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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: Sun, 03 Jan 2010 11:54:02 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Jan/03/t12625448970j11xfcg6asr9u4.htm/, Retrieved Sun, 03 Jan 2010 19:54:59 +0100

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/Jan/03/t12625448970j11xfcg6asr9u4.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 «

8 10 10 13 14 12 11 8 8 10 10 12 12 12 11 12 12 12 12 12 12 10 12 10 11 10 10 12 10 12 7 12 18 12 11 13 10 10 10 8 12 10 10 8 14 9 8 12 15 14 1 9 7 8 12 57 12 10 10 8 8 16 14 13 10 12 9 12 11 10 8 8 9 12 8 12 10 12 9 8 12 8 12 10 12 9 28 10 12 9 14 12 12 99 13 13 14 12 12 10 11 12 14 10 12 12 6 12 10 12 12 12 9 12 12 13 8 12 10 10 10 9 12 9 10 8 12 10 8 8 9 12 12 10 10 9 11 10 9 15 10 8 10 8 9 9 6 16 12 12 12 12 10 12 8 9 12 12 8 14 10 12 8 11 10 12 12 12 12 8 10 7 10 10 12 11 9 10 12 14 13 10 11 10 10 8 10 10 10 8 8 4 14 8 12 12 10 8 12 12 10 10 12 12 9 11 14 10 8 12 8 10 11 12 10 10 12 8 9 12 8 8 10 10 10 14 10 12 12 13 9 12 12 10 12 6 8 12 10 9 11 11 9 10 15 12 7 7 10 9 10 10 9 12 10 9 12 10 7 12 10 10 12 8 12 10 10 9 8 8 12 12 10 12 10 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	-0.566916	-16.5962	0
2	0.09782	2.8636	0.002145
3	-0.065551	-1.919	0.02766
4	0.10245	2.9992	0.001393
5	-0.098407	-2.8808	0.002033
6	0.046367	1.3574	0.087512
7	0.001099	0.0322	0.487174
8	-0.058252	-1.7053	0.044251
9	0.04171	1.221	0.111205
10	0.032745	0.9586	0.169016
11	-0.026098	-0.764	0.222538
12	-0.020744	-0.6073	0.271914
13	-0.007385	-0.2162	0.414442
14	0.053781	1.5744	0.05788
15	-0.067113	-1.9647	0.024885
16	0.071022	2.0791	0.018951
17	-0.105696	-3.0942	0.001019
18	0.134751	3.9448	4.3e-05
19	-0.167861	-4.914	1e-06
20	0.203659	5.962	0
21	-0.125835	-3.6838	0.000122
22	0.011227	0.3287	0.371247
23	0.016263	0.4761	0.31706
24	0.031596	0.925	0.177624
25	-0.031609	-0.9253	0.177527
26	-0.034326	-1.0049	0.157618
27	0.028254	0.8271	0.204202
28	0.00013	0.0038	0.498483
29	-0.012854	-0.3763	0.353396
30	0.060437	1.7693	0.038604
31	-0.075501	-2.2103	0.013676
32	0.033154	0.9706	0.166015
33	0.034259	1.0029	0.158091
34	-0.040042	-1.1722	0.120717
35	0.007088	0.2075	0.417841
36	-0.009996	-0.2926	0.384944
37	-0.042508	-1.2444	0.106844
38	0.097598	2.8571	0.002189
39	-0.072758	-2.13	0.01673
40	0.014699	0.4303	0.333538
41	0.016301	0.4772	0.316667
42	-0.004047	-0.1185	0.45286
43	0.029247	0.8562	0.196062
44	-0.06601	-1.9324	0.026819
45	0.031734	0.929	0.176573
46	0.0038	0.1112	0.45573
47	0.03644	1.0668	0.14319
48	-0.081607	-2.389	0.008555

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.566916	-16.5962	0
2	-0.32946	-9.6448	0
3	-0.295233	-8.6428	0
4	-0.120802	-3.5364	0.000214
5	-0.142742	-4.1787	1.6e-05
6	-0.116277	-3.404	0.000347
7	-0.062646	-1.8339	0.033504
8	-0.152841	-4.4743	4e-06
9	-0.139269	-4.077	2.5e-05
10	-0.053003	-1.5516	0.06056
11	-0.02939	-0.8604	0.194912
12	-0.048056	-1.4068	0.079924
13	-0.10742	-3.1447	0.00086
14	-0.045394	-1.3289	0.092118
15	-0.094837	-2.7763	0.002809
16	-0.027556	-0.8067	0.210035
17	-0.14484	-4.2401	1.2e-05
18	-0.02262	-0.6622	0.254009
19	-0.1934	-5.6617	0
20	-0.023559	-0.6897	0.245287
21	-0.008116	-0.2376	0.406129
22	-0.074908	-2.1929	0.014291
23	-0.036383	-1.0651	0.143569
24	-0.003809	-0.1115	0.455625
25	0.017871	0.5232	0.300497
26	-0.042652	-1.2486	0.106071
27	-0.080285	-2.3503	0.009492
28	-0.062967	-1.8433	0.032813
29	-0.089663	-2.6249	0.004412
30	-0.00481	-0.1408	0.444027
31	-0.045966	-1.3456	0.089388
32	-0.053223	-1.5581	0.059793
33	0.054499	1.5954	0.055491
34	-0.012695	-0.3716	0.355127
35	0.041336	1.2101	0.113287
36	-0.004164	-0.1219	0.451498
37	-0.085794	-2.5116	0.006101
38	-0.007478	-0.2189	0.413385
39	-0.025779	-0.7547	0.225328
40	-0.071218	-2.0849	0.018688
41	-0.029377	-0.86	0.195013
42	-0.03093	-0.9055	0.18274
43	0.042403	1.2413	0.107411
44	-0.044482	-1.3022	0.096599
45	-0.06601	-1.9324	0.026819
46	-0.018309	-0.536	0.296057
47	0.071019	2.0791	0.018954
48	-0.041331	-1.2099	0.113316

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jan/03/t12625448970j11xfcg6asr9u4/1bnkr1262544840.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jan/03/t12625448970j11xfcg6asr9u4/1bnkr1262544840.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jan/03/t12625448970j11xfcg6asr9u4/27ods1262544840.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jan/03/t12625448970j11xfcg6asr9u4/27ods1262544840.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; 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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