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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: Fri, 18 Dec 2009 04:46:56 -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/18/t1261136932i2xhw1wjvp7fkaf.htm/, Retrieved Fri, 18 Dec 2009 12:48:55 +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/18/t1261136932i2xhw1wjvp7fkaf.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 «

100.00 100.00 93.55 88.17 89.25 91.40 92.47 91.40 88.17 87.10 84.95 92.47 93.55 93.55 91.40 90.32 91.40 93.55 93.55 92.47 91.40 89.25 86.02 88.17 87.10 87.10 86.02 84.95 84.95 86.02 86.02 84.95 86.02 82.80 77.42 80.65 78.49 75.27 75.27 75.27 77.42 78.49 76.34 73.12 68.82 65.59 69.89 82.80 84.95 80.65 74.19 70.97 74.19 82.80 86.02 86.02 82.80 78.49 79.57 87.10 89.25

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	0.125814	0.7443	0.230824
2	-0.276763	-1.6374	0.055259
3	-0.206856	-1.2238	0.114606
4	-0.329092	-1.9469	0.029801
5	-0.136691	-0.8087	0.212083
6	0.025269	0.1495	0.441011
7	0.314191	1.8588	0.035742
8	0.29042	1.7182	0.047303
9	-0.141128	-0.8349	0.204712
10	-0.032759	-0.1938	0.423725
11	0.018013	0.1066	0.457872
12	-0.302183	-1.7877	0.04124
13	-0.051198	-0.3029	0.381883
14	0.176732	1.0456	0.151466
15	0.070751	0.4186	0.339044
16	-0.00416	-0.0246	0.490252
17	0.014756	0.0873	0.465466
18	0.054136	0.3203	0.375333
19	-0.121813	-0.7207	0.237953
20	-0.078662	-0.4654	0.322274
21	0.120004	0.71	0.241219
22	0.031518	0.1865	0.42658
23	-0.072195	-0.4271	0.335957
24	-0.023626	-0.1398	0.44482
25	0.100061	0.592	0.278838
26	-0.022237	-0.1316	0.448045
27	-0.04148	-0.2454	0.40379
28	-0.020712	-0.1225	0.451589
29	-0.038557	-0.2281	0.410445
30	-0.012295	-0.0727	0.471213
31	0.030836	0.1824	0.42815
32	0.080634	0.477	0.318151
33	-0.004175	-0.0247	0.490218
34	-0.036552	-0.2162	0.415026
35	NA	NA	NA
36	NA	NA	NA
37	NA	NA	NA
38	NA	NA	NA
39	NA	NA	NA
40	NA	NA	NA
41	NA	NA	NA
42	NA	NA	NA
43	NA	NA	NA
44	NA	NA	NA
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.125814	0.7443	0.230824
2	-0.297299	-1.7588	0.043673
3	-0.138521	-0.8195	0.209023
4	-0.411883	-2.4367	0.010023
5	-0.230108	-1.3613	0.091054
6	-0.333443	-1.9727	0.028236
7	0.049377	0.2921	0.385961
8	-0.015358	-0.0909	0.464062
9	-0.228397	-1.3512	0.092648
10	0.073141	0.4327	0.333941
11	0.123828	0.7326	0.234347
12	-0.205644	-1.2166	0.115947
13	0.031612	0.187	0.426363
14	0.05802	0.3433	0.366731
15	-0.091833	-0.5433	0.295187
16	-0.098863	-0.5849	0.28119
17	0.031834	0.1883	0.425852
18	-0.074033	-0.438	0.332044
19	-0.118136	-0.6989	0.244615
20	0.085725	0.5072	0.307614
21	-0.030744	-0.1819	0.428362
22	-0.031376	-0.1856	0.426907
23	0.05115	0.3026	0.38199
24	-0.097634	-0.5776	0.283611
25	0.061261	0.3624	0.359608
26	0.032842	0.1943	0.423534
27	0.034165	0.2021	0.420496
28	-0.209523	-1.2396	0.111693
29	-0.014045	-0.0831	0.467126
30	-0.018488	-0.1094	0.456764
31	-0.126206	-0.7466	0.230132
32	-0.041425	-0.2451	0.403916
33	-0.068934	-0.4078	0.342946
34	-0.067138	-0.3972	0.346819
35	NA	NA	NA
36	NA	NA	NA
37	NA	NA	NA
38	NA	NA	NA
39	NA	NA	NA
40	NA	NA	NA
41	NA	NA	NA
42	NA	NA	NA
43	NA	NA	NA
44	NA	NA	NA
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/18/t1261136932i2xhw1wjvp7fkaf/1r58q1261136814.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/18/t1261136932i2xhw1wjvp7fkaf/1r58q1261136814.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/18/t1261136932i2xhw1wjvp7fkaf/2fsjf1261136814.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/18/t1261136932i2xhw1wjvp7fkaf/2fsjf1261136814.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 2 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 2 ; 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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