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autocorrelation cola

*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, 13 Dec 2009 07:36:32 -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/13/t1260715040pi7fio0yb7ekhoz.htm/, Retrieved Sun, 13 Dec 2009 15:37:26 +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/13/t1260715040pi7fio0yb7ekhoz.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 «
1,25 1,25 1,26 1,26 1,26 1,26 1,27 1,27 1,29 1,31 1,32 1,32 1,33 1,33 1,32 1,32 1,31 1,3 1,31 1,29 1,3 1,3 1,32 1,31 1,35 1,35 1,36 1,37 1,37 1,37 1,32 1,32 1,31 1,31 1,34 1,31 1,26 1,27 1,24 1,25 1,27 1,25 1,26 1,27 1,26 1,26 1,28 1,27 1,28 1,27 1,26 1,27 1,27 1,28 1,27 1,26 1,3 1,31 1,28 1,29 1,31 1,29 1,29 1,32 1,3 1,29 1,31 1,29 1,33 1,35 1,32 1,33 1,34 1,34 1,33 1,33 1,35 1,32
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.8354477.37850
20.7204876.36320
30.6589195.81940
40.5084664.49061.2e-05
50.4065423.59050.000287
60.316472.7950.003265
70.1849181.63320.053234
80.0806850.71260.239113
90.0034060.03010.48804
10-0.063207-0.55820.289143
11-0.078678-0.69490.244603
12-0.076493-0.67560.250657
13-0.076618-0.67670.250309
14-0.101691-0.89810.185946
15-0.120899-1.06770.144464
16-0.125703-1.11020.135166
17-0.167186-1.47650.071912
18-0.244282-2.15740.017025
19-0.272728-2.40870.009185
20-0.337731-2.98280.001906
21-0.427864-3.77880.000153
22-0.448014-3.95688.3e-05
23-0.476339-4.20693.4e-05
24-0.530736-4.68736e-06
25-0.526181-4.64717e-06
26-0.519195-4.58548e-06
27-0.511085-4.51381.1e-05
28-0.435422-3.84550.000122
29-0.359821-3.17780.001064
30-0.322204-2.84560.00283
31-0.26526-2.34270.010847
32-0.211933-1.87170.032496
33-0.175015-1.54570.063114
34-0.094247-0.83240.203871
35-0.018463-0.16310.435445
360.022010.19440.423189
370.0474420.4190.338187
380.0845420.74670.228759
390.1219461.0770.1424
400.1510541.33410.09303
410.2059321.81870.036395
420.2443992.15850.016983
430.2469492.1810.016099
440.2765132.44210.008433
450.2790622.46460.007957
460.267392.36150.010348
470.2887192.54990.006368
480.2721852.40390.009298


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.8354477.37850
20.0745470.65840.256117
30.1317851.16390.124008
4-0.28771-2.5410.006519
50.0351470.31040.37854
6-0.086356-0.76270.22398
7-0.111799-0.98740.163253
8-0.083926-0.74120.230395
9-0.004571-0.04040.483949
100.0309820.27360.392546
110.1181591.04350.149959
120.0555120.49030.312659
130.0244270.21570.41488
14-0.167441-1.47880.07161
15-0.066427-0.58670.279562
16-0.044813-0.39580.346674
17-0.140104-1.23740.109831
18-0.25255-2.23050.014295
190.0270520.23890.405899
20-0.119555-1.05590.147142
21-0.091426-0.80750.21093
220.0236720.20910.417472
230.01140.10070.460029
24-0.148467-1.31120.096814
25-0.041156-0.36350.358615
26-0.073865-0.65240.258045
27-0.042823-0.37820.353154
280.0118930.1050.45831
290.0374420.33070.370888
30-0.108543-0.95860.170355
31-0.060805-0.5370.296392
32-0.077447-0.6840.248004
33-0.00671-0.05930.476449
340.1016820.8980.185967
350.0384210.33930.367638
36-0.0335-0.29590.38406
37-0.043888-0.38760.34968
380.0190990.16870.433242
390.0018340.01620.493558
40-0.015704-0.13870.445025
410.0392380.34650.364935
42-0.068734-0.6070.272792
43-0.04197-0.37070.355945
440.0439830.38850.34937
45-0.127634-1.12720.131551
46-0.03229-0.28520.388132
470.0104330.09210.463412
48-0.109078-0.96340.169174
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Dec/13/t1260715040pi7fio0yb7ekhoz/113051260714990.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/13/t1260715040pi7fio0yb7ekhoz/113051260714990.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/13/t1260715040pi7fio0yb7ekhoz/2bbsp1260714990.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/13/t1260715040pi7fio0yb7ekhoz/2bbsp1260714990.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 48 ; par2 = 1 ; par3 = 0 ; 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')
 




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Creative Commons License

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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