*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 16 Aug 2009 09:12:19 -0600

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Aug/16/t1250435562q3r0j42eoura6r3.htm/, Retrieved Sun, 16 Aug 2009 17:12:45 +0200

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/2009/Aug/16/t1250435562q3r0j42eoura6r3.htm/}, year = {2009}, } @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 = {2009}, 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 «

72.84 73.96 73.26 73.86 73.04 212.8 157.92 111.55 99.01 89.5 100.95 116.06 131.5 137.43 138.53 137.26 136.81 182.98 149.45 109.34 93.37 84.09 83.83 82.94 82.88 81.41 79.87 79.66 76.07 182.69 165.78 142.5 120.6 105.73 98.72 98.41 96.08 97.3 97.5 97.02 98.75 232.81 240.83 193.4 148.28 138.34 135.34 134.02 133.86 131.67 132.43 130.21 129.98 206.16 195.17 159.16 136.33 125.18 121.21 119.38 119.26 119.75 118.78 116.97 121.69 223.51 228.58 205.22 189.4 180.14 177.59 176.39 171.16 173.11 171.74 175.97 179.64 254.62 240.5 212.01 176.36 153.24 146.69 141.52 142.6 143.19 142.32 142.03 144.92 177.31 194.4 189.19 180.44 175.84 178.54 176.55

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 0.734879 7.2003 0 2 0.451668 4.4254 1.3e-05 3 0.268114 2.627 0.005014 4 0.168255 1.6486 0.051254 5 0.11295 1.1067 0.135598 6 0.118438 1.1605 0.124371 7 0.110443 1.0821 0.140956 8 0.098898 0.969 0.167491 9 0.11955 1.1714 0.122178 10 0.205603 2.0145 0.023378 11 0.381835 3.7412 0.000156 12 0.558452 5.4717 0 13 0.387743 3.7991 0.000127 14 0.1908 1.8695 0.032304 15 0.078847 0.7725 0.220847 16 0.037924 0.3716 0.355513 17 0.025731 0.2521 0.400746 18 0.027016 0.2647 0.395902 19 0.015292 0.1498 0.440606 20 0.00715 0.0701 0.472147 21 0.02802 0.2745 0.392129 22 0.112697 1.1042 0.136132 23 0.294689 2.8874 0.0024 24 0.502479 4.9233 2e-06 25 0.379957 3.7228 0.000166 26 0.209178 2.0495 0.02157 27 0.083089 0.8141 0.2088 28 0.010359 0.1015 0.459685 29 -0.040652 -0.3983 0.345643 30 -0.059308 -0.5811 0.281268 31 -0.086999 -0.8524 0.198053 32 -0.097193 -0.9523 0.17167 33 -0.083888 -0.8219 0.206577 34 -0.019185 -0.188 0.425647 35 0.121518 1.1906 0.118368 36 0.291117 2.8524 0.002657 37 0.17457 1.7104 0.045208 38 -0.001253 -0.0123 0.495115 39 -0.130809 -1.2817 0.101524 40 -0.196224 -1.9226 0.028747 41 -0.238863 -2.3404 0.010667 42 -0.237096 -2.3231 0.011144 43 -0.232017 -2.2733 0.012619 44 -0.224672 -2.2013 0.015054 45 -0.211758 -2.0748 0.020341 46 -0.167603 -1.6422 0.051913 47 -0.068916 -0.6752 0.250574 48 0.055962 0.5483 0.292373 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.734879 7.2003 0 2 -0.192147 -1.8826 0.031388 3 0.030744 0.3012 0.381944 4 0.018393 0.1802 0.428681 5 0.005037 0.0494 0.480369 6 0.09245 0.9058 0.18365 7 -0.032627 -0.3197 0.374955 8 0.025876 0.2535 0.400199 9 0.084261 0.8256 0.205543 10 0.171769 1.683 0.047814 11 0.316877 3.1047 0.001252 12 0.259037 2.538 0.006379 13 -0.528398 -5.1772 1e-06 14 0.062947 0.6168 0.269429 15 0.058751 0.5756 0.283101 16 0.044205 0.4331 0.33295 17 0.021568 0.2113 0.416542 18 -0.194316 -1.9039 0.029959 19 0.013644 0.1337 0.446968 20 0.133833 1.3113 0.096443 21 0.040331 0.3952 0.346801 22 0.086841 0.8509 0.198482 23 0.091769 0.8992 0.185411 24 0.183273 1.7957 0.037844 25 -0.203526 -1.9941 0.024487 26 0.015795 0.1548 0.438668 27 -0.086746 -0.8499 0.198737 28 -0.048818 -0.4783 0.316758 29 -0.02141 -0.2098 0.417145 30 -0.065279 -0.6396 0.261976 31 -0.066287 -0.6495 0.258792 32 0.060788 0.5956 0.276422 33 -0.032936 -0.3227 0.373809 34 0.010008 0.0981 0.461047 35 -0.049392 -0.4839 0.314763 36 -0.031195 -0.3056 0.380267 37 -0.09904 -0.9704 0.167144 38 -0.082271 -0.8061 0.211093 39 -0.058965 -0.5777 0.282398 40 -0.041389 -0.4055 0.342996 41 -0.079327 -0.7772 0.219463 42 0.024651 0.2415 0.404829 43 -0.008222 -0.0806 0.46798 44 -0.016394 -0.1606 0.436363 45 -0.041767 -0.4092 0.341642 46 -0.073284 -0.718 0.237241 47 -0.106684 -1.0453 0.149257 48 -0.131166 -1.2852 0.100914

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/16/t1250435562q3r0j42eoura6r3/18q481250435537.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/16/t1250435562q3r0j42eoura6r3/18q481250435537.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/16/t1250435562q3r0j42eoura6r3/2004o1250435537.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/16/t1250435562q3r0j42eoura6r3/2004o1250435537.ps (open in new window)

Parameters (Session):

par2 = grey ; par3 = FALSE ; par4 = Unknown ;

Parameters (R input):

par1 = 48 ; 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 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')

Copyright

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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