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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: Tue, 09 Dec 2008 06:32:11 -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/09/t1228829634m26h663ls7ns6u2.htm/, Retrieved Tue, 09 Dec 2008 13:33:54 +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/09/t1228829634m26h663ls7ns6u2.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 «

108.9 110.5 111.0 110.7 110.0 111.4 107.7 110.4 110.5 106.4 107.5 108.8 107.1 107.9 107.2 106.3 106.7 105.4 109.4 106.7 105.2 107.0 105.4 106.1 105.8 104.2 102.7 102.7 104.9 102.3 104.0 101.2 102.2 101.4 101.1 97.2 99.7 99.4 98.0 103.1 99.4 100.8 96.4 99.7 100.9 101.3 102.6 105.6 107.2 104.0 108.7 104.9 105.3 105.0 106.1 103.7 102.1 97.2 99.5 102.9

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	2 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.802828	6.2187	0
2	0.750685	5.8148	0
3	0.651674	5.0478	2e-06
4	0.572811	4.437	2e-05
5	0.508125	3.9359	0.000109
6	0.4465	3.4586	0.000503
7	0.391736	3.0344	0.00178
8	0.300641	2.3288	0.011629
9	0.273747	2.1204	0.019056
10	0.218056	1.6891	0.0482
11	0.240238	1.8609	0.033832
12	0.14891	1.1535	0.12665
13	0.157075	1.2167	0.114241
14	0.134701	1.0434	0.150476
15	0.124341	0.9631	0.16967
16	0.098758	0.765	0.223642
17	0.033461	0.2592	0.398189
18	0.000133	0.001	0.499592
19	-0.053075	-0.4111	0.341225
20	-0.035081	-0.2717	0.39338
21	-0.076168	-0.59	0.278705
22	-0.098932	-0.7663	0.223245
23	-0.135887	-1.0526	0.148378
24	-0.211334	-1.637	0.053434
25	-0.212975	-1.6497	0.052116
26	-0.217445	-1.6843	0.048658
27	-0.256135	-1.984	0.025917
28	-0.268917	-2.083	0.020759
29	-0.273124	-2.1156	0.019269
30	-0.300746	-2.3296	0.011606
31	-0.300525	-2.3279	0.011655
32	-0.29248	-2.2655	0.013551
33	-0.338265	-2.6202	0.005558
34	-0.334706	-2.5926	0.005973
35	-0.334489	-2.5909	0.006
36	-0.28095	-2.1762	0.016743
37	-0.272981	-2.1145	0.019318
38	-0.260457	-2.0175	0.024062
39	-0.235191	-1.8218	0.036737
40	-0.204114	-1.5811	0.059561
41	-0.17693	-1.3705	0.08782
42	-0.127009	-0.9838	0.164581
43	-0.073525	-0.5695	0.285564
44	-0.069409	-0.5376	0.296406
45	-0.026662	-0.2065	0.41854
46	-0.013566	-0.1051	0.458331
47	-0.001211	-0.0094	0.496275
48	-0.010962	-0.0849	0.466306
49	-0.041341	-0.3202	0.374954
50	-0.065024	-0.5037	0.308167
51	-0.078408	-0.6073	0.272956
52	-0.092901	-0.7196	0.23728
53	-0.104633	-0.8105	0.210432
54	-0.114616	-0.8878	0.189094
55	-0.12265	-0.95	0.172952
56	-0.112338	-0.8702	0.193838
57	-0.083881	-0.6497	0.259171
58	-0.036892	-0.2858	0.388021
59	-0.008487	-0.0657	0.473902
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.802828	6.2187	0
2	0.298629	2.3132	0.012079
3	-0.033262	-0.2576	0.39878
4	-0.037534	-0.2907	0.386129
5	0.015458	0.1197	0.452546
6	0.001058	0.0082	0.496745
7	-0.009757	-0.0756	0.470004
8	-0.136413	-1.0566	0.147454
9	0.069052	0.5349	0.297357
10	-0.001267	-0.0098	0.4961
11	0.167531	1.2977	0.099681
12	-0.225496	-1.7467	0.042905
13	0.078681	0.6095	0.272261
14	0.055764	0.4319	0.333663
15	0.027276	0.2113	0.416693
16	-0.104768	-0.8115	0.210134
17	-0.17341	-1.3432	0.092129
18	-0.025148	-0.1948	0.423107
19	0.038516	0.2983	0.383235
20	0.093206	0.722	0.236558
21	-0.080982	-0.6273	0.266427
22	-0.136857	-1.0601	0.146677
23	0.061825	0.4789	0.316877
24	-0.211033	-1.6347	0.053679
25	0.076082	0.5893	0.278927
26	0.034806	0.2696	0.394195
27	-0.151463	-1.1732	0.12267
28	0.051242	0.3969	0.346417
29	-0.010398	-0.0805	0.468035
30	-0.05517	-0.4273	0.335329
31	-0.062877	-0.487	0.314
32	0.070858	0.5489	0.292567
33	-0.163996	-1.2703	0.10444
34	-0.021061	-0.1631	0.43548
35	0.122883	0.9518	0.172497
36	0.033573	0.2601	0.397855
37	-0.041078	-0.3182	0.375722
38	0.025339	0.1963	0.42253
39	0.007465	0.0578	0.477039
40	0.106057	0.8215	0.207302
41	-0.065987	-0.5111	0.305566
42	0.05513	0.427	0.33544
43	0.002054	0.0159	0.493679
44	0.100495	0.7784	0.219687
45	-0.008336	-0.0646	0.474364
46	-0.093177	-0.7217	0.236627
47	-0.019543	-0.1514	0.440094
48	-0.05522	-0.4277	0.335189
49	-0.123495	-0.9566	0.171307
50	-0.024755	-0.1918	0.424291
51	-0.095838	-0.7424	0.230383
52	-0.030979	-0.24	0.405589
53	0.047086	0.3647	0.3583
54	-0.044889	-0.3477	0.364637
55	-0.045027	-0.3488	0.364239
56	0.050688	0.3926	0.347994
57	0.028899	0.2239	0.411817
58	0.016191	0.1254	0.450306
59	0.055677	0.4313	0.333909
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228829634m26h663ls7ns6u2/158641228829526.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228829634m26h663ls7ns6u2/158641228829526.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228829634m26h663ls7ns6u2/2cktv1228829526.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228829634m26h663ls7ns6u2/2cktv1228829526.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; 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')

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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