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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: Sun, 16 Aug 2009 09:23:14 -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/t12504362179nmwzkbu40bp2c3.htm/, Retrieved Sun, 16 Aug 2009 17:23:37 +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/t12504362179nmwzkbu40bp2c3.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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.035173	0.3428	0.366244
2	-0.20067	-1.9559	0.026708
3	-0.170415	-1.661	0.050006
4	-0.094539	-0.9215	0.179575
5	-0.022393	-0.2183	0.413846
6	-0.006831	-0.0666	0.473528
7	-0.015212	-0.1483	0.441223
8	-0.073235	-0.7138	0.238549
9	-0.13893	-1.3541	0.089454
10	-0.173554	-1.6916	0.047001
11	0.009953	0.097	0.46146
12	0.708173	6.9024	0
13	0.054788	0.534	0.297291
14	-0.172439	-1.6807	0.048051
15	-0.152455	-1.4859	0.070302
16	-0.071963	-0.7014	0.242383
17	-0.004777	-0.0466	0.481479
18	-0.004758	-0.0464	0.481554
19	-0.010106	-0.0985	0.460873
20	-0.06965	-0.6789	0.249436
21	-0.134476	-1.3107	0.096558
22	-0.197229	-1.9224	0.028779
23	-0.052996	-0.5165	0.30334
24	0.659407	6.4271	0
25	0.093905	0.9153	0.181184
26	-0.093179	-0.9082	0.183037
27	-0.11216	-1.0932	0.138535
28	-0.053747	-0.5239	0.300799
29	0.003015	0.0294	0.488308
30	0.006672	0.065	0.474141
31	-0.015193	-0.1481	0.441296
32	-0.061669	-0.6011	0.274611
33	-0.11512	-1.1221	0.132335
34	-0.15858	-1.5456	0.062757
35	-0.058701	-0.5721	0.284288
36	0.571657	5.5718	0
37	0.118413	1.1541	0.125668
38	-0.094915	-0.9251	0.178625
39	-0.134018	-1.3062	0.097311
40	-0.053919	-0.5255	0.300219
41	-0.00505	-0.0492	0.480421
42	-0.004946	-0.0482	0.480824
43	-0.011104	-0.1082	0.45702
44	-0.044311	-0.4319	0.3334
45	-0.071184	-0.6938	0.244747
46	-0.111844	-1.0901	0.13921
47	-0.054885	-0.535	0.296966
48	0.358743	3.4966	0.000359

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.035173	0.3428	0.366244
2	-0.202157	-1.9704	0.025853
3	-0.161616	-1.5752	0.059263
4	-0.135501	-1.3207	0.094888
5	-0.096916	-0.9446	0.173624
6	-0.09352	-0.9115	0.182165
7	-0.092917	-0.9056	0.183709
8	-0.150574	-1.4676	0.072757
9	-0.236265	-2.3028	0.011735
10	-0.351337	-3.4244	0.000456
11	-0.302037	-2.9439	0.002037
12	0.558774	5.4463	0
13	-0.067799	-0.6608	0.255163
14	-0.039082	-0.3809	0.352053
15	-0.035231	-0.3434	0.366031
16	-0.017701	-0.1725	0.431696
17	-0.025782	-0.2513	0.401064
18	-0.057598	-0.5614	0.287925
19	-0.05737	-0.5592	0.288679
20	-0.094152	-0.9177	0.180556
21	-0.127995	-1.2475	0.107632
22	-0.222496	-2.1686	0.016304
23	-0.282722	-2.7556	0.003511
24	0.129431	1.2615	0.105102
25	-0.123715	-1.2058	0.115439
26	0.010938	0.1066	0.457663
27	-0.024378	-0.2376	0.40635
28	-0.018487	-0.1802	0.428695
29	-0.02113	-0.206	0.418635
30	-0.005085	-0.0496	0.480286
31	-0.042686	-0.416	0.339157
32	-0.033174	-0.3233	0.373573
33	-0.029379	-0.2864	0.387616
34	0.020716	0.2019	0.420208
35	-0.016712	-0.1629	0.435477
36	0.054894	0.535	0.296935
37	0.027575	0.2688	0.394344
38	-0.020528	-0.2001	0.420922
39	-0.048569	-0.4734	0.318511
40	-0.001987	-0.0194	0.492294
41	-0.040451	-0.3943	0.347133
42	-0.047939	-0.4672	0.320697
43	-0.036107	-0.3519	0.362837
44	-0.012513	-0.122	0.451593
45	0.04506	0.4392	0.330762
46	0.12231	1.1921	0.11809
47	0.159002	1.5498	0.062262
48	-0.211581	-2.0622	0.020958

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/16/t12504362179nmwzkbu40bp2c3/1rna21250436190.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/16/t12504362179nmwzkbu40bp2c3/1rna21250436190.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/16/t12504362179nmwzkbu40bp2c3/2537w1250436190.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/16/t12504362179nmwzkbu40bp2c3/2537w1250436190.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; 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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