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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: Mon, 14 Dec 2009 13:56:12 -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/14/t1260824364qs33tym2fnp7xoi.htm/, Retrieved Mon, 14 Dec 2009 21:59:26 +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/14/t1260824364qs33tym2fnp7xoi.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 «

3,81 3,95 3,99 4 4,06 4,16 4,19 4,2 4,2 4,2 4,2 4,2 4,23 4,38 4,43 4,44 4,44 4,44 4,44 4,44 4,45 4,45 4,45 4,45 4,45 4,45 4,45 4,45 4,46 4,46 4,46 4,48 4,58 4,67 4,68 4,68 4,69 4,69 4,69 4,69 4,69 4,69 4,69 4,73 4,78 4,79 4,79 4,8 4,8 4,81 5,16 5,26 5,29 5,29 5,29 5,3 5,3 5,3 5,3 5,3 5,3 5,3 5,3 5,35 5,44 5,47 5,47 5,48 5,48 5,48 5,48 5,48

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	0.287716	2.4243	0.008942
2	-0.045822	-0.3861	0.350286
3	-0.084133	-0.7089	0.240349
4	-0.080164	-0.6755	0.250783
5	-0.10302	-0.8681	0.194142
6	-0.052489	-0.4423	0.329814
7	-0.020097	-0.1693	0.433006
8	-0.031281	-0.2636	0.396435
9	-0.071471	-0.6022	0.27447
10	-0.105778	-0.8913	0.187889
11	-0.051089	-0.4305	0.334075
12	0.037658	0.3173	0.375968
13	0.048521	0.4088	0.341943
14	0.071674	0.6039	0.273905
15	-0.061914	-0.5217	0.301752
16	-0.108261	-0.9122	0.182368
17	0.056025	0.4721	0.31916
18	0.129561	1.0917	0.139328
19	0.075361	0.635	0.263734
20	-0.006371	-0.0537	0.478669
21	-0.094326	-0.7948	0.214688
22	-0.072448	-0.6105	0.271754
23	-0.081442	-0.6862	0.247398
24	-0.09952	-0.8386	0.202263
25	-0.104849	-0.8835	0.189981
26	-0.084188	-0.7094	0.240206
27	-0.034549	-0.2911	0.385906
28	-0.026393	-0.2224	0.412325
29	-0.051062	-0.4303	0.334155
30	0.021426	0.1805	0.428621
31	0.106324	0.8959	0.186666
32	0.049256	0.415	0.339682
33	-0.060347	-0.5085	0.306342
34	-0.081382	-0.6857	0.247557
35	-0.064385	-0.5425	0.294582
36	0.00952	0.0802	0.468146
37	0.208697	1.7585	0.041485
38	0.063068	0.5314	0.298394
39	-0.019313	-0.1627	0.435595
40	-0.061199	-0.5157	0.303842
41	-0.072103	-0.6076	0.272712
42	-0.039401	-0.332	0.370434
43	-0.025331	-0.2134	0.415796
44	-0.008799	-0.0741	0.470554
45	0.118842	1.0014	0.160021
46	0.083489	0.7035	0.242026
47	-0.024971	-0.2104	0.416974
48	0.002496	0.021	0.491641

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.287716	2.4243	0.008942
2	-0.140209	-1.1814	0.120688
3	-0.031984	-0.2695	0.394162
4	-0.05531	-0.466	0.321304
5	-0.082044	-0.6913	0.245811
6	-0.012052	-0.1016	0.459698
7	-0.025295	-0.2131	0.415916
8	-0.041972	-0.3537	0.36232
9	-0.073616	-0.6203	0.268524
10	-0.092783	-0.7818	0.218464
11	-0.019943	-0.168	0.433514
12	0.027381	0.2307	0.409099
13	-0.004507	-0.038	0.484906
14	0.041005	0.3455	0.365366
15	-0.128431	-1.0822	0.141417
16	-0.064493	-0.5434	0.294269
17	0.11083	0.9339	0.176767
18	0.064168	0.5407	0.295207
19	0.014347	0.1209	0.452061
20	-0.044388	-0.374	0.354752
21	-0.095787	-0.8071	0.211147
22	0.007496	0.0632	0.474908
23	-0.051469	-0.4337	0.332915
24	-0.076857	-0.6476	0.259664
25	-0.112826	-0.9507	0.172493
26	-0.108348	-0.913	0.182178
27	-0.014427	-0.1216	0.451795
28	-0.040759	-0.3434	0.36614
29	-0.085684	-0.722	0.236337
30	-0.012187	-0.1027	0.459249
31	-0.007717	-0.065	0.474168
32	-0.054106	-0.4559	0.324924
33	-0.081553	-0.6872	0.247104
34	-0.090084	-0.7591	0.225165
35	-0.093766	-0.7901	0.216054
36	-0.039619	-0.3338	0.369742
37	0.179966	1.5164	0.066927
38	-0.09212	-0.7762	0.220099
39	-0.034926	-0.2943	0.384698
40	-0.082149	-0.6922	0.245535
41	-0.065475	-0.5517	0.291441
42	0.005843	0.0492	0.480435
43	-0.04662	-0.3928	0.347812
44	-0.082287	-0.6934	0.245171
45	0.072344	0.6096	0.272042
46	-0.003278	-0.0276	0.489022
47	-0.025735	-0.2169	0.414473
48	-0.01218	-0.1026	0.459274

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/14/t1260824364qs33tym2fnp7xoi/16vuf1260824170.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/14/t1260824364qs33tym2fnp7xoi/16vuf1260824170.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/14/t1260824364qs33tym2fnp7xoi/2ni9f1260824170.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/14/t1260824364qs33tym2fnp7xoi/2ni9f1260824170.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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