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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 06:33:39 -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/t122882970366uyqlpt920u0e9.htm/, Retrieved Tue, 09 Dec 2008 13:35:03 +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/t122882970366uyqlpt920u0e9.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 «

75 38 20 6 11 38 54 44 37 39 4 49 45 29 20 9 16 3 56 53 35 49 11 54 47 31 21 14 9 16 61 57 40 42 7 43 56 29 34 14 25 39 53 39 32 40 1 47 39 39 20 7 43 43 21 39 35 38 12 37 34

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.122722	0.9585	0.170799
2	-0.159202	-1.2434	0.109237
3	-0.315882	-2.4671	0.008222
4	-0.332105	-2.5938	0.005934
5	0.121299	0.9474	0.173593
6	0.13703	1.0702	0.144365
7	0.141723	1.1069	0.136342
8	-0.229555	-1.7929	0.038975
9	-0.243614	-1.9027	0.030902
10	-0.128994	-1.0075	0.158844
11	0.174455	1.3625	0.08902
12	0.614122	4.7964	5e-06
13	0.073147	0.5713	0.284948
14	-0.095978	-0.7496	0.228185
15	-0.265697	-2.0752	0.021098
16	-0.313457	-2.4482	0.008625
17	0.075661	0.5909	0.278375
18	0.14866	1.1611	0.125068
19	0.081252	0.6346	0.264031
20	-0.167935	-1.3116	0.097282
21	-0.150318	-1.174	0.122475
22	-0.054437	-0.4252	0.336107
23	0.112247	0.8767	0.19205
24	0.38448	3.0029	0.001937
25	0.062175	0.4856	0.314494
26	-0.073217	-0.5718	0.284765
27	-0.235004	-1.8354	0.035659
28	-0.269728	-2.1066	0.019635
29	0.098224	0.7672	0.222973
30	0.137683	1.0753	0.14323
31	0.092804	0.7248	0.235667
32	-0.064072	-0.5004	0.309291
33	-0.079672	-0.6223	0.268044
34	-0.035003	-0.2734	0.39274
35	0.037205	0.2906	0.386178
36	0.240195	1.876	0.032722
37	0.005767	0.045	0.48211
38	-0.04863	-0.3798	0.352701
39	-0.15647	-1.2221	0.113192
40	-0.095441	-0.7454	0.229442
41	0.109109	0.8522	0.198727
42	0.072191	0.5638	0.287468
43	0.03356	0.2621	0.39706
44	0.00372	0.0291	0.488458
45	-0.054918	-0.4289	0.334746
46	-0.075334	-0.5884	0.279227
47	0.068507	0.5351	0.297277
48	0.08729	0.6818	0.248987
49	-0.00484	-0.0378	0.484985
50	-0.044743	-0.3495	0.363975
51	-0.061391	-0.4795	0.316657
52	0.003416	0.0267	0.489402
53	0.006439	0.0503	0.480028
54	-0.007598	-0.0593	0.476436
55	0.038885	0.3037	0.381196
56	0.014145	0.1105	0.456198
57	0.00145	0.0113	0.495501
58	-0.049912	-0.3898	0.349011
59	0.010607	0.0828	0.467123
60	0.002976	0.0232	0.490765

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.122722	0.9585	0.170799
2	-0.176928	-1.3819	0.086029
3	-0.284219	-2.2198	0.015079
4	-0.329653	-2.5747	0.006238
5	0.082546	0.6447	0.260767
6	-0.073763	-0.5761	0.283332
7	-0.014099	-0.1101	0.456339
8	-0.357701	-2.7937	0.003476
9	-0.182892	-1.4284	0.079134
10	-0.277111	-2.1643	0.017182
11	-0.014001	-0.1093	0.456643
12	0.393757	3.0753	0.001572
13	-0.063747	-0.4979	0.310178
14	0.045459	0.355	0.361891
15	0.075774	0.5918	0.278081
16	-0.066316	-0.5179	0.303186
17	-0.041738	-0.326	0.372777
18	0.014261	0.1114	0.45584
19	-0.13277	-1.037	0.151922
20	-0.118729	-0.9273	0.178711
21	-0.001085	-0.0085	0.496632
22	-0.009325	-0.0728	0.471088
23	-0.17438	-1.3619	0.089111
24	-0.045211	-0.3531	0.362611
25	-0.038859	-0.3035	0.381272
26	-0.091228	-0.7125	0.239432
27	-0.122036	-0.9531	0.172142
28	-0.119198	-0.931	0.17777
29	-0.056501	-0.4413	0.330282
30	-0.077804	-0.6077	0.272831
31	-0.023429	-0.183	0.427709
32	-0.022064	-0.1723	0.431877
33	0.003212	0.0251	0.490032
34	0.013553	0.1059	0.458024
35	-0.064523	-0.5039	0.308058
36	-0.064693	-0.5053	0.307594
37	-0.115187	-0.8996	0.185925
38	-0.056894	-0.4444	0.329178
39	-0.08027	-0.6269	0.266523
40	0.111391	0.87	0.193859
41	0.014627	0.1142	0.45471
42	-0.015042	-0.1175	0.453431
43	-0.087457	-0.6831	0.248576
44	0.114118	0.8913	0.188139
45	-0.053985	-0.4216	0.337387
46	-0.118957	-0.9291	0.178254
47	0.050522	0.3946	0.34726
48	-0.078544	-0.6134	0.270932
49	0.00746	0.0583	0.476864
50	-0.01243	-0.0971	0.461491
51	0.049325	0.3852	0.350698
52	0.002709	0.0212	0.491595
53	-0.098708	-0.7709	0.22186
54	-0.125932	-0.9836	0.164608
55	0.000626	0.0049	0.498059
56	-0.102381	-0.7996	0.213516
57	0.05208	0.4068	0.342806
58	-0.057269	-0.4473	0.328126
59	-0.038108	-0.2976	0.383499
60	0.044275	0.3458	0.365341

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t122882970366uyqlpt920u0e9/1ktn11228829614.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t122882970366uyqlpt920u0e9/1ktn11228829614.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t122882970366uyqlpt920u0e9/25reb1228829614.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t122882970366uyqlpt920u0e9/25reb1228829614.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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