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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 14:18:26 -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/t1228857555r07cy020ljnwu5y.htm/, Retrieved Tue, 09 Dec 2008 21:19:15 +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/t1228857555r07cy020ljnwu5y.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 «

123.9 124.9 112.7 121.9 100.6 104.3 120.4 107.5 102.9 125.6 107.5 108.8 128.4 121.1 119.5 128.7 108.7 105.5 119.8 111.3 110.6 120.1 97.5 107.7 127.3 117.2 119.8 116.2 111 112.4 130.6 109.1 118.8 123.9 101.6 112.8 128 129.6 125.8 119.5 115.7 113.6 129.7 112 116.8 127 112.1 114.2 121.1 131.6 125 120.4 117.7 117.5 120.6 127.5 112.3 124.5 115.2 105.4

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	0.024927	0.1931	0.423772
2	-0.140592	-1.089	0.14025
3	0.301703	2.337	0.011398
4	-0.218303	-1.691	0.048016
5	-0.072002	-0.5577	0.289553
6	0.390652	3.026	0.001823
7	-0.156269	-1.2105	0.115426
8	-0.222456	-1.7231	0.045007
9	0.169678	1.3143	0.09687
10	-0.264026	-2.0451	0.022617
11	-0.056501	-0.4377	0.331605
12	0.585981	4.539	1.4e-05
13	0.033592	0.2602	0.397799
14	-0.117154	-0.9075	0.183894
15	0.186409	1.4439	0.076982
16	-0.178253	-1.3807	0.08624
17	-0.025037	-0.1939	0.42344
18	0.285712	2.2131	0.015352
19	-0.118255	-0.916	0.181667
20	-0.175325	-1.3581	0.089764
21	0.039412	0.3053	0.380602
22	-0.246415	-1.9087	0.030542
23	-0.047248	-0.366	0.357834
24	0.28137	2.1795	0.016616
25	0.013031	0.1009	0.459969
26	-0.145622	-1.128	0.131908
27	0.069577	0.5389	0.295961
28	-0.170399	-1.3199	0.095941
29	-0.092189	-0.7141	0.238969
30	0.11488	0.8899	0.188549
31	-0.084474	-0.6543	0.257699
32	-0.172933	-1.3395	0.092724
33	-0.065058	-0.5039	0.308075
34	-0.13178	-1.0208	0.155732
35	-0.086951	-0.6735	0.251601
36	0.180772	1.4003	0.083294
37	0.053807	0.4168	0.33916
38	-0.095436	-0.7392	0.23132
39	0.065465	0.5071	0.306975
40	-0.025845	-0.2002	0.421004
41	-0.073503	-0.5694	0.285622
42	0.071578	0.5544	0.290669
43	-0.004238	-0.0328	0.486962
44	-0.109491	-0.8481	0.199873
45	-0.062083	-0.4809	0.31617
46	-0.052994	-0.4105	0.341454
47	-0.114657	-0.8881	0.189009
48	0.062442	0.4837	0.31519
49	0.039828	0.3085	0.379383
50	-0.064311	-0.4981	0.3101
51	0.033018	0.2558	0.399507
52	0.031107	0.241	0.405205
53	-0.041501	-0.3215	0.374489
54	0.080922	0.6268	0.266579
55	0.043647	0.3381	0.368237
56	-0.00533	-0.0413	0.483602
57	0.020612	0.1597	0.436844
58	-0.024626	-0.1907	0.424683
59	-0.018864	-0.1461	0.442157
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.024927	0.1931	0.423772
2	-0.141301	-1.0945	0.139053
3	0.315721	2.4456	0.008707
4	-0.30545	-2.366	0.010614
5	0.09922	0.7686	0.222586
6	0.251684	1.9495	0.027955
7	-0.130108	-1.0078	0.158796
8	-0.185056	-1.4334	0.078462
9	0.02294	0.1777	0.429782
10	-0.161874	-1.2539	0.107376
11	0.096977	0.7512	0.22774
12	0.459571	3.5598	0.000367
13	0.148338	1.149	0.127554
14	-0.091225	-0.7066	0.241268
15	-0.143917	-1.1148	0.134696
16	-0.007525	-0.0583	0.476855
17	0.049493	0.3834	0.351399
18	-0.109028	-0.8445	0.200865
19	-0.007241	-0.0561	0.477729
20	-0.01236	-0.0957	0.462024
21	-0.049272	-0.3817	0.352033
22	-0.018839	-0.1459	0.442234
23	0.092257	0.7146	0.238807
24	-0.095732	-0.7415	0.230629
25	-0.010221	-0.0792	0.46858
26	-0.183477	-1.4212	0.080217
27	0.080012	0.6198	0.268878
28	-0.129488	-1.003	0.159942
29	-0.108315	-0.839	0.2024
30	-0.195331	-1.513	0.067761
31	0.060933	0.472	0.319326
32	-0.078212	-0.6058	0.273457
33	-0.024057	-0.1863	0.426402
34	0.067346	0.5217	0.301914
35	-0.013595	-0.1053	0.458242
36	0.01443	0.1118	0.455688
37	-0.024088	-0.1866	0.426307
38	0.055462	0.4296	0.33451
39	0.032235	0.2497	0.401838
40	-0.006034	-0.0467	0.481439
41	0.016622	0.1288	0.448993
42	-0.019323	-0.1497	0.440763
43	0.022461	0.174	0.431234
44	0.052449	0.4063	0.342995
45	0.034961	0.2708	0.393734
46	0.00416	0.0322	0.4872
47	-0.056548	-0.438	0.331472
48	-0.103054	-0.7983	0.213936
49	-0.03764	-0.2916	0.385814
50	-0.007422	-0.0575	0.477174
51	-0.018052	-0.1398	0.44463
52	-0.085736	-0.6641	0.254582
53	0.026058	0.2018	0.420359
54	0.045415	0.3518	0.363117
55	-0.008026	-0.0622	0.475318
56	0.058078	0.4499	0.327212
57	-0.001713	-0.0133	0.494728
58	-0.083987	-0.6506	0.258907
59	0.003974	0.0308	0.487774
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228857555r07cy020ljnwu5y/1ma7m1228857501.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228857555r07cy020ljnwu5y/1ma7m1228857501.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228857555r07cy020ljnwu5y/2i55z1228857501.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228857555r07cy020ljnwu5y/2i55z1228857501.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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