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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 07:41:27 -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/t1230129750a5uaj824ni9e9if.htm/, Retrieved Wed, 24 Dec 2008 15:42:32 +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/t1230129750a5uaj824ni9e9if.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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.056864	-0.3898	0.349208
2	0.108431	0.7434	0.230481
3	0.151307	1.0373	0.15245
4	0.120968	0.8293	0.205559
5	0.022829	0.1565	0.438153
6	0.05079	0.3482	0.364623
7	0.025625	0.1757	0.430653
8	0.092491	0.6341	0.264549
9	-0.031185	-0.2138	0.415817
10	-0.086338	-0.5919	0.278376
11	0.281755	1.9316	0.029724
12	-0.168471	-1.155	0.126969
13	-0.09393	-0.644	0.261368
14	0.037365	0.2562	0.399473
15	-0.064856	-0.4446	0.329314
16	-0.118855	-0.8148	0.209639
17	-0.028555	-0.1958	0.422821
18	-0.075938	-0.5206	0.302543
19	0.02912	0.1996	0.421314
20	-0.01544	-0.1059	0.458075
21	-0.023767	-0.1629	0.435633
22	0.062281	0.427	0.335672
23	-0.018477	-0.1267	0.44987
24	-0.144269	-0.9891	0.16385
25	-0.023218	-0.1592	0.437107
26	-0.096034	-0.6584	0.256754
27	-0.052698	-0.3613	0.359756
28	-0.027835	-0.1908	0.424742
29	0.061401	0.4209	0.337858
30	-0.039583	-0.2714	0.393648
31	0.044905	0.3079	0.379776
32	-0.060111	-0.4121	0.341069
33	-0.021227	-0.1455	0.44246
34	-0.054286	-0.3722	0.355722
35	-0.028179	-0.1932	0.423822
36	-0.034102	-0.2338	0.408082
37	-0.076731	-0.526	0.300667
38	-0.020162	-0.1382	0.445326
39	-0.043418	-0.2977	0.383638
40	0.02248	0.1541	0.439089
41	-0.081149	-0.5563	0.290313
42	0.031734	0.2176	0.414358
43	0.016901	0.1159	0.454125
44	-0.016666	-0.1143	0.454759
45	-0.012861	-0.0882	0.465059
46	-0.045178	-0.3097	0.37907
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.056864	-0.3898	0.349208
2	0.105538	0.7235	0.236468
3	0.165192	1.1325	0.131585
4	0.13386	0.9177	0.18173
5	0.00801	0.0549	0.478221
6	0.000757	0.0052	0.49794
7	-0.014987	-0.1027	0.459302
8	0.071255	0.4885	0.313733
9	-0.032705	-0.2242	0.411782
10	-0.12535	-0.8594	0.197253
11	0.261503	1.7928	0.039723
12	-0.135284	-0.9275	0.179213
13	-0.151025	-1.0354	0.152896
14	0.00191	0.0131	0.494803
15	-0.064394	-0.4415	0.330452
16	-0.07876	-0.54	0.29589
17	-0.006102	-0.0418	0.483403
18	-0.028869	-0.1979	0.421982
19	0.03888	0.2665	0.395492
20	0.080549	0.5522	0.291708
21	0.054456	0.3733	0.35529
22	-0.048346	-0.3314	0.370892
23	0.05499	0.377	0.353938
24	-0.124127	-0.851	0.199549
25	-0.138743	-0.9512	0.17319
26	-0.07828	-0.5367	0.297018
27	0.005155	0.0353	0.48598
28	-0.008023	-0.055	0.478185
29	0.154233	1.0574	0.147875
30	-0.020381	-0.1397	0.444738
31	0.016654	0.1142	0.454794
32	-0.045855	-0.3144	0.377318
33	-0.083178	-0.5702	0.285616
34	-0.11739	-0.8048	0.212498
35	0.06494	0.4452	0.329107
36	0.005125	0.0351	0.486061
37	-0.072993	-0.5004	0.309559
38	0.016157	0.1108	0.456137
39	-0.035729	-0.2449	0.403782
40	-0.0643	-0.4408	0.330682
41	-0.034741	-0.2382	0.406392
42	-0.028678	-0.1966	0.422491
43	0.052615	0.3607	0.359967
44	0.059553	0.4083	0.342464
45	0.061593	0.4223	0.33738
46	-0.101722	-0.6974	0.244502
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
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/t1230129750a5uaj824ni9e9if/16tp41230129685.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230129750a5uaj824ni9e9if/16tp41230129685.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230129750a5uaj824ni9e9if/2xv3a1230129685.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230129750a5uaj824ni9e9if/2xv3a1230129685.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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