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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 09:36:11 -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/t1250436991r5nefp4adup1g4b.htm/, Retrieved Sun, 16 Aug 2009 17:36:33 +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/t1250436991r5nefp4adup1g4b.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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.181746	1.7714	0.039847
2	-0.127827	-1.2459	0.107931
3	-0.004759	-0.0464	0.48155
4	-0.115091	-1.1218	0.132395
5	0.00669	0.0652	0.474074
6	-0.054674	-0.5329	0.297676
7	-0.086337	-0.8415	0.201087
8	-0.143469	-1.3984	0.082631
9	-0.132107	-1.2876	0.100503
10	0.092742	0.9039	0.184158
11	0.36872	3.5938	0.000259
12	0.050726	0.4944	0.311078
13	-0.128716	-1.2546	0.106357
14	0.098353	0.9586	0.170091
15	-0.058134	-0.5666	0.286155
16	-0.07252	-0.7068	0.240699
17	-0.0557	-0.5429	0.294236
18	-0.122647	-1.1954	0.11745
19	-0.025158	-0.2452	0.403413
20	-0.079939	-0.7791	0.218915
21	-0.010928	-0.1065	0.457699
22	0.038205	0.3724	0.35522
23	-0.046716	-0.4553	0.324954
24	0.03002	0.2926	0.385232
25	0.112299	1.0946	0.13824
26	-0.093615	-0.9124	0.181923
27	-0.126991	-1.2378	0.109428
28	0.000573	0.0056	0.497779
29	-0.01328	-0.1294	0.448643
30	0.062559	0.6097	0.271743
31	0.042663	0.4158	0.339236
32	-0.075149	-0.7325	0.232845
33	-0.10139	-0.9882	0.162775
34	-0.046622	-0.4544	0.325283
35	0.01526	0.1487	0.441037
36	0.143895	1.4025	0.082011
37	0.032623	0.318	0.375601
38	-0.013904	-0.1355	0.446246
39	0.015152	0.1477	0.441454
40	-0.056684	-0.5525	0.290958
41	0.113533	1.1066	0.135633
42	-0.000319	-0.0031	0.498763
43	-0.184534	-1.7986	0.037628
44	-0.134821	-1.3141	0.095994
45	-0.113512	-1.1064	0.135679
46	-0.019822	-0.1932	0.423607
47	0.079902	0.7788	0.21902
48	0.082174	0.8009	0.212584

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.181746	1.7714	0.039847
2	-0.166354	-1.6214	0.054121
3	0.055915	0.545	0.293518
4	-0.156817	-1.5285	0.06486
5	0.07905	0.7705	0.221462
6	-0.128865	-1.256	0.106095
7	-0.022947	-0.2237	0.411751
8	-0.189813	-1.8501	0.033706
9	-0.0681	-0.6638	0.254226
10	0.065866	0.642	0.261214
11	0.347675	3.3887	0.000512
12	-0.135075	-1.3165	0.095579
13	-0.031117	-0.3033	0.381165
14	0.09919	0.9668	0.168054
15	-0.076755	-0.7481	0.228118
16	-0.076237	-0.7431	0.229639
17	-0.067584	-0.6587	0.255833
18	-0.040689	-0.3966	0.346282
19	0.078331	0.7635	0.223537
20	-0.067828	-0.6611	0.255071
21	-0.071976	-0.7015	0.242341
22	-0.133064	-1.2969	0.098896
23	0.005067	0.0494	0.480358
24	0.040605	0.3958	0.346581
25	-0.01284	-0.1252	0.450334
26	-0.169403	-1.6511	0.051006
27	-0.013975	-0.1362	0.44597
28	0.010545	0.1028	0.459178
29	0.023384	0.2279	0.410101
30	-0.014547	-0.1418	0.443775
31	0.042669	0.4159	0.339216
32	-0.061734	-0.6017	0.274399
33	-0.091388	-0.8907	0.187659
34	-0.044343	-0.4322	0.333285
35	-0.112885	-1.1003	0.136998
36	0.133964	1.3057	0.0974
37	0.086669	0.8447	0.200187
38	0.060624	0.5909	0.277999
39	-0.113688	-1.1081	0.135309
40	-0.064155	-0.6253	0.266634
41	0.093237	0.9088	0.182889
42	-0.135969	-1.3253	0.094132
43	-0.179831	-1.7528	0.041433
44	-0.086656	-0.8446	0.200223
45	-0.037306	-0.3636	0.358478
46	-0.004715	-0.046	0.48172
47	-0.046504	-0.4533	0.325697
48	-0.052187	-0.5087	0.306087

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/16/t1250436991r5nefp4adup1g4b/19okj1250436969.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/16/t1250436991r5nefp4adup1g4b/19okj1250436969.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/16/t1250436991r5nefp4adup1g4b/2bag41250436969.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/16/t1250436991r5nefp4adup1g4b/2bag41250436969.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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