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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, 30 Apr 2010 12:33:59 +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/30/t12726309400av9ze65fobuwow.htm/, Retrieved Fri, 30 Apr 2010 14:35:42 +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/2010/Apr/30/t12726309400av9ze65fobuwow.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 «

182900 191400 189300 192200 187900 193900 189100 193100 194800 200200 211500 202100 200300 199200 204900 207300 200000 197700 202200 200200 208300 215100 210700 208100 209000 211000 210200 205500 211400 211700 209300 207500 203300 207100 206900 228700 226900 226500 227100 228100 226500 225200 217800 221300 215300 231300 227100 237800 230200 233400 231100 237200 243700 239700 248400 241000 254500 242800 268300 253900 262100 264100 261000 269300 260400 263200 279200 272200 269200 289600 283200 284300 283000 289100 289600 289100 287400 279600 289300 295000 299600 293600 294400 290200 301000 307900 298800 310300 293900 305000 311300 317300 296200 306800 291800 301900 314600 321500 329400 311700 309700 306500 307100 301300 292200 310100 316800 284400 284600 301200 287600 314300 298200 299400 301900 265500 287100 274000 290100 263100 245200 258600 259800 269800 274600 274800 271100 257800 etc...

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	0.948825	10.9012	0
2	0.935881	10.7525	0
3	0.916838	10.5337	0
4	0.89683	10.3038	0
5	0.888811	10.2117	0
6	0.868254	9.9755	0
7	0.853812	9.8095	0
8	0.829807	9.5338	0
9	0.809314	9.2983	0
10	0.795451	9.139	0
11	0.784644	9.0149	0
12	0.773337	8.885	0
13	0.755376	8.6786	0
14	0.728432	8.3691	0
15	0.711869	8.1788	0
16	0.686647	7.889	0
17	0.66371	7.6254	0
18	0.636599	7.314	0
19	0.610139	7.01	0
20	0.585325	6.7249	0
21	0.556263	6.391	0
22	0.53441	6.1399	0
23	0.50672	5.8218	0
24	0.482457	5.543	0
25	0.464478	5.3365	0
26	0.440685	5.0631	1e-06
27	0.414385	4.7609	2e-06
28	0.381221	4.3799	1.2e-05
29	0.352498	4.0499	4.3e-05
30	0.324144	3.7241	0.000145
31	0.299424	3.4401	0.000389
32	0.269711	3.0987	0.001188
33	0.240635	2.7647	0.003257
34	0.203568	2.3388	0.010423
35	0.174186	2.0012	0.023709
36	0.145665	1.6736	0.048292
37	0.126867	1.4576	0.073665
38	0.103784	1.1924	0.117623
39	0.078312	0.8997	0.184948
40	0.055673	0.6396	0.261759
41	0.025043	0.2877	0.387007
42	0.002269	0.0261	0.489623
43	-0.024095	-0.2768	0.391171
44	-0.046601	-0.5354	0.296635
45	-0.078844	-0.9059	0.183332
46	-0.104147	-1.1966	0.116811
47	-0.131726	-1.5134	0.066282
48	-0.149226	-1.7145	0.044394

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.948825	10.9012	0
2	0.357078	4.1025	3.6e-05
3	0.081906	0.941	0.174205
4	-0.009052	-0.104	0.458662
5	0.117827	1.3537	0.089067
6	-0.045774	-0.5259	0.29992
7	-0.007158	-0.0822	0.467291
8	-0.098438	-1.131	0.13006
9	-0.034837	-0.4003	0.344809
10	0.049596	0.5698	0.284887
11	0.095248	1.0943	0.137905
12	0.026751	0.3073	0.379532
13	-0.056184	-0.6455	0.259862
14	-0.157984	-1.8151	0.03589
15	0.011862	0.1363	0.445901
16	-0.07201	-0.8273	0.204769
17	-0.074428	-0.8551	0.197019
18	-0.107487	-1.2349	0.109524
19	-0.018782	-0.2158	0.414745
20	0.006021	0.0692	0.472477
21	-0.020188	-0.2319	0.408473
22	0.003615	0.0415	0.483465
23	-0.055376	-0.6362	0.262866
24	-0.021438	-0.2463	0.402915
25	0.084411	0.9698	0.166957
26	0.001985	0.0228	0.49092
27	-0.098708	-1.1341	0.129411
28	-0.155049	-1.7814	0.038575
29	-0.019835	-0.2279	0.410046
30	0.007704	0.0885	0.464803
31	0.044019	0.5057	0.306943
32	-0.076301	-0.8766	0.19114
33	-0.030116	-0.346	0.364945
34	-0.095367	-1.0957	0.137606
35	0.030677	0.3524	0.362533
36	-0.000201	-0.0023	0.499079
37	0.058783	0.6754	0.250313
38	-0.036277	-0.4168	0.338754
39	0.011954	0.1373	0.445487
40	0.040304	0.4631	0.322044
41	-0.054694	-0.6284	0.265417
42	-0.066225	-0.7609	0.224045
43	-0.046207	-0.5309	0.298199
44	0.012119	0.1392	0.44474
45	-0.074028	-0.8505	0.198289
46	0.019188	0.2205	0.41293
47	-0.016243	-0.1866	0.426125
48	0.091213	1.048	0.148285

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Apr/30/t12726309400av9ze65fobuwow/11wgy1272630838.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/30/t12726309400av9ze65fobuwow/11wgy1272630838.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/30/t12726309400av9ze65fobuwow/21wgy1272630838.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/30/t12726309400av9ze65fobuwow/21wgy1272630838.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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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