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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: Wed, 09 Dec 2009 02:57:16 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/09/t1260352686k00wwfq6um9x2df.htm/, Retrieved Wed, 09 Dec 2009 10:58:08 +0100

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/Dec/09/t1260352686k00wwfq6um9x2df.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:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

8.82000 8.80000 8.82000 8.58000 8.54000 8.42000 8.43000 8.44000 8.09000 7.69000 7.56000 7.54000 7.40000 7.39000 7.37000 7.31000 7.35000 7.26000 7.37000 7.35000 7.33000 7.32000 7.31000 7.33000 7.32000 7.27000 7.48000 7.70000 7.77000 7.80000 7.84000 7.81000 7.78000 7.82000 7.80000 7.81000 7.80000 7.66000 7.41000 7.35000 7.39000 7.32000 7.32000 7.30000 7.29000 7.26000 7.22000 7.21000 7.21000 7.21000 7.20000 7.19000 7.18000 7.12000 7.12000 7.07000 7.08000 7.05000 7.06000 7.07000 7.08000 7.08000 7.09000 7.07000 7.06000 6.99000 6.99000 6.99000 6.98000 6.96000 6.95000 6.91000 6.91000 6.87000 6.91000 6.89000 6.88000 6.90000 6.91000 6.85000 6.86000 6.82000 6.80000 6.83000 6.84000 6.89000 7.14000 7.21000 7.25000 7.31000 7.30000 7.48000 7.49000 7.40000 7.44000 7.42000 7.14000 7.24000 7.33000 7.61000 7.66000 7.69000 7.70000 7.68000 7.71000 7.71000 7.72000 7.68000 7.72000 7.74000 7.76000 7.90000 7.97000 7.96000 etc...

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	0.35405	4.0523	4.3e-05
2	0.152026	1.74	0.042103
3	0.143102	1.6379	0.051924
4	0.096816	1.1081	0.134923
5	0.110857	1.2688	0.103378
6	0.120674	1.3812	0.084787
7	0.05734	0.6563	0.256395
8	0.082245	0.9413	0.174131
9	0.0262	0.2999	0.382375
10	-0.091271	-1.0446	0.149056
11	0.000469	0.0054	0.497861
12	0.07231	0.8276	0.204694
13	0.101266	1.159	0.124275
14	0.07685	0.8796	0.190348
15	-0.081913	-0.9375	0.175103
16	-0.010017	-0.1147	0.454448
17	-0.064801	-0.7417	0.229804
18	-0.193982	-2.2202	0.014061
19	-0.131048	-1.4999	0.068021
20	-0.025774	-0.295	0.384231
21	-0.048812	-0.5587	0.288669
22	0.001191	0.0136	0.494572
23	0.005028	0.0576	0.477097
24	-0.017929	-0.2052	0.418863
25	0.07567	0.8661	0.194015
26	0.104205	1.1927	0.117575
27	0.027949	0.3199	0.37478
28	0.068055	0.7789	0.218716
29	0.125765	1.4395	0.076204
30	0.080585	0.9223	0.179025
31	0.02154	0.2465	0.402828
32	0.019597	0.2243	0.411437
33	0.093716	1.0726	0.142704
34	0.083879	0.96	0.169401
35	0.048135	0.5509	0.291311
36	0.036321	0.4157	0.33915
37	0.037683	0.4313	0.333478
38	0.057673	0.6601	0.255176
39	0.012359	0.1415	0.443866
40	0.018891	0.2162	0.414579
41	0.033298	0.3811	0.35187
42	0.00122	0.014	0.494442
43	0.020083	0.2299	0.40928
44	-0.004826	-0.0552	0.478016
45	-0.009478	-0.1085	0.456892
46	-0.031057	-0.3555	0.361409
47	-0.027024	-0.3093	0.37879
48	-0.055762	-0.6382	0.262222

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.35405	4.0523	4.3e-05
2	0.030497	0.3491	0.363803
3	0.091689	1.0494	0.147956
4	0.018213	0.2085	0.417596
5	0.067824	0.7763	0.219491
6	0.056108	0.6422	0.260939
7	-0.019433	-0.2224	0.412168
8	0.052877	0.6052	0.273044
9	-0.042515	-0.4866	0.313676
10	-0.12269	-1.4042	0.081306
11	0.056656	0.6485	0.258913
12	0.068818	0.7877	0.216161
13	0.077215	0.8838	0.189221
14	0.010578	0.1211	0.451912
15	-0.142969	-1.6364	0.052083
16	0.058005	0.6639	0.253961
17	-0.105532	-1.2079	0.114636
18	-0.166876	-1.91	0.029161
19	-0.030431	-0.3483	0.364088
20	0.048594	0.5562	0.289519
21	-0.001028	-0.0118	0.495317
22	0.069505	0.7955	0.213875
23	0.066831	0.7649	0.222849
24	0.009909	0.1134	0.45494
25	0.058982	0.6751	0.250406
26	0.079634	0.9115	0.181865
27	-0.05098	-0.5835	0.280282
28	0.010219	0.117	0.453536
29	0.099656	1.1406	0.128055
30	0.019058	0.2181	0.413834
31	-0.003588	-0.0411	0.48365
32	0.012151	0.1391	0.444802
33	0.061424	0.703	0.241641
34	-0.00814	-0.0932	0.462955
35	-0.013817	-0.1581	0.437292
36	-0.049586	-0.5675	0.285658
37	-0.029366	-0.3361	0.368664
38	0.024846	0.2844	0.388286
39	-0.050159	-0.5741	0.283444
40	0.041407	0.4739	0.318172
41	0.034195	0.3914	0.348075
42	-0.064325	-0.7362	0.231453
43	0.076102	0.871	0.192666
44	0.037054	0.4241	0.336094
45	-0.028223	-0.323	0.373594
46	-0.060199	-0.689	0.246017
47	0.030913	0.3538	0.362024
48	-0.019053	-0.2181	0.413858

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/09/t1260352686k00wwfq6um9x2df/1f6gs1260352634.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/09/t1260352686k00wwfq6um9x2df/1f6gs1260352634.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/09/t1260352686k00wwfq6um9x2df/27ply1260352634.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/09/t1260352686k00wwfq6um9x2df/27ply1260352634.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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