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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, 24 Dec 2008 07:35:03 -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/24/t12301294305fniorjvjd2bv6x.htm/, Retrieved Wed, 24 Dec 2008 15:37:12 +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/24/t12301294305fniorjvjd2bv6x.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 «

555 562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.261489	2.0085	0.024585
2	-0.20071	-1.5417	0.064248
3	-0.303746	-2.3331	0.011536
4	-0.254302	-1.9533	0.027764
5	0.029092	0.2235	0.411974
6	0.163563	1.2563	0.106971
7	0.043988	0.3379	0.368326
8	-0.234029	-1.7976	0.038678
9	-0.250488	-1.924	0.029589
10	-0.148806	-1.143	0.128827
11	0.271841	2.0881	0.02056
12	0.736226	5.6551	0
13	0.14517	1.1151	0.134671
14	-0.189588	-1.4563	0.075312
15	-0.282722	-2.1716	0.016958
16	-0.194432	-1.4935	0.070323
17	0.030358	0.2332	0.408213
18	0.119254	0.916	0.181696
19	0.021034	0.1616	0.436099
20	-0.222232	-1.707	0.046541
21	-0.194775	-1.4961	0.06998
22	-0.065289	-0.5015	0.308944
23	0.191383	1.47	0.073431
24	0.497195	3.819	0.000162
25	0.113885	0.8748	0.192625
26	-0.1699	-1.305	0.098475
27	-0.241955	-1.8585	0.034045
28	-0.13831	-1.0624	0.146196
29	0.015279	0.1174	0.453486
30	0.084964	0.6526	0.258268
31	-0.000218	-0.0017	0.499336
32	-0.168602	-1.2951	0.100173
33	-0.115151	-0.8845	0.190011
34	-0.057784	-0.4438	0.329389
35	0.113647	0.8729	0.193117
36	0.337645	2.5935	0.005981
37	0.0625	0.4801	0.316477
38	-0.143097	-1.0992	0.138084
39	-0.145587	-1.1183	0.133991
40	-0.066411	-0.5101	0.305937
41	0.022373	0.1719	0.432071
42	0.061258	0.4705	0.319856
43	-0.01643	-0.1262	0.450002
44	-0.089963	-0.691	0.246133
45	-0.041138	-0.316	0.376565
46	-0.024511	-0.1883	0.425656
47	0.086802	0.6667	0.253769
48	0.155459	1.1941	0.118609
49	0.025126	0.193	0.423812
50	-0.068372	-0.5252	0.300714
51	-0.068078	-0.5229	0.301496
52	-0.03183	-0.2445	0.40385
53	0.011874	0.0912	0.46382
54	0.03057	0.2348	0.407584
55	0.007223	0.0555	0.477972
56	-0.005133	-0.0394	0.484342
57	-0.004383	-0.0337	0.48663
58	-0.001229	-0.0094	0.49625
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.261489	2.0085	0.024585
2	-0.288837	-2.2186	0.015187
3	-0.188049	-1.4444	0.076954
4	-0.199722	-1.5341	0.065176
5	0.044366	0.3408	0.36724
6	-0.001676	-0.0129	0.494886
7	-0.095017	-0.7298	0.234187
8	-0.280928	-2.1578	0.017511
9	-0.149328	-1.147	0.128003
10	-0.219934	-1.6893	0.048216
11	0.193067	1.483	0.071702
12	0.599333	4.6036	1.1e-05
13	-0.188169	-1.4454	0.076824
14	0.103424	0.7944	0.215069
15	0.011661	0.0896	0.464466
16	0.077172	0.5928	0.2778
17	-0.048491	-0.3725	0.35544
18	-0.078114	-0.6	0.275399
19	-0.019047	-0.1463	0.442091
20	-0.053918	-0.4141	0.340134
21	-0.002845	-0.0219	0.491319
22	0.032933	0.253	0.400588
23	-0.238478	-1.8318	0.036016
24	-0.013211	-0.1015	0.459757
25	0.069799	0.5361	0.296939
26	-0.092397	-0.7097	0.240339
27	-0.021887	-0.1681	0.433533
28	-0.047502	-0.3649	0.358258
29	-0.023217	-0.1783	0.429536
30	-0.004491	-0.0345	0.486298
31	-0.069275	-0.5321	0.298323
32	0.060871	0.4676	0.320912
33	-0.033566	-0.2578	0.398718
34	-0.118616	-0.9111	0.182974
35	0.035767	0.2747	0.392241
36	-0.0903	-0.6936	0.245326
37	-0.100258	-0.7701	0.222157
38	-0.021086	-0.162	0.435943
39	0.036528	0.2806	0.390009
40	0.008108	0.0623	0.475275
41	-0.02178	-0.1673	0.433855
42	0.007345	0.0564	0.477601
43	-8e-06	-1e-04	0.499976
44	0.033154	0.2547	0.399935
45	0.074713	0.5739	0.284116
46	0.043259	0.3323	0.370428
47	-0.004623	-0.0355	0.485897
48	-0.14217	-1.092	0.139631
49	0.116316	0.8934	0.187626
50	0.017051	0.131	0.448121
51	-0.077979	-0.599	0.275745
52	-0.044605	-0.3426	0.366552
53	-0.011946	-0.0918	0.463599
54	-0.005212	-0.04	0.484099
55	0.058731	0.4511	0.326779
56	0.012388	0.0952	0.462258
57	-0.043743	-0.336	0.369034
58	-0.011534	-0.0886	0.464852
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t12301294305fniorjvjd2bv6x/1rl0n1230129301.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t12301294305fniorjvjd2bv6x/1rl0n1230129301.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t12301294305fniorjvjd2bv6x/2mmb61230129301.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t12301294305fniorjvjd2bv6x/2mmb61230129301.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; 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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