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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, 04 Jun 2010 14:10:15 +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/Jun/04/t1275660831dif19q8xbm9378h.htm/, Retrieved Fri, 04 Jun 2010 16:13:53 +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/Jun/04/t1275660831dif19q8xbm9378h.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 «

25000 25284 12434,5 33955 14980,5 50831 4198,5 34566 35000 11055,5 20807 21887,29 16977,5 19613,5 14570 24416,5 16825,5 13980 21450,5 27239,5 19078,5 20459,1 20373,5 19306,5 16723,16 11638 20917 17903,5 28218,5 15268 21555 23143 16691 17932,5 30512 41931,5 10853,5 25939,5 14900 25127,76 22063,5 25306,5 31217,5 23201,5 38148 26264 16359 27945,5 16218,5 36003,5 20323,5 20100,5 18741 24426,75 19174,5 13766 18999 21745 34469 13248 16218,5 36003,5 20323,5 20100,5 18741 24426,75 19174,5 13766 18999 21745 34469 13248

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.65185	-5.4926	0
2	0.196559	1.6562	0.051044
3	-0.069852	-0.5886	0.279006
4	0.015295	0.1289	0.44891
5	0.118204	0.996	0.161314
6	-0.22831	-1.9238	0.029196
7	0.148865	1.2544	0.106912
8	-0.023213	-0.1956	0.422742
9	0.042997	0.3623	0.359102
10	-0.038473	-0.3242	0.373379
11	-0.07543	-0.6356	0.263545
12	0.137965	1.1625	0.124459
13	-0.142398	-1.1999	0.11709
14	0.145591	1.2268	0.111981
15	-0.138098	-1.1636	0.124234
16	0.132035	1.1125	0.134828
17	-0.063484	-0.5349	0.297185
18	-0.039788	-0.3353	0.36921
19	0.086717	0.7307	0.233687
20	-0.124215	-1.0467	0.149404
21	0.160117	1.3492	0.090785
22	-0.199986	-1.6851	0.048179
23	0.210896	1.777	0.039923
24	-0.093874	-0.791	0.215791
25	-0.068524	-0.5774	0.282749
26	0.062366	0.5255	0.300436
27	0.058501	0.4929	0.311787
28	-0.037778	-0.3183	0.375586
29	-0.115687	-0.9748	0.166485
30	0.203719	1.7166	0.045209
31	-0.140149	-1.1809	0.120789
32	0.102163	0.8608	0.196111
33	-0.177316	-1.4941	0.069791
34	0.136719	1.152	0.12659
35	-0.024763	-0.2087	0.417656
36	-0.01386	-0.1168	0.45368
37	0.063568	0.5356	0.296944
38	-0.136521	-1.1503	0.12693
39	0.150672	1.2696	0.104189
40	-0.069138	-0.5826	0.281016
41	-0.072622	-0.6119	0.27127
42	0.164442	1.3856	0.085101
43	-0.154699	-1.3035	0.098304
44	0.124493	1.049	0.148869
45	-0.129216	-1.0888	0.139964
46	0.1305	1.0996	0.137608
47	-0.097057	-0.8178	0.208098
48	0.046638	0.393	0.347756

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.65185	-5.4926	0
2	-0.397068	-3.3458	0.000657
3	-0.308984	-2.6035	0.005614
4	-0.285146	-2.4027	0.009446
5	0.017965	0.1514	0.440053
6	-0.150232	-1.2659	0.104848
7	-0.215089	-1.8124	0.037079
8	-0.146652	-1.2357	0.11032
9	0.002346	0.0198	0.492143
10	0.091492	0.7709	0.221654
11	-0.032161	-0.271	0.39359
12	-0.002183	-0.0184	0.492689
13	-0.148424	-1.2506	0.107585
14	-0.017242	-0.1453	0.442449
15	-0.020283	-0.1709	0.432391
16	0.099792	0.8409	0.201623
17	0.099011	0.8343	0.203461
18	-0.01178	-0.0993	0.460607
19	0.021477	0.181	0.428455
20	-0.064315	-0.5419	0.294783
21	0.05464	0.4604	0.323317
22	-0.129245	-1.089	0.13991
23	-0.005837	-0.0492	0.480457
24	0.069032	0.5817	0.281314
25	-0.078301	-0.6598	0.255767
26	-0.22879	-1.9278	0.028939
27	0.06054	0.5101	0.305775
28	0.136975	1.1542	0.12615
29	-0.087038	-0.7334	0.232867
30	0.121361	1.0226	0.154984
31	0.046221	0.3895	0.34905
32	0.118758	1.0007	0.160191
33	-0.075599	-0.637	0.263083
34	0.003166	0.0267	0.489395
35	-0.167492	-1.4113	0.081259
36	-0.125516	-1.0576	0.146907
37	0.074245	0.6256	0.266791
38	-0.016738	-0.141	0.444121
39	-0.06395	-0.5388	0.295838
40	-0.017073	-0.1439	0.44301
41	-0.126591	-1.0667	0.144866
42	0.035528	0.2994	0.382768
43	0.136594	1.151	0.126804
44	-0.030495	-0.257	0.398977
45	-0.115871	-0.9763	0.166103
46	-0.023497	-0.198	0.42181
47	-0.056439	-0.4756	0.317921
48	0.051948	0.4377	0.331459

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jun/04/t1275660831dif19q8xbm9378h/11fg91275660613.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jun/04/t1275660831dif19q8xbm9378h/11fg91275660613.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jun/04/t1275660831dif19q8xbm9378h/2cofc1275660613.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jun/04/t1275660831dif19q8xbm9378h/2cofc1275660613.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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