*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 10 Dec 2008 01:02:44 -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/10/t12288961866uwo8p2ekuy9r8a.htm/, Retrieved Wed, 10 Dec 2008 08:03:08 +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/10/t12288961866uwo8p2ekuy9r8a.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 «

19.644 18.483 18.079 19.178 18.391 18.441 18.584 20.108 20.148 19.394 17.745 17.696 17.032 16.438 15.683 15.594 15.713 15.937 16.171 15.928 16.348 15.579 15.305 15.648 14.954 15.137 15.839 16.05 15.168 17.064 16.005 14.886 14.931 14.544 13.812 13.031 12.574 11.964 11.451 11.346 11.353 10.702 10.646 10.556 10.463 10.407 10.625 10.872 10.805 10.653 10.574 10.431 10.383 10.296 10.872 10.635 10.297 10.57 10.662 10.709 10.413 10.846 10.371 9.924 9.828 9.897 9.721 10.171 10.738 10.812 10.511 10.244 10.368 10.457 10.186 10.166 10.827 10.997 10.94 10.756 10.893 10.236 9.96 10.018 10.063 10.002 9.728 10.002 10.177 9.948 9.394 9.308 9.155 9.103 9.732 9.984

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 'Gwilym Jenkins' @ 72.249.127.135 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.959347 9.3996 0 2 0.925126 9.0643 0 3 0.893457 8.7541 0 4 0.850786 8.336 0 5 0.81019 7.9382 0 6 0.77395 7.5831 0 7 0.739956 7.2501 0 8 0.695876 6.8182 0 9 0.651035 6.3788 0 10 0.606724 5.9447 0 11 0.573237 5.6166 0 12 0.536921 5.2607 0 13 0.504671 4.9447 2e-06 14 0.476674 4.6704 5e-06 15 0.455137 4.4594 1.1e-05 16 0.436721 4.279 2.2e-05 17 0.4196 4.1112 4.1e-05 18 0.402326 3.942 7.7e-05 19 0.380659 3.7297 0.000162 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.959347 9.3996 0 2 0.060007 0.5879 0.278975 3 0.020547 0.2013 0.420439 4 -0.149966 -1.4694 0.072502 5 -0.016744 -0.1641 0.435016 6 0.027682 0.2712 0.393398 7 0.035455 0.3474 0.364531 8 -0.144931 -1.42 0.079419 9 -0.068101 -0.6673 0.253106 10 -0.039292 -0.385 0.350552 11 0.15462 1.515 0.066535 12 -0.028838 -0.2826 0.389064 13 0.017378 0.1703 0.43258 14 -0.021204 -0.2078 0.417929 15 0.109258 1.0705 0.143539 16 0.054092 0.53 0.298672 17 0.01924 0.1885 0.425435 18 -0.088229 -0.8645 0.194745 19 -0.08232 -0.8066 0.210954

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t12288961866uwo8p2ekuy9r8a/14b2m1228896162.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t12288961866uwo8p2ekuy9r8a/14b2m1228896162.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t12288961866uwo8p2ekuy9r8a/22kit1228896162.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t12288961866uwo8p2ekuy9r8a/22kit1228896162.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = Default ; 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')

Copyright

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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