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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 14:21:30 +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/t1275661450yp6d9tm6scj2oz9.htm/, Retrieved Fri, 04 Jun 2010 16:24:11 +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/t1275661450yp6d9tm6scj2oz9.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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.319417	-2.7103	0.004198
2	0.109186	0.9265	0.178648
3	0.007195	0.061	0.475744
4	0.068926	0.5849	0.280238
5	0.09258	0.7856	0.217349
6	-0.206958	-1.7561	0.041662
7	0.131619	1.1168	0.133892
8	0.04972	0.4219	0.337183
9	0.030356	0.2576	0.398732
10	-0.085884	-0.7288	0.234258
11	-0.077371	-0.6565	0.256793
12	0.090446	0.7675	0.222659
13	-0.105918	-0.8987	0.185893
14	0.109664	0.9305	0.177603
15	-0.076877	-0.6523	0.258135
16	0.086721	0.7359	0.232106
17	-0.10091	-0.8563	0.19735
18	-0.110125	-0.9344	0.176599
19	-0.009882	-0.0839	0.466703
20	-0.151628	-1.2866	0.101177
21	0.039685	0.3367	0.368645
22	-0.18907	-1.6043	0.056512
23	0.136218	1.1558	0.125783
24	-0.127969	-1.0859	0.140584
25	-0.122179	-1.0367	0.151667
26	0.044475	0.3774	0.3535
27	0.060641	0.5146	0.30422
28	-0.051558	-0.4375	0.331535
29	-0.099849	-0.8472	0.199832
30	0.178641	1.5158	0.066972
31	-0.091764	-0.7786	0.21937
32	-0.002336	-0.0198	0.492121
33	-0.170605	-1.4476	0.07603
34	0.105278	0.8933	0.187334
35	0.03554	0.3016	0.381927
36	-0.006314	-0.0536	0.478711
37	0.067303	0.5711	0.284859
38	-0.056744	-0.4815	0.315815
39	0.159957	1.3573	0.089466
40	-0.027404	-0.2325	0.408394
41	-0.019709	-0.1672	0.433827
42	0.172836	1.4666	0.073425
43	-0.081854	-0.6946	0.244785
44	0.09819	0.8332	0.203753
45	-0.077798	-0.6601	0.255636
46	0.09747	0.8271	0.205468
47	-0.080891	-0.6864	0.247338
48	-0.003333	-0.0283	0.488759

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.319417	-2.7103	0.004198
2	0.007972	0.0676	0.473129
3	0.04938	0.419	0.338231
4	0.094228	0.7995	0.213301
5	0.153256	1.3004	0.098802
6	-0.165787	-1.4067	0.081902
7	-0.007763	-0.0659	0.473832
8	0.112259	0.9525	0.172003
9	0.085644	0.7267	0.234879
10	-0.058652	-0.4977	0.310114
11	-0.148146	-1.2571	0.106397
12	-0.036821	-0.3124	0.377806
13	-0.061938	-0.5256	0.300403
14	0.137623	1.1678	0.123376
15	0.041819	0.3548	0.36187
16	0.022064	0.1872	0.426008
17	-0.138197	-1.1726	0.122402
18	-0.193616	-1.6429	0.052383
19	-0.110102	-0.9342	0.17665
20	-0.133333	-1.1314	0.130828
21	-0.035883	-0.3045	0.38082
22	-0.176051	-1.4938	0.069793
23	0.0194	0.1646	0.434854
24	-0.071971	-0.6107	0.271662
25	-0.157418	-1.3357	0.092921
26	-0.029075	-0.2467	0.402919
27	0.193545	1.6423	0.052446
28	-0.027168	-0.2305	0.409167
29	-0.149546	-1.2689	0.104275
30	0.066156	0.5613	0.288151
31	-0.111019	-0.942	0.174664
32	-0.052963	-0.4494	0.327244
33	-0.154084	-1.3074	0.09761
34	0.006457	0.0548	0.478228
35	-0.069516	-0.5899	0.278564
36	0.090374	0.7668	0.222839
37	0.092478	0.7847	0.217601
38	-0.0915	-0.7764	0.220028
39	-0.009853	-0.0836	0.4668
40	0.028932	0.2455	0.403386
41	-0.037242	-0.316	0.376456
42	0.075146	0.6376	0.262868
43	-0.077855	-0.6606	0.255483
44	-0.208261	-1.7672	0.04072
45	-0.072188	-0.6125	0.271057
46	0.045687	0.3877	0.349703
47	-0.034754	-0.2949	0.38446
48	0.007805	0.0662	0.473691

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jun/04/t1275661450yp6d9tm6scj2oz9/1izq21275661287.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jun/04/t1275661450yp6d9tm6scj2oz9/1izq21275661287.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jun/04/t1275661450yp6d9tm6scj2oz9/2izq21275661287.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jun/04/t1275661450yp6d9tm6scj2oz9/2izq21275661287.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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