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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 06:37:42 -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/t12288299479rdlwvlf41ucqkw.htm/, Retrieved Tue, 09 Dec 2008 13:39:07 +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/t12288299479rdlwvlf41ucqkw.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	-0.009966	-0.0698	0.472333
2	-0.130082	-0.9106	0.183488
3	0.02755	0.1929	0.423936
4	-0.057121	-0.3998	0.345503
5	0.101676	0.7117	0.240003
6	0.027872	0.1951	0.423058
7	-0.110933	-0.7765	0.220584
8	0.015969	0.1118	0.455725
9	0.033223	0.2326	0.408537
10	-0.141447	-0.9901	0.163488
11	0.26172	1.832	0.036513
12	-0.055208	-0.3865	0.350417
13	-0.138645	-0.9705	0.168278
14	-0.122783	-0.8595	0.197131
15	0.012288	0.086	0.465903
16	0.025767	0.1804	0.428802
17	0.045494	0.3185	0.375746
18	-0.005515	-0.0386	0.48468
19	-0.088289	-0.618	0.26971
20	0.074169	0.5192	0.302984
21	-0.093445	-0.6541	0.258049
22	0.046935	0.3285	0.371951
23	-0.07922	-0.5545	0.290865
24	-0.213045	-1.4913	0.071144
25	-0.031871	-0.2231	0.412195
26	0.084233	0.5896	0.279073
27	-0.047242	-0.3307	0.371142
28	-0.111565	-0.781	0.219292
29	-0.104185	-0.7293	0.234647
30	0.001667	0.0117	0.495369
31	0.171334	1.1993	0.118082
32	-0.080387	-0.5627	0.2881
33	0.054476	0.3813	0.352304
34	0.064556	0.4519	0.326671
35	-0.142677	-0.9987	0.161413
36	0.03207	0.2245	0.411656
37	0.150822	1.0558	0.148129
38	0.01554	0.1088	0.456911
39	-0.021145	-0.148	0.441469
40	-0.089842	-0.6289	0.26617
41	-0.052931	-0.3705	0.356296
42	0.186299	1.3041	0.099148
43	0.010396	0.0728	0.471143
44	-0.022911	-0.1604	0.436622
45	-0.013391	-0.0937	0.462849
46	-0.04116	-0.2881	0.387235
47	0.043607	0.3053	0.380734
48	0.017344	0.1214	0.451932
49	NA	NA	NA
50	NA	NA	NA
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	-0.009966	-0.0698	0.472333
2	-0.130194	-0.9114	0.183283
3	0.025217	0.1765	0.430306
4	-0.074872	-0.5241	0.301284
5	0.110185	0.7713	0.222117
6	0.010224	0.0716	0.471619
7	-0.080703	-0.5649	0.287353
8	0.010733	0.0751	0.470208
9	0.020276	0.1419	0.443859
10	-0.145746	-1.0202	0.156316
11	0.269593	1.8872	0.032535
12	-0.098642	-0.6905	0.246571
13	-0.057637	-0.4035	0.344183
14	-0.204408	-1.4309	0.079409
15	0.079459	0.5562	0.290299
16	-0.089734	-0.6281	0.266415
17	0.071345	0.4994	0.309862
18	0.019271	0.1349	0.446623
19	-0.039895	-0.2793	0.390608
20	0.001332	0.0093	0.496301
21	-0.053434	-0.374	0.354996
22	-0.014576	-0.102	0.459574
23	-0.112137	-0.785	0.218129
24	-0.208131	-1.4569	0.075759
25	0.028747	0.2012	0.420677
26	-0.027301	-0.1911	0.424616
27	-0.05863	-0.4104	0.341648
28	-0.189857	-1.329	0.095002
29	-0.121376	-0.8496	0.199831
30	0.012832	0.0898	0.464397
31	0.076252	0.5338	0.29796
32	-0.043498	-0.3045	0.381025
33	0.069931	0.4895	0.313329
34	0.035422	0.248	0.402602
35	-0.127074	-0.8895	0.189035
36	-0.014282	-0.1	0.460387
37	0.066543	0.4658	0.321711
38	-0.045487	-0.3184	0.375763
39	0.006656	0.0466	0.481515
40	-0.068002	-0.476	0.318091
41	-0.052308	-0.3662	0.357913
42	-0.02685	-0.188	0.425845
43	0.018816	0.1317	0.447876
44	0.030177	0.2112	0.416789
45	-0.064622	-0.4524	0.326505
46	0.022518	0.1576	0.4377
47	0.008599	0.0602	0.476124
48	-0.141127	-0.9879	0.16403
49	NA	NA	NA
50	NA	NA	NA
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/09/t12288299479rdlwvlf41ucqkw/1w6341228829858.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t12288299479rdlwvlf41ucqkw/1w6341228829858.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t12288299479rdlwvlf41ucqkw/2p8m11228829858.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t12288299479rdlwvlf41ucqkw/2p8m11228829858.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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