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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 09:24:09 -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/t1260980834nnro9i8n59d6wfi.htm/, Retrieved Wed, 16 Dec 2009 17:27:16 +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/t1260980834nnro9i8n59d6wfi.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:

Dataseries X:

» Textbox « » Textfile « » CSV «

492865 480961 461935 456608 441977 439148 488180 520564 501492 485025 464196 460170 467037 460070 447988 442867 436087 431328 484015 509673 512927 502831 470984 471067 476049 474605 470439 461251 454724 455626 516847 525192 522975 518585 509239 512238 519164 517009 509933 509127 500857 506971 569323 579714 577992 565464 547344 554788 562325 560854 555332 543599 536662 542722 593530 610763 612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799 574205 572775 572942 619567 625809 619916 587625 565742 557274 560576 548854 531673 525919 511038 498662 555362 564591 541657 527070 509846 514258 516922 507561 492622 490243 469357 477580 528379 533590 517945 506174 501866 516141 528222 532638 536322 536535 523597 536214 586570 596594 580523

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	0.269614	2.9038	0.002207
2	-0.219843	-2.3678	0.009775
3	-0.292322	-3.1484	0.001044
4	-0.266543	-2.8708	0.002434
5	0.044215	0.4762	0.317411
6	0.208575	2.2464	0.013285
7	0.063577	0.6847	0.247435
8	-0.242137	-2.6079	0.005154
9	-0.267476	-2.8808	0.002363
10	-0.199377	-2.1474	0.016923
11	0.265638	2.861	0.002505
12	0.814515	8.7726	0
13	0.188794	2.0334	0.022149
14	-0.181121	-1.9507	0.02675
15	-0.275345	-2.9656	0.001834
16	-0.262407	-2.8262	0.002774
17	0.021438	0.2309	0.4089
18	0.156414	1.6846	0.047374
19	0.030071	0.3239	0.373306
20	-0.250144	-2.6941	0.004052
21	-0.259362	-2.7934	0.003052
22	-0.1536	-1.6543	0.050383
23	0.266002	2.8649	0.002476
24	0.675956	7.2803	0
25	0.102111	1.0998	0.136855
26	-0.203863	-2.1957	0.015053
27	-0.246645	-2.6564	0.004504
28	-0.224352	-2.4163	0.008618
29	0.023686	0.2551	0.399547
30	0.119068	1.2824	0.10113
31	0.001823	0.0196	0.492184
32	-0.247339	-2.6639	0.004411
33	-0.234168	-2.5221	0.006511
34	-0.119364	-1.2856	0.100573
35	0.223634	2.4086	0.008794
36	0.577704	6.2221	0
37	0.111972	1.206	0.11514
38	-0.16678	-1.7963	0.037527
39	-0.24798	-2.6708	0.004327
40	-0.191087	-2.0581	0.020912
41	0.0232	0.2499	0.401566
42	0.10468	1.1274	0.130942
43	0.008674	0.0934	0.462864
44	-0.211061	-2.2732	0.012427
45	-0.184546	-1.9876	0.024605
46	-0.096779	-1.0423	0.14971
47	0.181619	1.9561	0.026429
48	0.489892	5.2763	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.269614	2.9038	0.002207
2	-0.315467	-3.3977	0.000466
3	-0.154841	-1.6677	0.049038
4	-0.236414	-2.5463	0.0061
5	0.08759	0.9434	0.173726
6	0.019859	0.2139	0.415505
7	-0.076731	-0.8264	0.205132
8	-0.284516	-3.0643	0.001357
9	-0.118683	-1.2783	0.101855
10	-0.262771	-2.8301	0.002743
11	0.268818	2.8953	0.002264
12	0.690427	7.4361	0
13	-0.210452	-2.2666	0.012633
14	0.18776	2.0222	0.022726
15	-0.018358	-0.1977	0.421806
16	0.029882	0.3218	0.374077
17	-0.059115	-0.6367	0.26279
18	-0.136592	-1.4711	0.07198
19	-0.087937	-0.9471	0.172777
20	-0.139654	-1.5041	0.067635
21	-0.0918	-0.9887	0.162429
22	0.013952	0.1503	0.440408
23	-0.066557	-0.7168	0.237455
24	0.04654	0.5012	0.308573
25	-0.143729	-1.548	0.062172
26	-0.104826	-1.129	0.130611
27	0.080213	0.8639	0.194708
28	-0.057145	-0.6155	0.269726
29	0.007565	0.0815	0.467601
30	-0.067759	-0.7298	0.233495
31	-0.010369	-0.1117	0.455635
32	0.018434	0.1985	0.421483
33	-0.034702	-0.3738	0.354635
34	-0.058508	-0.6301	0.264918
35	-0.177097	-1.9074	0.029471
36	0.045366	0.4886	0.313022
37	0.136874	1.4742	0.071571
38	-0.02551	-0.2747	0.391999
39	-0.099793	-1.0748	0.142346
40	0.082275	0.8861	0.188692
41	-0.0782	-0.8422	0.200693
42	0.067552	0.7276	0.234174
43	-0.052136	-0.5615	0.287761
44	0.032178	0.3466	0.364774
45	0.008573	0.0923	0.463295
46	-0.08413	-0.9061	0.183378
47	-0.00985	-0.1061	0.457847
48	-0.043188	-0.4652	0.321348

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/16/t1260980834nnro9i8n59d6wfi/1nq7q1260980648.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t1260980834nnro9i8n59d6wfi/1nq7q1260980648.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t1260980834nnro9i8n59d6wfi/29exq1260980648.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t1260980834nnro9i8n59d6wfi/29exq1260980648.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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