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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, 16 Dec 2009 06:58:16 -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/16/t12609720554zojhuio3wqmald.htm/, Retrieved Wed, 16 Dec 2009 15:00:57 +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/16/t12609720554zojhuio3wqmald.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 «

1.61 1.58 1.69 1.78 1.76 1.83 1.8 1.57 1.45 1.4 1.55 1.58 1.58 1.59 1.8 1.99 2.06 2.06 2.08 2 1.85 1.77 1.7 1.66 1.67 1.73 1.91 2.02 2.07 2.15 2.1 1.68 1.68 1.65 1.72 1.73 1.76 1.84 1.99 2.05 2.12 2.13 2.08 1.88 1.81 1.81 1.88 1.87 1.87 1.9 2.01 2.05 2.16 2.18 2.15 2.12 2.04 2.04 2.06 1.93 1.86 1.94 2.35 2.46 2.59 2.66 2.41 2.18 2.13 2.11 2.12 2.16 2.07 2.2 2.29 2.32 2.37 2.38 2.38 2.28 2.22 2.25 2.3 2.3 2.23 2.27 2.3 2.32 2.41 2.43 2.45 2.47 2.46 2.5 2.46 2.43 2.37 2.45 2.53 2.56 2.62 2.67 2.62 2.6 2.53 2.49 2.48 2.44

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	0.393056	4.0658	4.6e-05
2	0.035695	0.3692	0.356344
3	-0.144744	-1.4972	0.068637
4	-0.273835	-2.8326	0.002759
5	-0.354972	-3.6719	0.000189
6	-0.320451	-3.3148	0.000626
7	-0.289273	-2.9923	0.001719
8	-0.123419	-1.2767	0.102244
9	-0.057793	-0.5978	0.275615
10	0.089407	0.9248	0.178568
11	0.330176	3.4154	0.000451
12	0.500705	5.1793	1e-06
13	0.273006	2.824	0.002829
14	0.038082	0.3939	0.347209
15	-0.085415	-0.8835	0.189462
16	-0.120849	-1.2501	0.107001
17	-0.244374	-2.5278	0.006469
18	-0.209636	-2.1685	0.016168
19	-0.240049	-2.4831	0.007289
20	-0.135535	-1.402	0.081907
21	-0.166415	-1.7214	0.044033
22	0.018191	0.1882	0.42555
23	0.323242	3.3436	0.00057
24	0.452161	4.6772	4e-06
25	0.215598	2.2302	0.013912
26	0.067509	0.6983	0.243247
27	-0.005775	-0.0597	0.476239
28	-0.05303	-0.5485	0.292229
29	-0.161417	-1.6697	0.04895
30	-0.185118	-1.9149	0.029089
31	-0.326442	-3.3767	0.000512
32	-0.19925	-2.0611	0.020861
33	-0.143297	-1.4823	0.070604
34	-0.029986	-0.3102	0.378513
35	0.34331	3.5512	0.000286
36	0.466712	4.8277	2e-06
37	0.22058	2.2817	0.012243
38	0.080398	0.8316	0.203731
39	-0.012967	-0.1341	0.446777
40	-0.136959	-1.4167	0.079736
41	-0.146278	-1.5131	0.066599
42	-0.239771	-2.4802	0.007345
43	-0.176626	-1.827	0.035241
44	-0.08695	-0.8994	0.185225
45	-0.0892	-0.9227	0.179121
46	0.058316	0.6032	0.273818
47	0.236614	2.4476	0.008005
48	0.259707	2.6864	0.004187

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.393056	4.0658	4.6e-05
2	-0.140506	-1.4534	0.074519
3	-0.127313	-1.3169	0.095337
4	-0.194411	-2.011	0.02342
5	-0.229866	-2.3778	0.009597
6	-0.185744	-1.9214	0.028674
7	-0.26938	-2.7865	0.003153
8	-0.148653	-1.5377	0.063539
9	-0.303305	-3.1374	0.001101
10	-0.196352	-2.0311	0.022363
11	0.002807	0.029	0.488447
12	0.170978	1.7686	0.039905
13	-0.101668	-1.0517	0.147663
14	-0.102673	-1.0621	0.1453
15	-0.011032	-0.1141	0.454681
16	0.087038	0.9003	0.184983
17	-0.047836	-0.4948	0.31087
18	0.067296	0.6961	0.243931
19	-0.108741	-1.1248	0.131589
20	-0.020761	-0.2148	0.415183
21	-0.263021	-2.7207	0.003802
22	-0.085668	-0.8862	0.18876
23	0.069052	0.7143	0.238305
24	0.050516	0.5225	0.301186
25	-0.151266	-1.5647	0.060302
26	-0.070913	-0.7335	0.232419
27	0.038248	0.3956	0.346581
28	0.04897	0.5065	0.306757
29	0.029833	0.3086	0.379114
30	0.046387	0.4798	0.316164
31	-0.245522	-2.5397	0.006266
32	0.003765	0.0389	0.484505
33	-0.03632	-0.3757	0.353944
34	-0.172219	-1.7815	0.038838
35	0.128281	1.3269	0.093675
36	0.027516	0.2846	0.38824
37	-0.054332	-0.562	0.287641
38	-0.089736	-0.9282	0.177686
39	0.021383	0.2212	0.412683
40	-0.152123	-1.5736	0.059269
41	0.068065	0.7041	0.241461
42	-0.170758	-1.7663	0.040096
43	0.122875	1.271	0.103237
44	0.051039	0.528	0.299312
45	0.043254	0.4474	0.327738
46	0.007729	0.0799	0.468215
47	-0.010764	-0.1113	0.455775
48	-0.08344	-0.8631	0.195003

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/16/t12609720554zojhuio3wqmald/107pi1260971895.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t12609720554zojhuio3wqmald/107pi1260971895.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t12609720554zojhuio3wqmald/22s5v1260971895.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t12609720554zojhuio3wqmald/22s5v1260971895.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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