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6.2.3 bis

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 29 Apr 2010 16:10:36 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Apr/29/t12725575017fqkc6pugcw9ou8.htm/, Retrieved Thu, 29 Apr 2010 18:11:43 +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/2010/Apr/29/t12725575017fqkc6pugcw9ou8.htm/},
    year = {2010},
}
@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 = {2010},
    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:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

81.28 69.39 67.63 51.25 103.97 133.83 162.37 172.91 163.01 151.50 111.73 88.58 74.29 63.98 61.18 76.48 107.98 124.97 145.57 140.20 143.84 138.80 104.06 74.70 60.18 55.16 35.62 56.18 85.44 114.08 133.64 67.14 95.58 89.37 75.24 69.18 54.49 57.50 62.16 76.67 110.04 127.38 156.47 167.56 153.54 124.08 100.97 79.17 68.13 61.77 54.31 60.30 84.18 104.05 114.66 105.55 96.61 70.94 63.91 58.61 44.53 49.58 57.39 76.76 104.57 125.41 143.11 136.35 135.15 131.70 96.87 70.63 66.29 63.49 62.97 66.43 101.49 127.69 133.21 158.72 148.61 134.31 100.99 75.16 59.74 52.87 52.07 57.38 79.43 101.40 120.19 134.38 135.97 113.83 84.38 70.28 65.96 56.36 49.57 68.33 90.32 117.06 134.69 131.67 129.25 118.77 88.44 76.79 75.28 73.89 76.24 88.58 105.83 115.84 127.76 131.75 119.63 93.38 75.55 51.79

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	0.490431	5.35	0
2	0.268554	2.9296	0.002035
3	-0.029329	-0.3199	0.374789
4	-0.341536	-3.7257	0.00015
5	-0.471064	-5.1387	1e-06
6	-0.660847	-7.209	0
7	-0.476493	-5.1979	0
8	-0.258125	-2.8158	0.002848
9	-0.005611	-0.0612	0.47565
10	0.279524	3.0492	0.001414
11	0.474263	5.1736	0
12	0.595238	6.4933	0
13	0.451155	4.9215	1e-06
14	0.246967	2.6941	0.004039
15	-0.069781	-0.7612	0.224014
16	-0.268103	-2.9247	0.002065
17	-0.494987	-5.3997	0
18	-0.562274	-6.1337	0
19	-0.415958	-4.5376	7e-06
20	-0.2033	-2.2177	0.014235
21	0.04374	0.4771	0.317067
22	0.227301	2.4796	0.007277
23	0.481143	5.2486	0
24	0.513653	5.6033	0
25	0.378245	4.1262	3.4e-05
26	0.218191	2.3802	0.009446
27	-0.108769	-1.1865	0.118888
28	-0.208167	-2.2708	0.012478
29	-0.4068	-4.4377	1e-05
30	-0.45535	-4.9673	1e-06
31	-0.351699	-3.8366	0.000101
32	-0.206952	-2.2576	0.012898
33	0.020021	0.2184	0.413746
34	0.23099	2.5198	0.006534
35	0.383132	4.1795	2.8e-05
36	0.495987	5.4106	0
37	0.374754	4.0881	4e-05
38	0.171596	1.8719	0.031838
39	-0.007737	-0.0844	0.466442
40	-0.236805	-2.5832	0.005499
41	-0.379309	-4.1378	3.3e-05
42	-0.398643	-4.3487	1.5e-05
43	-0.312985	-3.4143	0.000438
44	-0.133122	-1.4522	0.07454
45	-0.026411	-0.2881	0.386881
46	0.156876	1.7113	0.044814
47	0.347289	3.7885	0.00012
48	0.351997	3.8398	9.9e-05
49	0.320466	3.4959	0.000332
50	0.122252	1.3336	0.092439
51	-0.028606	-0.3121	0.377773
52	-0.163624	-1.7849	0.03841
53	-0.31842	-3.4735	0.000359
54	-0.340001	-3.709	0.000159
55	-0.285153	-3.1106	0.001168
56	-0.130617	-1.4249	0.078408
57	0.006585	0.0718	0.471428
58	0.150471	1.6414	0.051672
59	0.28844	3.1465	0.001044
60	0.322328	3.5162	0.00031

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.490431	5.35	0
2	0.036908	0.4026	0.343974
3	-0.229781	-2.5066	0.006769
4	-0.353288	-3.8539	9.4e-05
5	-0.221792	-2.4195	0.008528
6	-0.447391	-4.8805	2e-06
7	-0.150765	-1.6447	0.05134
8	-0.114937	-1.2538	0.106184
9	-0.106839	-1.1655	0.123078
10	-0.053628	-0.585	0.279824
11	0.076941	0.8393	0.201483
12	0.130102	1.4192	0.07922
13	0.012282	0.134	0.44682
14	0.029629	0.3232	0.373552
15	-0.11791	-1.2863	0.100426
16	0.033963	0.3705	0.355837
17	-0.137478	-1.4997	0.068169
18	-0.099332	-1.0836	0.14037
19	-0.04362	-0.4758	0.317532
20	0.022724	0.2479	0.402324
21	-0.099115	-1.0812	0.140893
22	-0.129635	-1.4142	0.079964
23	0.073457	0.8013	0.212273
24	-0.027583	-0.3009	0.382009
25	-0.082042	-0.895	0.186303
26	0.021827	0.2381	0.406104
27	-0.146209	-1.595	0.056687
28	0.077486	0.8453	0.199828
29	0.040816	0.4453	0.328473
30	-0.014784	-0.1613	0.436074
31	-0.054464	-0.5941	0.276775
32	-0.03199	-0.349	0.363863
33	-0.137027	-1.4948	0.068808
34	0.023941	0.2612	0.397209
35	-0.023879	-0.2605	0.397467
36	0.114368	1.2476	0.107312
37	0.012685	0.1384	0.44509
38	-0.007965	-0.0869	0.465454
39	0.045919	0.5009	0.308678
40	-0.02472	-0.2697	0.393942
41	0.022047	0.2405	0.405178
42	0.053212	0.5805	0.281347
43	0.119094	1.2992	0.0982
44	0.06589	0.7188	0.236844
45	-0.056491	-0.6162	0.269456
46	-0.060109	-0.6557	0.256636
47	0.100309	1.0942	0.13803
48	-0.076563	-0.8352	0.202638
49	0.013315	0.1452	0.44238
50	-0.059368	-0.6476	0.259235
51	-0.029838	-0.3255	0.37269
52	-0.004631	-0.0505	0.479896
53	0.036142	0.3943	0.347045
54	-0.068927	-0.7519	0.226796
55	-0.005278	-0.0576	0.477091
56	-0.008348	-0.0911	0.463795
57	-0.044615	-0.4867	0.313687
58	-0.015273	-0.1666	0.433979
59	-0.012962	-0.1414	0.443898
60	-0.039295	-0.4287	0.334474

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Apr/29/t12725575017fqkc6pugcw9ou8/19via1272557435.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/29/t12725575017fqkc6pugcw9ou8/19via1272557435.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/29/t12725575017fqkc6pugcw9ou8/29via1272557435.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/29/t12725575017fqkc6pugcw9ou8/29via1272557435.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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