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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 07:40:03 -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/t1260715244ip61q2nj61qwa5o.htm/, Retrieved Sun, 13 Dec 2009 15:40:59 +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/t1260715244ip61q2nj61qwa5o.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 Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.196959	-1.7283	0.043971
2	-0.147578	-1.295	0.099597
3	0.299315	2.6265	0.005203
4	-0.176195	-1.5461	0.06309
5	-0.043358	-0.3805	0.352323
6	0.166711	1.4629	0.073785
7	-0.086617	-0.7601	0.224771
8	-0.078963	-0.6929	0.245229
9	0.0191	0.1676	0.433667
10	-0.120025	-1.0532	0.147768
11	-0.076501	-0.6713	0.252022
12	0.045355	0.398	0.345871
13	0.077166	0.6771	0.250176
14	-0.056835	-0.4987	0.309698
15	-0.023559	-0.2067	0.418383
16	0.104885	0.9204	0.180129
17	0.083622	0.7338	0.232656
18	-0.12871	-1.1294	0.131112
19	0.09234	0.8103	0.210138
20	0.079496	0.6976	0.243773
21	-0.230201	-2.02	0.023431
22	0.102123	0.8961	0.186489
23	0.061094	0.5361	0.296718
24	-0.12708	-1.1151	0.134134
25	0.002096	0.0184	0.492685
26	0.018535	0.1626	0.435614
27	-0.19819	-1.7391	0.043006
28	-0.005324	-0.0467	0.481429
29	0.12312	1.0804	0.141674
30	-0.156196	-1.3706	0.087239
31	0.004459	0.0391	0.484445
32	0.053108	0.466	0.321258
33	-0.148243	-1.3008	0.098599
34	0.069879	0.6132	0.270781
35	0.069114	0.6065	0.272994
36	-0.041095	-0.3606	0.359689
37	-0.037468	-0.3288	0.371606
38	-0.04592	-0.4029	0.344051
39	0.055437	0.4865	0.314011
40	-0.073805	-0.6476	0.259572
41	0.022428	0.1968	0.42225
42	0.097431	0.855	0.197614
43	-0.100626	-0.883	0.189996
44	0.093338	0.819	0.207646
45	0.044989	0.3948	0.34705
46	-0.083522	-0.7329	0.232922
47	0.105317	0.9242	0.179146
48	0.05953	0.5224	0.301455

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.196959	-1.7283	0.043971
2	-0.193892	-1.7014	0.046452
3	0.244763	2.1478	0.017438
4	-0.105707	-0.9276	0.178263
5	-0.016716	-0.1467	0.441883
6	0.055671	0.4885	0.313289
7	0.013109	0.115	0.454361
8	-0.076764	-0.6736	0.25129
9	-0.085417	-0.7495	0.227911
10	-0.125352	-1.1	0.137389
11	-0.10879	-0.9546	0.171377
12	-0.035345	-0.3101	0.378643
13	0.122178	1.0721	0.143511
14	0.00612	0.0537	0.478654
15	-0.038441	-0.3373	0.368398
16	0.064198	0.5633	0.287421
17	0.17789	1.561	0.061315
18	-0.104076	-0.9133	0.181977
19	-0.016611	-0.1458	0.442247
20	0.030161	0.2647	0.395989
21	-0.150484	-1.3205	0.095291
22	-0.019893	-0.1746	0.430941
23	0.031877	0.2797	0.390222
24	0.051865	0.4551	0.325153
25	-0.094422	-0.8286	0.20496
26	-0.012415	-0.1089	0.456767
27	-0.111215	-0.9759	0.166082
28	-0.093308	-0.8188	0.207721
29	0.004178	0.0367	0.485426
30	-0.088011	-0.7723	0.221152
31	-0.040825	-0.3582	0.360572
32	-0.088609	-0.7775	0.219612
33	-0.100115	-0.8785	0.191202
34	0.055832	0.4899	0.312789
35	-0.007776	-0.0682	0.472888
36	-0.020785	-0.1824	0.427878
37	-0.131312	-1.1523	0.12639
38	-0.108107	-0.9486	0.172887
39	-0.018788	-0.1649	0.434741
40	-0.08788	-0.7711	0.221491
41	-0.000919	-0.0081	0.496795
42	0.004501	0.0395	0.484297
43	-0.012835	-0.1126	0.45531
44	0.152968	1.3423	0.091724
45	0.044959	0.3945	0.347147
46	-0.029722	-0.2608	0.397467
47	0.032593	0.286	0.387823
48	-0.002932	-0.0257	0.489772

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260715244ip61q2nj61qwa5o/1uomm1260715201.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260715244ip61q2nj61qwa5o/1uomm1260715201.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260715244ip61q2nj61qwa5o/2r12b1260715201.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260715244ip61q2nj61qwa5o/2r12b1260715201.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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