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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, 16 Dec 2008 13:20:51 -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/16/t12294589280w4tiwb1v1wczuw.htm/, Retrieved Tue, 16 Dec 2008 21:22:10 +0100

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/16/t12294589280w4tiwb1v1wczuw.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},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

108.65 107.03 104.21 108.65 101.45 100.34 112.6 118.56 119.32 116.97 109.56 109.58 110.74 110.41 109.44 107.3 105.78 105.99 120.23 122.17 121.66 120.64 118.46 119.16 120.77 120.27 118.62 118.44 116.51 117.94 132.44 134.86 134.46 131.54 127.33 129.06 130.81 130.47 129.19 126.46 124.84 126.25 138.07 142.08 142.51 142.21 138.22 138.52 137.45 137.11 135.95 133.32 132.01 132.37 144.4 146.3 146.14 142.4 138.51 138.91 138.04 137.27 134.88 133.58 133.24 133.28 144.13 145.58 144.21 136.7 131.61 129.64 130.41 127.68 123.68 122.34 118.88 116 129.19 131.34 126 122.61 118.6 119.63

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	-0.09268	-0.7809	0.218718
2	-0.010436	-0.0879	0.465088
3	-0.123033	-1.0367	0.151699
4	0.09322	0.7855	0.21739
5	0.084025	0.708	0.24063
6	0.065045	0.5481	0.292679
7	-0.07141	-0.6017	0.274642
8	0.040273	0.3393	0.367675
9	0.123379	1.0396	0.151024
10	-0.1088	-0.9168	0.181184
11	0.044899	0.3783	0.353157
12	-0.217018	-1.8286	0.035828
13	0.026389	0.2224	0.412337
14	0.102054	0.8599	0.196364
15	0.033362	0.2811	0.389721
16	-0.008489	-0.0715	0.471589
17	-0.125057	-1.0537	0.147786
18	0.090175	0.7598	0.224938
19	0.091709	0.7728	0.221117
20	0.010472	0.0882	0.464966
21	-0.001259	-0.0106	0.495782
22	0.056948	0.4799	0.316402
23	0.10426	0.8785	0.191316
24	-0.043408	-0.3658	0.357814
25	-0.10789	-0.9091	0.183188
26	-0.244474	-2.06	0.021534
27	0.149346	1.2584	0.106183
28	-0.026639	-0.2245	0.41152
29	0.122449	1.0318	0.152841
30	-0.121809	-1.0264	0.154099
31	-0.079624	-0.6709	0.252223
32	0.023305	0.1964	0.42244
33	-0.029444	-0.2481	0.402388
34	-0.028964	-0.2441	0.403947
35	-0.070261	-0.592	0.277855
36	0.036703	0.3093	0.379012
37	0.026863	0.2264	0.410788
38	0.152898	1.2883	0.100905
39	-0.152721	-1.2868	0.101164
40	-0.006435	-0.0542	0.478454
41	-0.042737	-0.3601	0.359917
42	0.036114	0.3043	0.380893
43	0.02976	0.2508	0.401362
44	-0.111809	-0.9421	0.174663
45	-0.059084	-0.4979	0.310063
46	-0.003843	-0.0324	0.487129
47	-0.021694	-0.1828	0.427738
48	-0.081609	-0.6877	0.246956
49	-0.082207	-0.6927	0.245382
50	0.027044	0.2279	0.410198
51	1.6e-05	1e-04	0.499946
52	-0.032163	-0.271	0.393585
53	-0.131012	-1.1039	0.136676
54	0.073339	0.618	0.269287
55	-0.09109	-0.7675	0.222654
56	0.092964	0.7833	0.218019
57	-0.030344	-0.2557	0.399468
58	-0.031633	-0.2665	0.395295
59	0.028246	0.238	0.406282
60	-0.018419	-0.1552	0.43855

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.09268	-0.7809	0.218718
2	-0.01919	-0.1617	0.436
3	-0.126934	-1.0696	0.14422
4	0.070978	0.5981	0.275846
5	0.096869	0.8162	0.208549
6	0.072842	0.6138	0.270663
7	-0.03655	-0.308	0.379501
8	0.048368	0.4076	0.342414
9	0.135906	1.1452	0.127994
10	-0.122035	-1.0283	0.153653
11	0.035872	0.3023	0.381667
12	-0.201333	-1.6965	0.047089
13	-0.060621	-0.5108	0.305538
14	0.09631	0.8115	0.209888
15	0.004845	0.0408	0.483776
16	0.061395	0.5173	0.30327
17	-0.102379	-0.8627	0.195614
18	0.115609	0.9741	0.166647
19	0.105432	0.8884	0.188666
20	-0.024837	-0.2093	0.417416
21	0.120408	1.0146	0.156877
22	0.015362	0.1294	0.448687
23	0.11334	0.955	0.171404
24	-0.102195	-0.8611	0.196039
25	-0.150924	-1.2717	0.103813
26	-0.244089	-2.0567	0.021694
27	-0.016323	-0.1375	0.445496
28	-0.040858	-0.3443	0.365829
29	0.060492	0.5097	0.305915
30	0.015166	0.1278	0.449337
31	0.005869	0.0495	0.480347
32	0.090439	0.762	0.224277
33	-0.017635	-0.1486	0.441147
34	0.009248	0.0779	0.469053
35	-0.019146	-0.1613	0.436148
36	-0.057285	-0.4827	0.315399
37	-0.029139	-0.2455	0.403377
38	0.010686	0.09	0.464254
39	-0.061671	-0.5197	0.302461
40	-0.016444	-0.1386	0.445094
41	-0.051636	-0.4351	0.332407
42	-0.029763	-0.2508	0.401353
43	-0.027053	-0.228	0.41017
44	-0.032783	-0.2762	0.391584
45	-0.027067	-0.2281	0.410123
46	0.0064	0.0539	0.478571
47	-0.010855	-0.0915	0.46369
48	-0.034202	-0.2882	0.387019
49	-0.072191	-0.6083	0.272468
50	0.015618	0.1316	0.447836
51	-0.098873	-0.8331	0.203786
52	-0.105939	-0.8927	0.187528
53	-0.068997	-0.5814	0.281414
54	0.081952	0.6905	0.246054
55	-0.02942	-0.2479	0.402465
56	0.014122	0.119	0.452809
57	0.023376	0.197	0.422206
58	-0.037434	-0.3154	0.376681
59	0.012173	0.1026	0.459297
60	-0.044968	-0.3789	0.352944

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t12294589280w4tiwb1v1wczuw/1sza01229458849.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t12294589280w4tiwb1v1wczuw/1sza01229458849.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t12294589280w4tiwb1v1wczuw/2naoe1229458849.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t12294589280w4tiwb1v1wczuw/2naoe1229458849.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; 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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