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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: Thu, 04 Jun 2009 06:24:31 -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/04/t12441182957al9ovmavv7gueg.htm/, Retrieved Thu, 04 Jun 2009 14:24:58 +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/04/t12441182957al9ovmavv7gueg.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 «

0 1 0 0 1 3 9 2 3 5 3 5 2 2 0 1 0 1 3 3 2 1 1 5 0 3 1 0 1 4 0 0 1 6 14 1 1 0 0 1 1 1 1 0 1 0 1 0 1 0 1 0 1 0 1 0 1 0 0 2 0 1 0 1 0 0 1 2 0 0 1 2 0 3 1 1 0 2 0 4 0 2 1 1 1 1 0 1 1 0 2 1 3 1 2 4 0 0 0 1 0 1 0 2 2 4 2 3 3 0 0 2 7 8 2 4 1 1 2 4

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	0.282762	3.0975	0.001215
2	0.11645	1.2756	0.102273
3	-0.032222	-0.353	0.362362
4	0.009736	0.1067	0.457621
5	0.087901	0.9629	0.168765
6	0.050894	0.5575	0.289108
7	0.015276	0.1673	0.433692
8	0.036318	0.3978	0.345726
9	-0.016576	-0.1816	0.428111
10	0.017903	0.1961	0.422423
11	0.093851	1.0281	0.152989
12	0.050241	0.5504	0.291548
13	0.037062	0.406	0.342735
14	0.084332	0.9238	0.178719
15	0.00253	0.0277	0.488969
16	0.018905	0.2071	0.418142
17	0.004386	0.048	0.480879
18	-0.025142	-0.2754	0.391735
19	-0.05333	-0.5842	0.280093
20	-0.015111	-0.1655	0.434402
21	-0.006678	-0.0732	0.470902
22	0.011451	0.1254	0.450191
23	0.107025	1.1724	0.12168
24	0.020374	0.2232	0.411887
25	0.099416	1.089	0.139158
26	-0.028936	-0.317	0.375907
27	0.055832	0.6116	0.270977
28	0.149651	1.6393	0.05188
29	0.000102	0.0011	0.499556
30	-0.103312	-1.1317	0.130003
31	-0.098206	-1.0758	0.14209
32	-0.101919	-1.1165	0.133227
33	-0.005237	-0.0574	0.477174
34	-0.043122	-0.4724	0.318759
35	-0.074999	-0.8216	0.206473
36	-0.031932	-0.3498	0.363551
37	-0.048437	-0.5306	0.298337
38	-0.030308	-0.332	0.370233
39	-0.015041	-0.1648	0.434704
40	0.001103	0.0121	0.495189
41	-0.047819	-0.5238	0.300682
42	-0.047561	-0.521	0.301662
43	-0.082814	-0.9072	0.183063
44	-0.063808	-0.699	0.242959
45	0.011031	0.1208	0.45201
46	-0.036368	-0.3984	0.345523
47	-0.072499	-0.7942	0.214327
48	-0.017749	-0.1944	0.423083

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.282762	3.0975	0.001215
2	0.039667	0.4345	0.332342
3	-0.081712	-0.8951	0.186261
4	0.037801	0.4141	0.339773
5	0.095647	1.0478	0.148428
6	-0.005962	-0.0653	0.474017
7	-0.014436	-0.1581	0.437305
8	0.049393	0.5411	0.294729
9	-0.039027	-0.4275	0.334884
10	0.016788	0.1839	0.427201
11	0.101986	1.1172	0.133069
12	-0.00847	-0.0928	0.463113
13	0.000773	0.0085	0.496628
14	0.099444	1.0894	0.139091
15	-0.050296	-0.551	0.291341
16	-0.006057	-0.0664	0.473602
17	0.019076	0.209	0.417414
18	-0.042704	-0.4678	0.32039
19	-0.070044	-0.7673	0.222207
20	0.037714	0.4131	0.34012
21	-0.003479	-0.0381	0.484831
22	-0.021629	-0.2369	0.406554
23	0.140901	1.5435	0.062673
24	-0.041082	-0.45	0.326749
25	0.067519	0.7396	0.230484
26	-0.051228	-0.5612	0.287863
27	0.074315	0.8141	0.208607
28	0.116525	1.2765	0.102129
29	-0.09911	-1.0857	0.139894
30	-0.115338	-1.2635	0.104435
31	-0.01231	-0.1349	0.446478
32	-0.057166	-0.6262	0.266178
33	0.000229	0.0025	0.499001
34	-0.050832	-0.5568	0.28934
35	-0.059667	-0.6536	0.257305
36	0.002893	0.0317	0.487385
37	-0.021749	-0.2383	0.406047
38	-0.019342	-0.2119	0.41628
39	-0.043427	-0.4757	0.317569
40	0.059966	0.6569	0.256254
41	-0.062464	-0.6843	0.247567
42	-0.021459	-0.2351	0.407278
43	-0.013161	-0.1442	0.442804
44	-0.02021	-0.2214	0.412581
45	0.054899	0.6014	0.274359
46	-0.028716	-0.3146	0.376816
47	-0.057002	-0.6244	0.266767
48	0.021277	0.2331	0.408049

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t12441182957al9ovmavv7gueg/11nkf1244118270.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t12441182957al9ovmavv7gueg/11nkf1244118270.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t12441182957al9ovmavv7gueg/27dff1244118270.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t12441182957al9ovmavv7gueg/27dff1244118270.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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