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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: Fri, 05 Jun 2009 06:29:37 -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/05/t1244205100rr6glztaxg740an.htm/, Retrieved Fri, 05 Jun 2009 14:31:42 +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/05/t1244205100rr6glztaxg740an.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:

Wesley De Bondt

IsPrivate?

No (this computation is public)

User-defined keywords:

Wesley De Bondt

Dataseries X:

» Textbox « » Textfile « » CSV «

0,63709 0,64218 0,65711 0,66977 0,68255 0,68902 0,71322 0,70224 0,70045 0,69919 0,69693 0,69763 0,69278 0,70196 0,69215 0,6769 0,67124 0,66533 0,67157 0,66428 0,66576 0,66942 0,68130 0,69144 0,69862 0,695 0,69867 0,68968 0,69233 0,68293 0,68399 0,66895 0,68756 0,68527 0,6776 0,68137 0,67933 0,67922 0,68598 0,68297 0,68935 0,69463 0,6833 0,68666 0,68782 0,67669 0,67511 0,67254 0,67397 0,67286 0,66341 0,668 0,68021 0,67934 0,68136 0,67562 0,6744 0,67766 0,68887 0,69614 0,70896 0,72064 0,74725 0,75094 0,77494 0,79487 0,79209 0,79152 0,79308 0,79279 0,79924 0,78668

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	0.912781	7.7452	0
2	0.804562	6.8269	0
3	0.691138	5.8645	0
4	0.570427	4.8402	4e-06
5	0.450165	3.8198	0.00014
6	0.328017	2.7833	0.003434
7	0.217967	1.8495	0.034244
8	0.126275	1.0715	0.143767
9	0.051915	0.4405	0.330443
10	-0.011095	-0.0941	0.462628
11	-0.049122	-0.4168	0.339026
12	-0.074198	-0.6296	0.265476
13	-0.089311	-0.7578	0.225512
14	-0.084907	-0.7205	0.236786
15	-0.075024	-0.6366	0.263202
16	-0.066395	-0.5634	0.287465
17	-0.064775	-0.5496	0.292135
18	-0.072091	-0.6117	0.271327
19	-0.074197	-0.6296	0.265479
20	-0.085533	-0.7258	0.235166
21	-0.088037	-0.747	0.228741
22	-0.08625	-0.7319	0.233316
23	-0.08875	-0.7531	0.226933
24	-0.078461	-0.6658	0.253845
25	-0.065213	-0.5534	0.290869
26	-0.048476	-0.4113	0.341026
27	-0.035624	-0.3023	0.381654
28	-0.036923	-0.3133	0.377479
29	-0.032756	-0.2779	0.390925
30	-0.032076	-0.2722	0.393134
31	-0.046881	-0.3978	0.345979
32	-0.058851	-0.4994	0.309521
33	-0.057177	-0.4852	0.314517
34	-0.054399	-0.4616	0.322884
35	-0.049491	-0.4199	0.337889
36	-0.044848	-0.3805	0.352331
37	-0.043409	-0.3683	0.356853
38	-0.038652	-0.328	0.371943
39	-0.043582	-0.3698	0.356305
40	-0.051963	-0.4409	0.330295
41	-0.04586	-0.3891	0.349162
42	-0.052066	-0.4418	0.329982
43	-0.067247	-0.5706	0.285019
44	-0.085124	-0.7223	0.236226
45	-0.096287	-0.817	0.208305
46	-0.114862	-0.9746	0.166502
47	-0.12974	-1.1009	0.137307
48	-0.144398	-1.2253	0.112235

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.912781	7.7452	0
2	-0.171478	-1.455	0.075002
3	-0.078192	-0.6635	0.254572
4	-0.107345	-0.9109	0.182706
5	-0.065448	-0.5553	0.29019
6	-0.095495	-0.8103	0.210218
7	-0.01193	-0.1012	0.459826
8	0.010559	0.0896	0.464428
9	0.005054	0.0429	0.482957
10	-0.031681	-0.2688	0.394417
11	0.065114	0.5525	0.291155
12	-0.016245	-0.1378	0.445376
13	-0.009258	-0.0786	0.468801
14	0.059986	0.509	0.306156
15	-0.012977	-0.1101	0.456312
16	-0.03975	-0.3373	0.368438
17	-0.059303	-0.5032	0.308178
18	-0.057153	-0.485	0.314589
19	0.029133	0.2472	0.402728
20	-0.068329	-0.5798	0.281932
21	0.074176	0.6294	0.265538
22	0.013979	0.1186	0.452955
23	-0.037283	-0.3164	0.376324
24	0.073784	0.6261	0.266623
25	-0.001336	-0.0113	0.495495
26	0.008359	0.0709	0.471826
27	-0.034856	-0.2958	0.38413
28	-0.093727	-0.7953	0.214527
29	0.047946	0.4068	0.342667
30	-0.050645	-0.4297	0.334336
31	-0.086597	-0.7348	0.232424
32	0.049733	0.422	0.337141
33	0.070251	0.5961	0.276488
34	0.012381	0.1051	0.458313
35	0.013038	0.1106	0.45611
36	-0.011913	-0.1011	0.459883
37	-0.019629	-0.1666	0.434094
38	-0.028715	-0.2437	0.404095
39	-0.058092	-0.4929	0.311783
40	-0.027493	-0.2333	0.408101
41	0.052325	0.444	0.32919
42	-0.076321	-0.6476	0.259651
43	-0.050653	-0.4298	0.33431
44	-0.016481	-0.1398	0.444585
45	0.048482	0.4114	0.341005
46	-0.075624	-0.6417	0.261556
47	0.042854	0.3636	0.358602
48	-0.038881	-0.3299	0.371211

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/05/t1244205100rr6glztaxg740an/1vogd1244204976.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/05/t1244205100rr6glztaxg740an/1vogd1244204976.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/05/t1244205100rr6glztaxg740an/2cero1244204976.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/05/t1244205100rr6glztaxg740an/2cero1244204976.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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