Paper: Residu's

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 11 Jan 2008 08:18:04 -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/Jan/11/t12000645748xkr9ghpm517mkd.htm/, Retrieved Fri, 11 Jan 2008 16:16:16 +0100

User-defined keywords:

autocorrelatie Tinne Van der Eycken

Dataseries X:

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-5.97140410767898 -3.6691753651635 3.22573243778312 8.46994742622872 2.36104613837392 2.27810301334516 -1.89643356409454 -5.57048190071753 1.59306810529995 -1.15395525058041 -6.72929075561101 5.66399576285171 0.880403851972294 0.0619490573441767 8.08456537817682 -6.2448790022095 -2.24567792980042 2.59166701507407 0.601813487319091 4.8272769098794 5.09668174354169 -3.33658622020570 5.34417316066118 1.99609666699276 0.415333303125725 -0.900878021038933 -3.09016502696032 -1.53443811684522 5.61627406480226 -0.498380340378351 -0.443356334553083 -2.97096557941350 0.937268288719855 0.471804866159551 -0.0743614606905861 -6.83970786794111 -0.673055658412168 2.52156302681157 -8.65114003996448 -3.54390202061101 -4.50157864426839 -3.61584164436451 -1.48647635742622 1.68874294472572 -6.24526584517324 3.14185515887046 0.155104567902546 -4.48946146647238 1.49426292301859 1.98654130204668 0.431007250964857 2.85327171343702 -1.23006362910736 -0.75554804367637 3.22445276875476 2.02542762552591 -1.38175229238826 0.876881445756102 1.30437448773787 3.669076904569 3.85445968797453

Text written by user:

Output produced by software:

Summary of compuational 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 0 1 7.8102 0 1 0.029617 0.2313 0.408921 2 -0.07947 -0.6207 0.73144 3 0.197596 1.5433 0.063968 4 -0.198817 -1.5528 0.937179 5 0.093913 0.7335 0.233036 6 0.293826 2.2949 0.012598 7 -0.326288 -2.5484 0.993322 8 0.151059 1.1798 0.121329 9 0.315288 2.4625 0.008319 10 -0.132299 -1.0333 0.847226 11 0.044442 0.3471 0.364855 12 -0.120729 -0.9429 0.82528 13 -0.283825 -2.2167 0.984811 14 0.081716 0.6382 0.26286 15 0.019653 0.1535 0.439258 16 -0.150401 -1.1747 0.877654 17 0.09142 0.714 0.238971 18 -0.141254 -1.1032 0.86287 19 -0.174722 -1.3646 0.911308 20 -0.019355 -0.1512 0.55983 21 -0.153628 -1.1999 0.882586 22 -0.195984 -1.5307 0.934491 23 0.071098 0.5553 0.290363 24 -0.20372 -1.5911 0.941622 25 0.044361 0.3465 0.365092 26 0.117202 0.9154 0.181799 27 -0.170741 -1.3335 0.906342 28 -0.034429 -0.2689 0.605542 29 0.102411 0.7999 0.213449 30 -0.107558 -0.8401 0.79792 31 0.163144 1.2742 0.103713 32 0.071046 0.5549 0.2905 33 -0.165325 -1.2912 0.899252 34 0.109383 0.8543 0.198139 35 -0.000457 -0.0036 0.501418 36 -0.147401 -1.1512 0.872937 37 0.113554 0.8869 0.189311 38 0.038991 0.3045 0.380879 39 -0.051147 -0.3995 0.654528 40 0.162771 1.2713 0.104227 41 0.012958 0.1012 0.459861 42 -0.02156 -0.1684 0.566584 43 0.051031 0.3986 0.345802 44 -0.06456 -0.5042 0.692043 45 -0.040685 -0.3178 0.624124 46 0.120761 0.9432 0.174657 47 0.034206 0.2672 0.395124 48 -0.00059 -0.0046 0.501832 49 -0.009828 -0.0768 0.530466 50 -0.049741 -0.3885 0.650496 51 0.007725 0.0603 0.476043 52 0.023514 0.1836 0.42745 53 -0.042958 -0.3355 0.630806 54 -0.023454 -0.1832 0.572369 55 0.029091 0.2272 0.41051 56 0.059173 0.4622 0.322806 57 0.041262 0.3223 0.374175 58 -0.010559 -0.0825 0.532726 59 -0.043169 -0.3372 0.631422 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 0 0.029617 0.2313 0.408921 1 -0.080418 -0.6281 0.733854 2 0.204018 1.5934 0.058116 3 -0.232654 -1.8171 0.962941 4 0.175752 1.3727 0.087441 5 0.207393 1.6198 0.055218 6 -0.312962 -2.4443 0.991291 7 0.239969 1.8742 0.032846 8 0.230868 1.8031 0.038153 9 -0.041183 -0.3216 0.62559 10 -0.163613 -1.2779 0.896929 11 -0.160442 -1.2531 0.892523 12 -0.00574 -0.0448 0.517805 13 -0.20638 -1.6119 0.943924 14 0.015528 0.1213 0.451936 15 0.038165 0.2981 0.383328 16 -0.015396 -0.1202 0.547658 17 -0.216273 -1.6891 0.951851 18 -0.126265 -0.9862 0.836025 19 -0.00861 -0.0672 0.526697 20 -0.034681 -0.2709 0.606296 21 -0.17881 -1.3966 0.916196 22 0.096565 0.7542 0.226817 23 -0.219532 -1.7146 0.954253 24 0.094704 0.7397 0.23117 25 -0.018665 -0.1458 0.557713 26 -0.010814 -0.0845 0.533516 27 0.027091 0.2116 0.416568 28 0.094656 0.7393 0.231284 29 0.063041 0.4924 0.312114 30 -0.02714 -0.212 0.583583 31 0.034316 0.268 0.394795 32 -0.025434 -0.1986 0.578398 33 -0.170458 -1.3313 0.905981 34 -0.116709 -0.9115 0.817197 35 -0.146555 -1.1446 0.871583 36 -0.019458 -0.152 0.560144 37 -0.030306 -0.2367 0.593157 38 -0.084805 -0.6624 0.74488 39 -0.068978 -0.5387 0.703984 40 0.065711 0.5132 0.304825 41 0.014744 0.1152 0.454352 42 -0.102949 -0.8041 0.787756 43 -0.013115 -0.1024 0.540624 44 0.145634 1.1374 0.129902 45 -0.093939 -0.7337 0.767026 46 0.032036 0.2502 0.401633 47 -0.048245 -0.3768 0.646187 48 0.035997 0.2811 0.389774 49 -0.087403 -0.6826 0.751289 50 0.000322 0.0025 0.499 51 0.038539 0.301 0.382219 52 -0.0041 -0.032 0.512721 53 -0.118399 -0.9247 0.820624 54 -0.061829 -0.4829 0.684552 55 -0.009507 -0.0743 0.529474 56 -0.050377 -0.3935 0.652324 57 -0.044893 -0.3506 0.636462 58 -0.006261 -0.0489 0.519422 59 -0.102947 -0.804 0.787753

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Jan/11/t12000645748xkr9ghpm517mkd/1w1b91200064682.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Jan/11/t12000645748xkr9ghpm517mkd/1w1b91200064682.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Jan/11/t12000645748xkr9ghpm517mkd/2gtb81200064682.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Jan/11/t12000645748xkr9ghpm517mkd/2gtb81200064682.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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 1:par1) { 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(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-1,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(mytstat,lengthx),6)) a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable1.tab')

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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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