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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, 01 Jun 2009 06:43:44 -0600

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Jun/01/t1243860236esdupytv3log2kk.htm/, Retrieved Mon, 01 Jun 2009 14:43:58 +0200

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/Jun/01/t1243860236esdupytv3log2kk.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 «

27,00 26,88 27,38 26,82 27,00 26,15 25,85 26,17 25,66 25,72 25,42 25,10 26,20 26,39 26,27 26,63 21,10 20,30 20,61 21,05 20,45 20,91 21,22 20,85 21,90 22,71 22,40 22,81 23,96 23,37 23,55 23,01 22,63 22,63 22,00 22,15 22,00 22,00 21,84 22,10 22,37 21,83 21,77 21,89 20,76 20,21 20,19 20,01 19,16 18,50 17,41 18,14 18,60 18,32 18,40 18,16 17,29 16,65 16,36 16,32 17,37 17,30 18,10 19,00 18,38 18,41 18,10 17,87 18,70 18,81 18,88 19,44 18,60 18,80 18,62 18,24 17,84 17,85 17,67 17,99 18,15 18,39 18,07 18,39

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	0.942382	8.6371	0
2	0.881721	8.0811	0
3	0.81977	7.5133	0
4	0.758054	6.9477	0
5	0.703882	6.4512	0
6	0.657501	6.0261	0
7	0.610921	5.5992	0
8	0.563938	5.1686	1e-06
9	0.523538	4.7983	3e-06
10	0.487266	4.4659	1.2e-05
11	0.45144	4.1375	4.1e-05
12	0.413198	3.787	0.000143
13	0.375512	3.4416	0.000452
14	0.329837	3.023	0.001659
15	0.29071	2.6644	0.004623
16	0.243268	2.2296	0.014221
17	0.23099	2.1171	0.018606
18	0.226001	2.0713	0.020698
19	0.216306	1.9825	0.025347
20	0.207324	1.9002	0.030422
21	0.207654	1.9032	0.030221
22	0.202344	1.8545	0.033588
23	0.194612	1.7836	0.039047
24	0.192592	1.7651	0.040588
25	0.180851	1.6575	0.050572
26	0.161709	1.4821	0.071029
27	0.145289	1.3316	0.093297
28	0.12675	1.1617	0.124326
29	0.093369	0.8557	0.197287
30	0.065484	0.6002	0.275003
31	0.035481	0.3252	0.372924
32	0.01106	0.1014	0.459752
33	-0.016115	-0.1477	0.441468
34	-0.051417	-0.4712	0.319345
35	-0.084243	-0.7721	0.221111
36	-0.11194	-1.0259	0.153931
37	-0.133226	-1.221	0.112744
38	-0.153143	-1.4036	0.082065
39	-0.173863	-1.5935	0.057405
40	-0.198388	-1.8183	0.036295
41	-0.22846	-2.0939	0.019643
42	-0.262328	-2.4043	0.009202
43	-0.296717	-2.7195	0.003972
44	-0.330706	-3.031	0.00162
45	-0.352345	-3.2293	0.000886
46	-0.371265	-3.4027	0.000512
47	-0.383069	-3.5109	0.000361
48	-0.389032	-3.5655	0.000301

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.942382	8.6371	0
2	-0.056846	-0.521	0.301869
3	-0.043128	-0.3953	0.346823
4	-0.031399	-0.2878	0.387113
5	0.032715	0.2998	0.38252
6	0.034763	0.3186	0.375408
7	-0.03532	-0.3237	0.37348
8	-0.034798	-0.3189	0.375285
9	0.033062	0.303	0.381314
10	0.015248	0.1397	0.444596
11	-0.021892	-0.2006	0.42073
12	-0.051146	-0.4688	0.320227
13	-0.015532	-0.1424	0.44357
14	-0.087656	-0.8034	0.212012
15	0.033863	0.3104	0.378529
16	-0.111684	-1.0236	0.154482
17	0.292581	2.6815	0.00441
18	0.022459	0.2058	0.418708
19	-0.066556	-0.61	0.271757
20	-0.019428	-0.1781	0.429553
21	0.111932	1.0259	0.153949
22	-0.035726	-0.3274	0.372076
23	-0.039399	-0.3611	0.359467
24	0.02556	0.2343	0.407677
25	-0.053447	-0.4898	0.312759
26	-0.052219	-0.4786	0.316737
27	0.013321	0.1221	0.451559
28	-0.061134	-0.5603	0.288381
29	-0.133128	-1.2201	0.112913
30	-0.025447	-0.2332	0.408077
31	-0.013185	-0.1208	0.452052
32	-0.015505	-0.1421	0.443668
33	0.011149	0.1022	0.459429
34	-0.104348	-0.9564	0.170816
35	-0.013327	-0.1221	0.451539
36	0.008733	0.08	0.468198
37	0.092696	0.8496	0.198988
38	-0.042466	-0.3892	0.349053
39	-0.078772	-0.722	0.236163
40	-0.013791	-0.1264	0.449859
41	-0.078429	-0.7188	0.237127
42	-0.11702	-1.0725	0.143283
43	-0.045238	-0.4146	0.33974
44	-0.007954	-0.0729	0.47103
45	-0.036048	-0.3304	0.370967
46	-0.033535	-0.3074	0.379667
47	0.058786	0.5388	0.295732
48	0.01126	0.1032	0.459026

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243860236esdupytv3log2kk/148ae1243860222.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243860236esdupytv3log2kk/148ae1243860222.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243860236esdupytv3log2kk/2s5ul1243860222.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243860236esdupytv3log2kk/2s5ul1243860222.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

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 (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='lags',ylab='ACF')

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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