*Unverified author*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sat, 19 Dec 2009 09:31:05 -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/19/t1261240325clnkvwha1p2xyuk.htm/, Retrieved Sat, 19 Dec 2009 17:32:08 +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/19/t1261240325clnkvwha1p2xyuk.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 «

6.8 7.5 7.6 7.8 8 8.1 8.2 8.3 8.2 8 7.9 7.6 7.6 8.3 8.4 8.4 8.4 8.4 8.6 8.9 8.8 8.3 7.5 7.2 7.4 8.8 9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.5 8.2 8.1 7.9 8.6 8.7 8.7 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8 8.2 8.1 8.1 8 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.4 6.1 6.5 7.7 7.9 7.5 6.9 6.6 6.9 7.7 8 8 7.7 7.3 7.4 8.1 8.3

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 0.831237 7.7533 0 2 0.573703 5.3511 0 3 0.395742 3.6912 0.000194 4 0.388639 3.625 0.000243 5 0.505316 4.7133 5e-06 6 0.596649 5.5652 0 7 0.553543 5.1631 1e-06 8 0.428559 3.9973 6.7e-05 9 0.336188 3.1358 0.001169 10 0.337968 3.1524 0.001111 11 0.413017 3.8524 0.000112 12 0.454601 4.2402 2.8e-05 13 0.340921 3.1799 0.001021 14 0.200606 1.8711 0.032344 15 0.097101 0.9057 0.183798 16 0.056867 0.5304 0.298587 17 0.066283 0.6182 0.269013 18 0.069454 0.6478 0.259401 19 0.030658 0.286 0.387796 20 -0.016484 -0.1537 0.439082 21 -0.043287 -0.4038 0.343691 22 -0.045174 -0.4214 0.337267 23 -0.044523 -0.4153 0.339479 24 -0.061513 -0.5738 0.283806 25 -0.155709 -1.4524 0.075 26 -0.208446 -1.9443 0.027548 27 -0.216158 -2.0162 0.023433 28 -0.194019 -1.8097 0.036899 29 -0.170423 -1.5896 0.057776 30 -0.177 -1.6509 0.051177 31 -0.219248 -2.045 0.021938 32 -0.266769 -2.4883 0.007371 33 -0.282282 -2.6329 0.005008 34 -0.261265 -2.4369 0.008425 35 -0.227711 -2.1239 0.018257 36 -0.205723 -1.9189 0.029141 37 -0.257811 -2.4047 0.009153 38 -0.288498 -2.6909 0.004272 39 -0.281849 -2.6289 0.005063 40 -0.243032 -2.2669 0.012939 41 -0.206906 -1.9299 0.02844 42 -0.215969 -2.0144 0.023527 43 -0.280876 -2.6198 0.00519 44 -0.338146 -3.154 0.001106 45 -0.32693 -3.0494 0.001519 46 -0.243462 -2.2709 0.012812 47 -0.137937 -1.2866 0.100825 48 -0.091589 -0.8543 0.197646 49 -0.168863 -1.5751 0.059437 50 -0.261686 -2.4408 0.00834 51 -0.287144 -2.6783 0.004423 52 -0.225616 -2.1044 0.019114 53 -0.124815 -1.1642 0.123763 54 -0.067486 -0.6295 0.265348 55 -0.097792 -0.9121 0.182107 56 -0.161184 -1.5034 0.068176 57 -0.185678 -1.7319 0.043419 58 -0.142224 -1.3266 0.09406 59 -0.048692 -0.4542 0.325418 60 0.016753 0.1563 0.438093 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.831237 7.7533 0 2 -0.379402 -3.5388 0.000324 3 0.201472 1.8792 0.031782 4 0.344146 3.21 0.00093 5 0.246664 2.3007 0.011899 6 -0.001627 -0.0152 0.493965 7 -0.128671 -1.2002 0.116667 8 0.0624 0.582 0.281025 9 0.118939 1.1094 0.135159 10 0.038828 0.3622 0.359055 11 0.033022 0.308 0.379404 12 -0.078185 -0.7293 0.2339 13 -0.359618 -3.3543 0.00059 14 0.197146 1.8389 0.034674 15 -0.135345 -1.2624 0.105086 16 -0.272328 -2.5401 0.006429 17 -0.126188 -1.177 0.121203 18 0.008402 0.0784 0.468856 19 0.031114 0.2902 0.386171 20 0.000356 0.0033 0.498679 21 -0.029146 -0.2719 0.39319 22 0.030663 0.286 0.387778 23 -0.014674 -0.1369 0.445726 24 0.117253 1.0937 0.138562 25 -0.182164 -1.6991 0.046436 26 0.125912 1.1744 0.121714 27 0.030601 0.2854 0.387997 28 0.034567 0.3224 0.373955 29 -0.014274 -0.1331 0.447196 30 -0.017949 -0.1674 0.433716 31 -0.030584 -0.2853 0.38806 32 -0.118275 -1.1032 0.136492 33 -0.01103 -0.1029 0.459148 34 0.004822 0.045 0.482113 35 -0.068257 -0.6367 0.26301 36 0.015564 0.1452 0.442458 37 -0.11312 -1.0551 0.147147 38 0.059008 0.5504 0.291732 39 0.071496 0.6669 0.253309 40 -0.003378 -0.0315 0.487469 41 -0.11061 -1.0317 0.152536 42 -0.125531 -1.1709 0.122423 43 -0.061076 -0.5697 0.285181 44 0.070169 0.6545 0.257261 45 0.059374 0.5538 0.290566 46 0.042407 0.3955 0.346703 47 0.076369 0.7123 0.239085 48 -0.054269 -0.5062 0.307004 49 -0.045829 -0.4275 0.335048 50 -0.086944 -0.811 0.209801 51 0.068175 0.6359 0.263257 52 -0.00731 -0.0682 0.472896 53 0.000567 0.0053 0.497895 54 0.049419 0.4609 0.322994 55 0.014385 0.1342 0.446786 56 0.023276 0.2171 0.414319 57 -0.06726 -0.6274 0.266032 58 -0.098426 -0.9181 0.180564 59 0.066764 0.6227 0.267544 60 -0.052038 -0.4854 0.314315

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261240325clnkvwha1p2xyuk/185gi1261240264.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/19/t1261240325clnkvwha1p2xyuk/185gi1261240264.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/19/t1261240325clnkvwha1p2xyuk/2jf6i1261240264.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/19/t1261240325clnkvwha1p2xyuk/2jf6i1261240264.ps (open in new window)

Parameters (Session):

par1 = FALSE ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 1 ; par6 = 3 ; par7 = 1 ; par8 = 2 ; par9 = 1 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ; par8 = 2 ; par9 = 1 ;

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')

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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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