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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, 22 Jan 2010 04:30:20 -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/22/t1264160070gsqv1eaeokpwp3q.htm/, Retrieved Fri, 22 Jan 2010 12:34:33 +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/22/t1264160070gsqv1eaeokpwp3q.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 «

6550 8728 12026 14395 14587 13791 9498 8251 7049 9545 9364 8456 7237 9374 11837 13784 15926 13821 11143 7975 7610 1015 12759 8816 10677 10947 15200 17010 20900 16205 12143 8997 5568 11474 12256 10583 10862 10965 14405 20379 20128 17816 12268 8642 7962 13932 15936 12628 12267 12470 18944 21259 22015 18581 15175 10306 10792 14752 13754 11738 12181 12965 19990 23125 23541 21247 15189 14767 10895 17130 17697 16611 12674 12760 20249 22135 20677 19933 15388 15113 13401 16135 17562 14720 12225 11608 20985 19692 24081 22114 14220 13434 13598 17187 16119 13713 13210 14251 20139 21725 26099 21084 18024 16722 14385 21342 17180 14577

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	0.701258	7.2877	0
2	0.381084	3.9603	6.7e-05
3	0.095626	0.9938	0.161278
4	0.043633	0.4534	0.325569
5	0.144119	1.4977	0.06856
6	0.183529	1.9073	0.02957
7	0.112277	1.1668	0.122928
8	8.4e-05	9e-04	0.499653
9	0.04756	0.4943	0.311062
10	0.283038	2.9414	0.001999
11	0.60706	6.3088	0
12	0.741131	7.7021	0
13	0.547886	5.6938	0
14	0.253248	2.6318	0.004868
15	0.015736	0.1635	0.4352
16	-0.032964	-0.3426	0.366294
17	0.088821	0.9231	0.179017
18	0.07332	0.762	0.223871
19	0.033726	0.3505	0.363326
20	-0.088742	-0.9222	0.179232
21	-0.032445	-0.3372	0.368319
22	0.160965	1.6728	0.048631
23	0.449479	4.6711	4e-06
24	0.549773	5.7134	0
25	0.377869	3.9269	7.6e-05
26	0.138055	1.4347	0.07713
27	-0.076721	-0.7973	0.213511
28	-0.085909	-0.8928	0.186975
29	-0.006601	-0.0686	0.472717
30	-0.003056	-0.0318	0.487362
31	-0.06957	-0.723	0.235624
32	-0.169731	-1.7639	0.040288
33	-0.15521	-1.613	0.054832
34	0.066077	0.6867	0.246875
35	0.298144	3.0984	0.00124
36	0.392924	4.0834	4.3e-05
37	0.245592	2.5523	0.00605
38	0.037389	0.3886	0.349185
39	-0.140914	-1.4644	0.072991
40	-0.138841	-1.4429	0.075975
41	-0.081904	-0.8512	0.198279
42	-0.094029	-0.9772	0.165332
43	-0.152298	-1.5827	0.058204
44	-0.263652	-2.7399	0.003596
45	-0.232951	-2.4209	0.008575
46	-0.070241	-0.73	0.233496
47	0.143479	1.4911	0.069429
48	0.199205	2.0702	0.020409

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.701258	7.2877	0
2	-0.21777	-2.2631	0.012814
3	-0.159245	-1.6549	0.050422
4	0.229145	2.3813	0.0095
5	0.18866	1.9606	0.02625
6	-0.13854	-1.4398	0.076415
7	-0.120238	-1.2496	0.107082
8	0.051722	0.5375	0.296011
9	0.302624	3.145	0.001073
10	0.350769	3.6453	0.000206
11	0.391835	4.0721	4.5e-05
12	0.160013	1.6629	0.049616
13	-0.248642	-2.584	0.005551
14	-0.098134	-1.0198	0.155042
15	-0.05588	-0.5807	0.281318
16	-0.138568	-1.44	0.076374
17	0.121615	1.2639	0.1045
18	-0.188375	-1.9577	0.026426
19	0.102786	1.0682	0.143909
20	-0.05537	-0.5754	0.283103
21	0.003108	0.0323	0.487146
22	-0.126862	-1.3184	0.095082
23	0.105606	1.0975	0.137435
24	0.023702	0.2463	0.402953
25	-0.127726	-1.3274	0.093593
26	0.068712	0.7141	0.238359
27	-0.019058	-0.1981	0.421688
28	-0.061954	-0.6438	0.260521
29	0.034398	0.3575	0.360718
30	-0.054775	-0.5692	0.285189
31	-0.04323	-0.4493	0.327073
32	-0.008056	-0.0837	0.466718
33	-0.089308	-0.9281	0.177707
34	0.07158	0.7439	0.229283
35	0.020663	0.2147	0.415189
36	-0.025019	-0.26	0.397679
37	-0.023795	-0.2473	0.402578
38	0.013782	0.1432	0.44319
39	0.024188	0.2514	0.401002
40	-0.116679	-1.2126	0.113971
41	0.012586	0.1308	0.448088
42	-0.055251	-0.5742	0.283519
43	0.011599	0.1205	0.452142
44	-0.003394	-0.0353	0.485965
45	-0.085303	-0.8865	0.188662
46	-0.118984	-1.2365	0.109474
47	0.032728	0.3401	0.367215
48	-0.117548	-1.2216	0.112261

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jan/22/t1264160070gsqv1eaeokpwp3q/1r3dw1264159816.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jan/22/t1264160070gsqv1eaeokpwp3q/1r3dw1264159816.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jan/22/t1264160070gsqv1eaeokpwp3q/26cjq1264159816.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jan/22/t1264160070gsqv1eaeokpwp3q/26cjq1264159816.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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

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 (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='lags',ylab='ACF')

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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