	-0.4424	0.330044
32	0.068296	0.4877	0.313915
33	0.056823	0.4058	0.343295
34	-0.10767	-0.7689	0.222745
35	-0.110425	-0.7886	0.217
36	-0.047239	-0.3374	0.368618
37	0.069955	0.4996	0.309761
38	-0.001389	-0.0099	0.496062
39	0.035543	0.2538	0.400324
40	-0.138392	-0.9883	0.163831
41	0.100937	0.7208	0.23715
42	-0.002172	-0.0155	0.493843
43	-0.037061	-0.2647	0.396167
44	0.139829	0.9986	0.161357
45	-0.049808	-0.3557	0.361767
46	0.000262	0.0019	0.499258
47	0.032693	0.2335	0.408165
48	-0.042427	-0.303	0.381565
49	0.076842	0.5488	0.292783
50	0.049343	0.3524	0.363003
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228657228mlhe53zim6g27og/1mp0b1228657150.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228657228mlhe53zim6g27og/1mp0b1228657150.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228657228mlhe53zim6g27og/2flcc1228657150.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228657228mlhe53zim6g27og/2flcc1228657150.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 0.2 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 0.2 ; 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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