dennis volkaerts - opg6 - autocor

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 18 Aug 2009 11:23:21 -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/18/t1250616259d8ktogaoo7twgvi.htm/, Retrieved Tue, 18 Aug 2009 19:24:21 +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/18/t1250616259d8ktogaoo7twgvi.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 «

17.23 17.36 17.39 17.29 17.28 17.4 17.51 17.54 17.64 17.65 17.5 17.37 17.56 17.49 17.61 17.79 17.83 17.56 17.95 18.09 18.38 18.38 18.44 18.84 19.01 19.06 19.06 18.97 18.98 19.41 19.55 19.64 19.71 19.48 19.48 19.41 19.25 19.14 19.21 19.3 19.53 19.14 19.16 19.24 19.38 19.27 19.27 19.07 19.15 19.24 19.36 19.57 19.59 19.36 19.46 19.65 19.46 19.51 19.64 19.64 19.69 19.28 19.67 19.65 19.6 19.53 19.64 19.67 19.81 19.73 19.87 19.97 20.12 19.94 20.31 20.13 20.22 20.38 20.44 20.34 20.14 19.97 19.82 19.98 20.12

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 0.953191 8.788 0 2 0.913849 8.4253 0 3 0.877457 8.0898 0 4 0.838007 7.726 0 5 0.792264 7.3043 0 6 0.745464 6.8728 0 7 0.694305 6.4012 0 8 0.646616 5.9615 0 9 0.598821 5.5209 0 10 0.552686 5.0955 1e-06 11 0.500508 4.6145 7e-06 12 0.446781 4.1191 4.4e-05 13 0.393797 3.6306 0.000241 14 0.347607 3.2048 0.000952 15 0.301863 2.783 0.003317 16 0.262687 2.4219 0.008784 17 0.222111 2.0478 0.021835 18 0.176349 1.6259 0.053841 19 0.145174 1.3384 0.092161 20 0.117132 1.0799 0.14162 21 0.087724 0.8088 0.210452 22 0.062091 0.5725 0.284263 23 0.035649 0.3287 0.371608 24 0.025939 0.2391 0.405784 25 0.012222 0.1127 0.455276 26 8.2e-05 8e-04 0.499701 27 -0.015293 -0.141 0.444105 28 -0.026687 -0.246 0.40312 29 -0.04411 -0.4067 0.342633 30 -0.049773 -0.4589 0.323743 31 -0.049328 -0.4548 0.325214 32 -0.044876 -0.4137 0.340053 33 -0.043214 -0.3984 0.345662 34 -0.045704 -0.4214 0.337276 35 -0.048804 -0.45 0.326945 36 -0.05045 -0.4651 0.321515 37 -0.055336 -0.5102 0.305628 38 -0.061977 -0.5714 0.284618 39 -0.067879 -0.6258 0.266556 40 -0.075693 -0.6979 0.243585 41 -0.080316 -0.7405 0.230527 42 -0.087981 -0.8111 0.209775 43 -0.09543 -0.8798 0.190719 44 -0.102056 -0.9409 0.174708 45 -0.114608 -1.0566 0.146837 46 -0.128004 -1.1801 0.120618 47 -0.140511 -1.2954 0.099337 48 -0.158555 -1.4618 0.073741 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.953191 8.788 0 2 0.057705 0.532 0.298052 3 0.018063 0.1665 0.434067 4 -0.047469 -0.4376 0.331378 5 -0.09431 -0.8695 0.193513 6 -0.050865 -0.4689 0.320153 7 -0.082397 -0.7597 0.224778 8 0.002371 0.0219 0.491306 9 -0.021965 -0.2025 0.42 10 -0.002437 -0.0225 0.491063 11 -0.088122 -0.8124 0.209403 12 -0.064817 -0.5976 0.275853 13 -0.039291 -0.3622 0.359035 14 0.034552 0.3186 0.375422 15 -0.005694 -0.0525 0.479127 16 0.052092 0.4803 0.316137 17 -0.02937 -0.2708 0.393608 18 -0.10173 -0.9379 0.175476 19 0.103349 0.9528 0.17169 20 0.008767 0.0808 0.467885 21 -0.015562 -0.1435 0.443127 22 0.014315 0.132 0.447658 23 -0.043681 -0.4027 0.344084 24 0.15118 1.3938 0.083504 25 -0.06206 -0.5722 0.28436 26 -0.004079 -0.0376 0.485046 27 -0.067552 -0.6228 0.267542 28 0.006012 0.0554 0.477965 29 -0.090679 -0.836 0.202745 30 0.080085 0.7383 0.23117 31 0.081945 0.7555 0.226021 32 0.065336 0.6024 0.274266 33 -0.021579 -0.199 0.421388 34 -0.09698 -0.8941 0.186894 35 -0.040176 -0.3704 0.356003 36 -0.05572 -0.5137 0.304394 37 0.008124 0.0749 0.470237 38 -0.023515 -0.2168 0.414443 39 0.033852 0.3121 0.377863 40 -0.046195 -0.4259 0.335631 41 -0.020944 -0.1931 0.423673 42 -0.02606 -0.2403 0.405354 43 -0.007954 -0.0733 0.470858 44 0.016169 0.1491 0.440926 45 -0.064651 -0.5961 0.276361 46 -0.008748 -0.0806 0.467956 47 -0.0261 -0.2406 0.405211 48 -0.086067 -0.7935 0.214849

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/18/t1250616259d8ktogaoo7twgvi/1925a1250616199.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/18/t1250616259d8ktogaoo7twgvi/1925a1250616199.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/18/t1250616259d8ktogaoo7twgvi/2jtm81250616199.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/18/t1250616259d8ktogaoo7twgvi/2jtm81250616199.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

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')

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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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