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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 07:39:09 -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/t1228833582d98ftjp9r8ndeqj.htm/, Retrieved Tue, 09 Dec 2008 14:39:44 +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/t1228833582d98ftjp9r8ndeqj.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

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

105,3 103 103,8 103,4 105,8 101,4 97 94,3 96,6 97,1 95,7 96,9 97,4 95,3 93,6 91,5 93,1 91,7 94,3 93,9 90,9 88,3 91,3 91,7 92,4 92 95,6 95,8 96,4 99 107 109,7 116,2 115,9 113,8 112,6 113,7 115,9 110,3 111,3 113,4 108,2 104,8 106 110,9 115 118,4 121,4 128,8 131,7 141,7 142,9 139,4 134,7 125 113,6 111,5 108,5 112,3 116,6 115,5 120,1 132,9 128,1 129,3 132,5 131 124,9 120,8 122 122,1 127,4 135,2 137,3 135 136 138,4 134,7 138,4 133,9 133,6 141,2 151,8 155,4 156,6 161,6 160,7 156 159,5 168,7 169,9 169,9 185,9 190,8 195,8 211,9

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	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.294625	2.8716	0.002518
2	0.067209	0.6551	0.257001
3	0.069571	0.6781	0.249679
4	0.040471	0.3945	0.347063
5	-0.23871	-2.3267	0.011054
6	-0.149444	-1.4566	0.074262
7	-0.132098	-1.2875	0.100518
8	-0.096788	-0.9434	0.173941
9	-0.206115	-2.009	0.02369
10	-0.009951	-0.097	0.461469
11	-0.015156	-0.1477	0.441438
12	0.006065	0.0591	0.476494
13	0.164239	1.6008	0.05637
14	0.340167	3.3155	0.000648
15	-0.031235	-0.3044	0.380727
16	-0.038958	-0.3797	0.352502
17	-0.06176	-0.602	0.274316
18	0.048953	0.4771	0.317181
19	0.022581	0.2201	0.413136
20	0.028004	0.2729	0.392743
21	0.042497	0.4142	0.339827
22	0.080719	0.7868	0.216692
23	-0.134879	-1.3146	0.095898
24	-0.161015	-1.5694	0.059942
25	-0.200469	-1.9539	0.026826
26	-0.072483	-0.7065	0.24081
27	-0.099944	-0.9741	0.166231
28	0.005278	0.0514	0.47954
29	-0.101494	-0.9892	0.16253
30	-0.041605	-0.4055	0.343006
31	-0.041048	-0.4001	0.344997
32	0.168394	1.6413	0.05202
33	0.06237	0.6079	0.27235
34	0.026205	0.2554	0.399477
35	0.055222	0.5382	0.295835
36	0.095635	0.9321	0.176816
37	-0.096534	-0.9409	0.174572
38	-0.114201	-1.1131	0.134238
39	-0.029462	-0.2872	0.387309
40	0.020652	0.2013	0.42045
41	-0.036767	-0.3584	0.360435
42	0.026976	0.2629	0.396587
43	-0.031073	-0.3029	0.381328
44	-0.045355	-0.4421	0.329721
45	-0.01784	-0.1739	0.431164
46	0.088466	0.8623	0.195358
47	-0.01451	-0.1414	0.443916
48	0.061624	0.6006	0.274756
49	0.085134	0.8298	0.204372
50	0.103293	1.0068	0.1583
51	-0.009052	-0.0882	0.464939
52	0.014084	0.1373	0.445551
53	0.053672	0.5231	0.30105
54	0.038084	0.3712	0.35566
55	-0.043285	-0.4219	0.337028
56	-0.032888	-0.3206	0.374626
57	-0.063515	-0.6191	0.268677
58	7.9e-05	8e-04	0.499692
59	0.010316	0.1005	0.46006
60	0.054614	0.5323	0.297877

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.294625	2.8716	0.002518
2	-0.021457	-0.2091	0.417394
3	0.060986	0.5944	0.276823
4	0.004564	0.0445	0.482307
5	-0.278794	-2.7173	0.003911
6	-0.003968	-0.0387	0.484616
7	-0.096187	-0.9375	0.175435
8	-0.009978	-0.0973	0.461364
9	-0.161344	-1.5726	0.059569
10	0.059564	0.5806	0.281456
11	-0.058721	-0.5723	0.284221
12	-0.004639	-0.0452	0.482016
13	0.188515	1.8374	0.034637
14	0.186991	1.8226	0.035758
15	-0.239365	-2.333	0.010878
16	-0.028781	-0.2805	0.389843
17	-0.125498	-1.2232	0.112139
18	0.15843	1.5442	0.062934
19	0.195492	1.9054	0.029875
20	-0.024753	-0.2413	0.404936
21	0.0419	0.4084	0.341953
22	0.002771	0.027	0.489255
23	-0.139541	-1.3601	0.088512
24	-0.151381	-1.4755	0.071695
25	-0.127931	-1.2469	0.107746
26	0.039782	0.3877	0.349537
27	-0.101515	-0.9894	0.162479
28	0.07608	0.7415	0.230099
29	-0.081193	-0.7914	0.21535
30	-0.050424	-0.4915	0.312114
31	-0.011095	-0.1081	0.457056
32	0.005033	0.0491	0.48049
33	-0.108325	-1.0558	0.146863
34	-0.075921	-0.74	0.230568
35	-0.011449	-0.1116	0.455691
36	0.055268	0.5387	0.295682
37	0.062176	0.606	0.272974
38	-0.012034	-0.1173	0.453437
39	0.054953	0.5356	0.296739
40	-0.100401	-0.9786	0.165134
41	0.016596	0.1618	0.43592
42	-0.021038	-0.2051	0.418983
43	0.026769	0.2609	0.397362
44	0.009258	0.0902	0.464144
45	0.034519	0.3365	0.368636
46	0.050306	0.4903	0.312518
47	-0.016517	-0.161	0.436221
48	0.106902	1.0419	0.15004
49	-0.025481	-0.2484	0.402195
50	0.002908	0.0283	0.488722
51	-0.008792	-0.0857	0.465944
52	-0.030328	-0.2956	0.384092
53	0.043504	0.424	0.336253
54	-0.032104	-0.3129	0.377519
55	0.001023	0.01	0.496033
56	-0.029679	-0.2893	0.386501
57	0.025916	0.2526	0.400564
58	0.028628	0.279	0.390414
59	0.034833	0.3395	0.367489
60	0.024287	0.2367	0.406693

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228833582d98ftjp9r8ndeqj/1vob51228833547.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228833582d98ftjp9r8ndeqj/1vob51228833547.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228833582d98ftjp9r8ndeqj/2x0jb1228833547.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228833582d98ftjp9r8ndeqj/2x0jb1228833547.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -1.5 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -1.5 ; par3 = 1 ; 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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