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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: Wed, 17 Dec 2008 01:41:55 -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/17/t12295033721qj87btmmjbxr7u.htm/, Retrieved Wed, 17 Dec 2008 09:42:54 +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/17/t12295033721qj87btmmjbxr7u.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 «

6.4 6.8 7.5 7.5 7.6 7.6 7.4 7.3 7.1 6.9 6.8 7.5 7.6 7.8 8 8.1 8.2 8.3 8.2 8 7.9 7.6 7.6 8.2 8.3 8.4 8.4 8.4 8.6 8.9 8.8 8.3 7.5 7.2 7.5 8.8 9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.6 8.2 8.1 8 8.6 8.7 8.8 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8.1 8.2 8.1 8.1 7.9 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.6 6.2 6.2 6.8 6.9

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.444399	3.7708	0.000165
2	-0.106268	-0.9017	0.185107
3	-0.545504	-4.6288	8e-06
4	-0.582191	-4.9401	2e-06
5	-0.178088	-1.5111	0.067566
6	0.14974	1.2706	0.103984
7	0.30816	2.6148	0.005433
8	0.2688	2.2808	0.012759
9	0.086965	0.7379	0.231479
10	-0.080067	-0.6794	0.249535
11	-0.14163	-1.2018	0.116695
12	-0.183046	-1.5532	0.062381
13	-0.04169	-0.3537	0.362281
14	0.054436	0.4619	0.32277
15	0.124452	1.056	0.147248
16	0.076252	0.647	0.259839
17	-0.066109	-0.561	0.288285
18	-0.012541	-0.1064	0.457775
19	-0.048406	-0.4107	0.341244
20	0.075064	0.6369	0.263092
21	0.066132	0.5611	0.288219
22	-0.018869	-0.1601	0.436623
23	-0.075909	-0.6441	0.260775
24	-0.145696	-1.2363	0.110187
25	-0.020582	-0.1746	0.430925
26	0.089318	0.7579	0.225495
27	0.099095	0.8409	0.201607
28	-9.1e-05	-8e-04	0.499692
29	-0.154582	-1.3117	0.096898
30	-0.192092	-1.63	0.05374
31	0.028212	0.2394	0.405744
32	0.198556	1.6848	0.048178
33	0.251302	2.1324	0.018194
34	0.116137	0.9855	0.163851
35	-0.130254	-1.1052	0.136367
36	-0.216077	-1.8335	0.035432
37	-0.196432	-1.6668	0.049951
38	0.004957	0.0421	0.483283
39	0.106634	0.9048	0.18429
40	0.155679	1.321	0.095346
41	0.146541	1.2434	0.108869
42	-0.016173	-0.1372	0.445614
43	-0.101791	-0.8637	0.195304
44	-0.180418	-1.5309	0.065088
45	-0.096423	-0.8182	0.207979
46	0.042877	0.3638	0.358527
47	0.145376	1.2336	0.110689
48	0.133566	1.1333	0.130414
49	0.061929	0.5255	0.300431
50	-0.059873	-0.508	0.306489
51	-0.06901	-0.5856	0.279997
52	-0.057589	-0.4887	0.313285
53	0.00667	0.0566	0.47751
54	0.031867	0.2704	0.393814
55	0.00217	0.0184	0.49268
56	0.018937	0.1607	0.436394
57	-0.031113	-0.264	0.396266
58	-0.020308	-0.1723	0.431835
59	0.027709	0.2351	0.407391
60	-0.006716	-0.057	0.477357

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.444399	3.7708	0.000165
2	-0.378511	-3.2118	0.000987
3	-0.454078	-3.853	0.000125
4	-0.276011	-2.342	0.010974
5	0.04567	0.3875	0.349756
6	-0.172628	-1.4648	0.073665
7	-0.154835	-1.3138	0.09654
8	0.00399	0.0339	0.486543
9	0.021005	0.1782	0.42952
10	-0.048908	-0.415	0.33969
11	0.02319	0.1968	0.42228
12	-0.096714	-0.8206	0.207279
13	0.088482	0.7508	0.227612
14	-0.002866	-0.0243	0.490333
15	0.021111	0.1791	0.429168
16	-0.077896	-0.661	0.255371
17	-0.091499	-0.7764	0.220031
18	0.18483	1.5683	0.060594
19	-0.106222	-0.9013	0.18521
20	0.118192	1.0029	0.159636
21	-0.004382	-0.0372	0.485221
22	0.001779	0.0151	0.493998
23	-0.026338	-0.2235	0.411897
24	-0.100457	-0.8524	0.198409
25	0.108909	0.9241	0.179254
26	-0.028228	-0.2395	0.405691
27	-0.085556	-0.726	0.235107
28	-0.154506	-1.311	0.097007
29	-0.232242	-1.9706	0.026305
30	-0.100982	-0.8569	0.197182
31	0.050207	0.426	0.335681
32	0.024235	0.2056	0.418825
33	-0.055651	-0.4722	0.319102
34	0.01885	0.16	0.436684
35	0.070428	0.5976	0.275989
36	-0.030132	-0.2557	0.399463
37	0.053214	0.4515	0.326479
38	0.111456	0.9457	0.173723
39	-0.043246	-0.367	0.357366
40	0.020379	0.1729	0.4316
41	0.0784	0.6652	0.254009
42	-0.060766	-0.5156	0.30385
43	-0.019475	-0.1653	0.434604
44	-0.009884	-0.0839	0.466698
45	0.06397	0.5428	0.294472
46	-0.093828	-0.7962	0.214278
47	0.008852	0.0751	0.470167
48	0.019344	0.1641	0.435042
49	0.010625	0.0902	0.464205
50	0.033839	0.2871	0.387417
51	0.066332	0.5628	0.287646
52	-0.072254	-0.6131	0.270873
53	0.024804	0.2105	0.416947
54	-0.046585	-0.3953	0.3469
55	0.061814	0.5245	0.300769
56	-0.008938	-0.0758	0.469878
57	-0.008494	-0.0721	0.471371
58	-0.006814	-0.0578	0.477027
59	0.009014	0.0765	0.469623
60	-0.018957	-0.1609	0.436327

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t12295033721qj87btmmjbxr7u/1rtju1229503313.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t12295033721qj87btmmjbxr7u/1rtju1229503313.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t12295033721qj87btmmjbxr7u/2btx81229503313.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t12295033721qj87btmmjbxr7u/2btx81229503313.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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