*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 09:34:29 -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/t1250436922k9rx5juf89fh09t.htm/, Retrieved Sun, 16 Aug 2009 17:35:22 +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/t1250436922k9rx5juf89fh09t.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 «

105.46 104.66 103.52 103.71 103.78 103.67 103.66 102.76 102 101.5 101.5 99.22 98.97 98.9 99.78 104.4 106.21 105.46 108.33 111.72 111.88 112.86 113.09 116.9 114.62 118.86 124.71 122.53 127.89 136.16 134.12 130.26 135.35 131.43 129.61 123.96 121.1 125.38 123.1 129.92 136.68 131.17 124.82 122.47 126.15 118.74 116.8 116.64 116.53 117.68 119.46 126.19 124.39 121.9 122.53 122.93 124.66 124.41 120.93 120.18 123.44 126.1 125.82 122.18 117.27 117.86 119.09 123.08 125.42 121.81 121.66 121.27 120.92 122.16 124.17 127.26 134.16 134.09 135.57 136.13 136.23 140.6 136.5 130.59 129.5 135.25 138.06 146.28 145.04 147.96 156.71 160.97 168.17 163.91 153.05 151.76

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 0.942035 9.23 0 2 0.869388 8.5182 0 3 0.787476 7.7157 0 4 0.698726 6.8461 0 5 0.625434 6.128 0 6 0.556107 5.4487 0 7 0.500845 4.9073 2e-06 8 0.452979 4.4383 1.2e-05 9 0.410439 4.0215 5.8e-05 10 0.385711 3.7792 0.000137 11 0.358211 3.5097 0.000342 12 0.313152 3.0683 0.001399 13 0.262433 2.5713 0.005833 14 0.210514 2.0626 0.020925 15 0.146685 1.4372 0.076954 16 0.095366 0.9344 0.176223 17 0.049291 0.483 0.315114 18 0.005845 0.0573 0.477225 19 -0.026444 -0.2591 0.398057 20 -0.055122 -0.5401 0.295195 21 -0.07003 -0.6862 0.247135 22 -0.079755 -0.7814 0.218235 23 -0.089362 -0.8756 0.191727 24 -0.091525 -0.8968 0.186045 25 -0.098378 -0.9639 0.168758 26 -0.109342 -1.0713 0.143354 27 -0.109999 -1.0778 0.141919 28 -0.11001 -1.0779 0.141895 29 -0.102507 -1.0044 0.158864 30 -0.081646 -0.8 0.212854 31 -0.064657 -0.6335 0.263955 32 -0.052835 -0.5177 0.302936 33 -0.038752 -0.3797 0.352508 34 -0.026989 -0.2644 0.396005 35 -0.014616 -0.1432 0.443213 36 -0.004805 -0.0471 0.481273 37 -0.002224 -0.0218 0.491329 38 0.000698 0.0068 0.497278 39 -0.002647 -0.0259 0.48968 40 -0.001735 -0.017 0.493237 41 0.01064 0.1043 0.458593 42 0.011629 0.1139 0.454762 43 0.007641 0.0749 0.470239 44 0.009028 0.0885 0.464849 45 0.01888 0.185 0.426815 46 0.037898 0.3713 0.355607 47 0.058331 0.5715 0.28449 48 0.074765 0.7325 0.232811 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.942035 9.23 0 2 -0.160261 -1.5702 0.059826 3 -0.107579 -1.0541 0.147252 4 -0.091942 -0.9008 0.184963 5 0.107233 1.0507 0.148026 6 -0.033921 -0.3324 0.370172 7 0.064309 0.6301 0.265064 8 -0.017393 -0.1704 0.432522 9 0.006402 0.0627 0.475056 10 0.1072 1.0503 0.1481 11 -0.066673 -0.6533 0.257576 12 -0.199204 -1.9518 0.026938 13 -0.048973 -0.4798 0.316216 14 0.033875 0.3319 0.370341 15 -0.135863 -1.3312 0.093142 16 0.083229 0.8155 0.208411 17 -0.016823 -0.1648 0.43471 18 -0.049615 -0.4861 0.313991 19 0.028612 0.2803 0.389909 20 -0.010777 -0.1056 0.458061 21 0.012248 0.12 0.452364 22 0.007163 0.0702 0.472099 23 0.008931 0.0875 0.465227 24 0.010544 0.1033 0.458965 25 -0.013523 -0.1325 0.447433 26 -0.022481 -0.2203 0.413067 27 0.072949 0.7148 0.238249 28 -0.005983 -0.0586 0.476687 29 0.065511 0.6419 0.261242 30 0.08453 0.8282 0.2048 31 -0.059787 -0.5858 0.279694 32 -0.086219 -0.8448 0.200169 33 0.053073 0.52 0.302127 34 0.007763 0.0761 0.469764 35 -0.024023 -0.2354 0.407211 36 0.027864 0.273 0.392718 37 -0.053096 -0.5202 0.30205 38 -0.011865 -0.1163 0.453846 39 -0.004097 -0.0401 0.48403 40 0.019624 0.1923 0.423966 41 0.021231 0.208 0.417826 42 -0.080557 -0.7893 0.215944 43 -0.047754 -0.4679 0.320461 44 0.066788 0.6544 0.257215 45 0.140762 1.3792 0.085522 46 0.042859 0.4199 0.337737 47 -0.014339 -0.1405 0.444284 48 -0.03608 -0.3535 0.362241

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/16/t1250436922k9rx5juf89fh09t/182jo1250436865.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/16/t1250436922k9rx5juf89fh09t/182jo1250436865.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/16/t1250436922k9rx5juf89fh09t/2mme21250436865.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/16/t1250436922k9rx5juf89fh09t/2mme21250436865.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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