Home » date » 2009 » Jun » 03 »

Robin Bosmans-Datareeks

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 03 Jun 2009 12:31:56 -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/03/t1244054002thqjnys2v7591d6.htm/, Retrieved Wed, 03 Jun 2009 20:33:24 +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/03/t1244054002thqjnys2v7591d6.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 «

467 460 448 443 436 431 484 510 513 503 471 471 476 475 470 461 455 456 517 525 523 519 509 512 519 517 510 509 501 507 569 580 578 565 547 555 562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.260864	2.5559	0.00608
2	-0.188116	-1.8432	0.034196
3	-0.309186	-3.0294	0.001574
4	-0.292173	-2.8627	0.002579
5	0.06368	0.6239	0.267074
6	0.203069	1.9897	0.024737
7	0.042213	0.4136	0.340044
8	-0.270694	-2.6522	0.004678
9	-0.260316	-2.5506	0.006168
10	-0.144239	-1.4132	0.080409
11	0.270217	2.6476	0.004739
12	0.791446	7.7546	0
13	0.157588	1.544	0.062935
14	-0.170853	-1.674	0.048692
15	-0.268598	-2.6317	0.00495
16	-0.232891	-2.2819	0.012353
17	0.062632	0.6137	0.270444
18	0.149637	1.4661	0.07294
19	0.015287	0.1498	0.440626
20	-0.26667	-2.6128	0.005212
21	-0.238748	-2.3392	0.010698
22	-0.095909	-0.9397	0.174862
23	0.234845	2.301	0.011777
24	0.641312	6.2836	0
25	0.126168	1.2362	0.109703
26	-0.177882	-1.7429	0.042279
27	-0.269659	-2.6421	0.00481
28	-0.20449	-2.0036	0.023967
29	0.053628	0.5254	0.300244
30	0.104671	1.0256	0.153837
31	0.010378	0.1017	0.459608
32	-0.223334	-2.1882	0.01554
33	-0.190702	-1.8685	0.032372
34	-0.077712	-0.7614	0.224136
35	0.171105	1.6765	0.048449
36	0.528014	5.1735	1e-06
37	0.112955	1.1067	0.135588
38	-0.150318	-1.4728	0.072036
39	-0.238131	-2.3332	0.010862
40	-0.165763	-1.6241	0.053813
41	0.028371	0.278	0.390813
42	0.088863	0.8707	0.193052
43	-0.001078	-0.0106	0.495796
44	-0.19942	-1.9539	0.026811
45	-0.140151	-1.3732	0.086445
46	-0.055555	-0.5443	0.29374
47	0.142734	1.3985	0.082593
48	0.428322	4.1967	3e-05

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.260864	2.5559	0.00608
2	-0.274871	-2.6932	0.004177
3	-0.203033	-1.9893	0.024757
4	-0.23322	-2.2851	0.012255
5	0.110658	1.0842	0.140492
6	0.00648	0.0635	0.474753
7	-0.112656	-1.1038	0.13622
8	-0.32032	-3.1385	0.001128
9	-0.101334	-0.9929	0.161634
10	-0.204992	-2.0085	0.023699
11	0.18966	1.8583	0.033097
12	0.674298	6.6067	0
13	-0.207006	-2.0282	0.022654
14	0.163538	1.6023	0.056183
15	0.088594	0.868	0.193768
16	0.090978	0.8914	0.187471
17	-0.084132	-0.8243	0.205899
18	-0.038687	-0.3791	0.352741
19	0.033152	0.3248	0.373011
20	-0.109445	-1.0723	0.143128
21	-0.082	-0.8034	0.211855
22	0.011168	0.1094	0.456547
23	-0.150196	-1.4716	0.072198
24	0.06717	0.6581	0.256017
25	0.028089	0.2752	0.391872
26	-0.123774	-1.2127	0.114104
27	-0.077299	-0.7574	0.225341
28	-0.015027	-0.1472	0.441627
29	-0.026783	-0.2624	0.396782
30	-0.135411	-1.3268	0.093868
31	0.012704	0.1245	0.450599
32	0.082184	0.8052	0.211337
33	-0.034283	-0.3359	0.36884
34	-0.072745	-0.7128	0.238864
35	-0.029683	-0.2908	0.385902
36	0.046098	0.4517	0.326266
37	-0.012535	-0.1228	0.451253
38	0.028673	0.2809	0.389682
39	0.008444	0.0827	0.467117
40	0.028135	0.2757	0.391699
41	-0.044528	-0.4363	0.331804
42	0.103792	1.017	0.155867
43	-0.120892	-1.1845	0.11957
44	-0.018403	-0.1803	0.428644
45	0.061993	0.6074	0.272507
46	-0.013083	-0.1282	0.449136
47	-0.069816	-0.6841	0.247796
48	-0.067315	-0.6596	0.255561

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/03/t1244054002thqjnys2v7591d6/1sqbn1244053914.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/03/t1244054002thqjnys2v7591d6/1sqbn1244053914.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/03/t1244054002thqjnys2v7591d6/25s1z1244053914.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/03/t1244054002thqjnys2v7591d6/25s1z1244053914.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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')

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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