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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 13:23:49 +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/t1272633846j0ngj01jff7jv3f.htm/, Retrieved Fri, 30 Apr 2010 15:24:08 +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/t1272633846j0ngj01jff7jv3f.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 «

562674 599000 668516 597798 579889 668233 499232 215187 555813 586935 546136 571111 634712 639283 712182 621557 621000 675989 501322 220286 560727 602530 626379 605508 646783 658442 712906 687714 723916 707183 629000 237530 613296 730444 734925 651812 676155 748183 810681 729363 701108 790079 594621 230716 617189 691389 701067 705777 747636 773392 813788 766713 728875 749197 680954 241424 680234 708326 694238 772071 795337 788421 889968 797393 751000 821255 691605 290655 727147 868355 812390 799556 843038 847000 941952 804309 840307 871528 656330 370508 742000 847152 731675 898527 778139 856075 938833 813023 783417 828110 657311 310032 780000 860000 780000 807993 895217 856075 893268 875000 835088 934595 832500 300000 791443 900000 781729 880000 875024 992968 976804 968697 871675 1006852 832037 345587 849528 913871 868746 993733

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	3 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.437023	4.7873	2e-06
2	0.167506	1.8349	0.034496
3	0.265657	2.9101	0.002154
4	0.157933	1.7301	0.043095
5	0.066719	0.7309	0.23314
6	0.09807	1.0743	0.142421
7	0.066654	0.7302	0.233357
8	0.154067	1.6877	0.047031
9	0.224531	2.4596	0.007667
10	0.118715	1.3005	0.097968
11	0.339674	3.7209	0.000152
12	0.788049	8.6326	0
13	0.326617	3.5779	0.00025
14	0.078685	0.8619	0.195218
15	0.154567	1.6932	0.046506
16	0.068646	0.752	0.226768
17	-0.006055	-0.0663	0.473613
18	0.021459	0.2351	0.407276
19	-0.013941	-0.1527	0.43944
20	0.058652	0.6425	0.260887
21	0.117224	1.2841	0.100786
22	0.035707	0.3911	0.348192
23	0.232415	2.546	0.006082
24	0.628709	6.8872	0
25	0.23653	2.5911	0.005377
26	0.004659	0.051	0.479692
27	0.068946	0.7553	0.225785
28	-0.003879	-0.0425	0.483088
29	-0.085255	-0.9339	0.176109
30	-0.038218	-0.4187	0.338108
31	-0.049752	-0.545	0.293379
32	0.01149	0.1259	0.450024
33	0.070185	0.7688	0.221751
34	-0.006169	-0.0676	0.473118
35	0.172877	1.8938	0.030332
36	0.517945	5.6738	0
37	0.156146	1.7105	0.04488
38	-0.04417	-0.4839	0.314683
39	0.02634	0.2885	0.386717
40	-0.043895	-0.4808	0.315751
41	-0.117862	-1.2911	0.099573
42	-0.06494	-0.7114	0.239112
43	-0.086706	-0.9498	0.172058
44	-0.038836	-0.4254	0.335645
45	3.8e-05	4e-04	0.499832
46	-0.059409	-0.6508	0.258214
47	0.083676	0.9166	0.180589
48	0.371681	4.0716	4.2e-05

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.437023	4.7873	2e-06
2	-0.029027	-0.318	0.375527
3	0.251152	2.7512	0.003429
4	-0.065295	-0.7153	0.237917
5	0.018035	0.1976	0.421859
6	0.026804	0.2936	0.384777
7	-0.009629	-0.1055	0.458087
8	0.169555	1.8574	0.032855
9	0.097145	1.0642	0.144693
10	-0.027308	-0.2991	0.382675
11	0.35138	3.8492	9.6e-05
12	0.688644	7.5437	0
13	-0.387259	-4.2422	2.2e-05
14	-0.13079	-1.4327	0.077268
15	-0.190576	-2.0877	0.019472
16	0.019606	0.2148	0.415154
17	-0.028042	-0.3072	0.379616
18	-0.03943	-0.4319	0.333282
19	-0.092959	-1.0183	0.155289
20	-0.094482	-1.035	0.151375
21	-0.006278	-0.0688	0.472642
22	0.058346	0.6391	0.261973
23	0.053398	0.5849	0.279842
24	0.126464	1.3853	0.084258
25	-0.060743	-0.6654	0.253533
26	-0.016916	-0.1853	0.426652
27	-0.021455	-0.235	0.407294
28	0.010625	0.1164	0.453769
29	-0.077318	-0.847	0.199346
30	0.041284	0.4522	0.325956
31	0.045067	0.4937	0.311215
32	0.016365	0.1793	0.429012
33	0.027036	0.2962	0.383807
34	-0.050011	-0.5478	0.29241
35	0.030707	0.3364	0.368585
36	-0.001684	-0.0185	0.492655
37	-0.077585	-0.8499	0.198535
38	0.026895	0.2946	0.384396
39	0.014061	0.154	0.438922
40	-0.003735	-0.0409	0.483714
41	-0.004537	-0.0497	0.480223
42	-0.025812	-0.2828	0.388924
43	-0.076837	-0.8417	0.200812
44	-0.03782	-0.4143	0.3397
45	-0.065552	-0.7181	0.237051
46	0.037737	0.4134	0.340029
47	-0.110336	-1.2087	0.114582
48	-0.076389	-0.8368	0.202186

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Apr/30/t1272633846j0ngj01jff7jv3f/16tzh1272633825.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/30/t1272633846j0ngj01jff7jv3f/16tzh1272633825.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/30/t1272633846j0ngj01jff7jv3f/26tzh1272633825.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/30/t1272633846j0ngj01jff7jv3f/26tzh1272633825.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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