*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 02 Jun 2009 10:02:43 -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/02/t1243958582pt48c31cek0bh8k.htm/, Retrieved Tue, 02 Jun 2009 18:03:08 +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/02/t1243958582pt48c31cek0bh8k.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 «

3851,3 3851,8 3854,1 3858,4 3861,6 3856,3 3855,8 3860,4 3855,1 3839,5 3833 3833,6 3826,8 3818,2 3811,4 3806,8 3810,3 3818,2 3858,9 3867,8 3872,3 3873,3 3876,7 3882,6 3883,5 3882,2 3888,1 3893,7 3901,9 3914,3 3930,3 3948,3 3971,5 3990,1 3993 3998 4015,8 4041,2 4060,7 4076,7 4103 4125,3 4139,7 4146,7 4158 4155,1 4144,8 4148,2 4142,5 4142,1 4145,4 4146,3 4143,5 4149,2 4158,9 4166,1 4179,1 4194,4 4211,7 4226,3 4235,8 4243,6 4258,7 4278,2 4298 4315,1 4334,3 4356 4374 4395,5 4417,8 4432,8 4446,3

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 0.695553 5.902 0 2 0.493364 4.1863 4e-05 3 0.419773 3.5619 0.000329 4 0.358589 3.0427 0.001635 5 0.233806 1.9839 0.02554 6 0.141127 1.1975 0.117519 7 0.12927 1.0969 0.138172 8 0.056326 0.4779 0.31707 9 -0.019944 -0.1692 0.433044 10 -0.002941 -0.025 0.49008 11 0.018959 0.1609 0.436323 12 -0.020744 -0.176 0.430387 13 -0.072973 -0.6192 0.26887 14 -0.058723 -0.4983 0.309902 15 -0.127455 -1.0815 0.141544 16 -0.229117 -1.9441 0.027894 17 -0.239007 -2.028 0.023129 18 -0.145349 -1.2333 0.110733 19 -0.099645 -0.8455 0.200313 20 -0.096719 -0.8207 0.207267 21 -0.078639 -0.6673 0.253366 22 -0.029948 -0.2541 0.400064 23 -0.053362 -0.4528 0.326031 24 -0.062027 -0.5263 0.300142 25 -0.017097 -0.1451 0.442531 26 0.030724 0.2607 0.397533 27 -0.064687 -0.5489 0.292389 28 -0.120113 -1.0192 0.155761 29 -0.025806 -0.219 0.413645 30 -0.018946 -0.1608 0.436366 31 -0.009459 -0.0803 0.468127 32 0.018846 0.1599 0.436699 33 0.06818 0.5785 0.282356 34 0.056279 0.4775 0.317212 35 0.059397 0.504 0.307899 36 0.117142 0.994 0.16178 37 0.148305 1.2584 0.106155 38 0.152809 1.2966 0.09945 39 0.147914 1.2551 0.106753 40 0.153542 1.3028 0.098389 41 0.093092 0.7899 0.216087 42 0.028489 0.2417 0.404834 43 0.006924 0.0587 0.476657 44 0.00604 0.0513 0.479633 45 -0.004667 -0.0396 0.484261 46 -0.005317 -0.0451 0.482069 47 -0.021588 -0.1832 0.427586 48 -0.053501 -0.454 0.325607 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.695553 5.902 0 2 0.018539 0.1573 0.437721 3 0.135805 1.1523 0.126495 4 0.030043 0.2549 0.399753 5 -0.111134 -0.943 0.174416 6 -0.032383 -0.2748 0.392138 7 0.060734 0.5153 0.303944 8 -0.107106 -0.9088 0.183237 9 -0.042466 -0.3603 0.359825 10 0.088275 0.749 0.228137 11 0.012024 0.102 0.459511 12 -0.05186 -0.44 0.33061 13 -0.055109 -0.4676 0.320735 14 0.012858 0.1091 0.45671 15 -0.171132 -1.4521 0.075409 16 -0.122395 -1.0386 0.151243 17 0.011559 0.0981 0.46107 18 0.137065 1.163 0.124328 19 0.058939 0.5001 0.309261 20 0.02494 0.2116 0.416501 21 -0.041537 -0.3525 0.362764 22 0.012432 0.1055 0.45814 23 -0.090124 -0.7647 0.223467 24 -0.024845 -0.2108 0.416813 25 0.030293 0.257 0.398937 26 0.082537 0.7003 0.242984 27 -0.156942 -1.3317 0.09358 28 -0.044478 -0.3774 0.353491 29 0.164348 1.3945 0.083721 30 -0.077663 -0.659 0.256001 31 0.063762 0.541 0.295076 32 -0.026886 -0.2281 0.410095 33 -0.006741 -0.0572 0.477274 34 0.006419 0.0545 0.478357 35 0.113534 0.9634 0.169294 36 0.035507 0.3013 0.382032 37 0.048533 0.4118 0.340848 38 0.067709 0.5745 0.2837 39 -0.027631 -0.2345 0.40765 40 -0.060286 -0.5115 0.305268 41 -0.07007 -0.5946 0.276998 42 -0.020449 -0.1735 0.431366 43 -0.086593 -0.7348 0.232433 44 -0.008628 -0.0732 0.470921 45 0.054508 0.4625 0.322552 46 0.10126 0.8592 0.196537 47 -0.043966 -0.3731 0.355099 48 -0.056526 -0.4796 0.316468

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243958582pt48c31cek0bh8k/1tzu21243958562.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243958582pt48c31cek0bh8k/1tzu21243958562.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243958582pt48c31cek0bh8k/2o3m91243958562.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243958582pt48c31cek0bh8k/2o3m91243958562.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 = 1 ; 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')

Copyright

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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