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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, 10 Jan 2010 06:54:30 -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/10/t1263131717ry768ipet7d0gf1.htm/, Retrieved Sun, 10 Jan 2010 14:55:19 +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/10/t1263131717ry768ipet7d0gf1.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 «

104.28 104.33 104.46 104.46 104.5 104.61 104.66 104.66 105.03 105.32 105.52 105.67 105.71 105.81 106 106.02 106.19 106.22 106.34 106.42 106.84 107.23 107.42 107.63 107.69 107.81 107.92 108.06 108.21 108.44 108.55 108.66 109.23 109.7 109.94 110.13 110.39 110.46 110.67 110.89 110.98 111.12 111.33 111.43 111.87 112.22 112.47 112.64 112.84 113.03 113.09 113.27 113.44 113.51 113.66 113.62 114.01 114.55 114.77 114.87 115.11 115.09 115.24 115.27 115.41 115.59 115.6 115.68 116.2 116.55 116.73 117.04 117.12 117.28 117.48 117.66 117.92 118.12 118.17 118.39

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.253294	2.2513	0.013571
2	-0.032979	-0.2931	0.385099
3	0.013108	0.1165	0.453774
4	-0.163834	-1.4562	0.074652
5	-0.162128	-1.441	0.076765
6	-0.043494	-0.3866	0.350052
7	-0.197032	-1.7513	0.041891
8	-0.078159	-0.6947	0.244642
9	-0.084279	-0.7491	0.228013
10	-0.078431	-0.6971	0.24389
11	0.333759	2.9665	0.001992
12	0.584489	5.1951	1e-06
13	0.219969	1.9551	0.027052
14	-0.029096	-0.2586	0.398303
15	-0.090608	-0.8053	0.21152
16	-0.130461	-1.1596	0.124859
17	-0.19755	-1.7559	0.041494
18	-0.116759	-1.0378	0.151269
19	-0.09936	-0.8831	0.189924
20	-0.132367	-1.1765	0.121463
21	-0.134806	-1.1982	0.117213
22	-0.058917	-0.5237	0.300989
23	0.157138	1.3967	0.083212
24	0.436071	3.8759	0.000109
25	0.188467	1.6751	0.048931
26	-0.062741	-0.5577	0.289328
27	-0.098181	-0.8727	0.192748
28	-0.106464	-0.9463	0.173448
29	-0.20126	-1.7888	0.038737
30	-0.116279	-1.0335	0.152259
31	-0.139477	-1.2397	0.109379
32	-0.13589	-1.2078	0.115361
33	-0.101405	-0.9013	0.185083
34	-0.099312	-0.8827	0.190038
35	0.131153	1.1657	0.123618
36	0.33916	3.0145	0.00173
37	0.15574	1.3842	0.08509
38	-0.008768	-0.0779	0.469041
39	-0.037452	-0.3329	0.370053
40	-0.077691	-0.6905	0.245942
41	-0.120494	-1.071	0.143721
42	-0.076195	-0.6772	0.250116
43	-0.05289	-0.4701	0.319789
44	-0.043881	-0.39	0.348785
45	-0.12395	-1.1017	0.136971
46	-0.031349	-0.2786	0.390626
47	0.093792	0.8336	0.203498
48	0.24384	2.1673	0.016612

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.253294	2.2513	0.013571
2	-0.103796	-0.9226	0.179523
3	0.052518	0.4668	0.320967
4	-0.20015	-1.779	0.039545
5	-0.064919	-0.577	0.282785
6	-0.012073	-0.1073	0.457409
7	-0.211899	-1.8834	0.031663
8	0.012519	0.1113	0.455843
9	-0.167195	-1.4861	0.070622
10	-0.029598	-0.2631	0.39659
11	0.338801	3.0113	0.001746
12	0.467255	4.1531	4.1e-05
13	0.086511	0.7689	0.222114
14	-0.169168	-1.5036	0.068336
15	-0.111315	-0.9894	0.162747
16	0.038898	0.3457	0.36523
17	-0.122325	-1.0872	0.140117
18	-0.018172	-0.1615	0.436049
19	0.016276	0.1447	0.442673
20	-0.060363	-0.5365	0.296554
21	-0.036729	-0.3265	0.372473
22	-0.087125	-0.7744	0.220508
23	-0.163797	-1.4559	0.074696
24	0.068509	0.6089	0.272161
25	0.022386	0.199	0.421399
26	-0.00566	-0.0503	0.480002
27	-0.10995	-0.9773	0.165712
28	0.064022	0.569	0.285472
29	-0.021117	-0.1877	0.425799
30	-0.080105	-0.712	0.239285
31	-0.136983	-1.2175	0.113514
32	-0.034964	-0.3108	0.3784
33	0.074518	0.6623	0.254843
34	-0.041333	-0.3674	0.35716
35	-0.012114	-0.1077	0.457266
36	-0.033534	-0.2981	0.38322
37	0.00386	0.0343	0.48636
38	0.036437	0.3239	0.373451
39	0.011097	0.0986	0.46084
40	-0.003806	-0.0338	0.486551
41	0.035967	0.3197	0.375025
42	0.117055	1.0404	0.150662
43	0.097522	0.8668	0.194339
44	0.014708	0.1307	0.448163
45	-0.085753	-0.7622	0.224108
46	0.08027	0.7135	0.238832
47	-0.057743	-0.5132	0.304612
48	-0.020859	-0.1854	0.426695

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jan/10/t1263131717ry768ipet7d0gf1/16ze21263131666.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jan/10/t1263131717ry768ipet7d0gf1/16ze21263131666.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jan/10/t1263131717ry768ipet7d0gf1/2h69t1263131666.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jan/10/t1263131717ry768ipet7d0gf1/2h69t1263131666.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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