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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, 02 May 2010 09:30:44 +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/May/02/t1272792711h372za3ssz4pxus.htm/, Retrieved Sun, 02 May 2010 11:31:53 +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/May/02/t1272792711h372za3ssz4pxus.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 «

18288.3 16049 16764.5 17880.2 16555.9 16087.1 16373.5 17842.2 22321.5 22786.7 18274.1 22392.9 23899.3 21343.5 22952.3 21374.4 21164.1 20906.5 17877.4 20664.3 22160 19813.6 17735.4 19640.2 20844.4 19823.1 18594.6 21350.6 18574.1 18924.2 17343.4 19961.2 19932.1 19464.6 16165.4 17574.9 19795.4 19439.5 17170 21072.4 17751.8 17515.5 18040.3 19090.1 17746.5 19202.1 15141.6 16258.1 18586.5 17209.4 17838.7 19123.5 16583.6 15991.2 16704.5 17422 17872 17823.2 13866.5 15912.8 17870.5 15420.3 16379.4 17903.9 15305.8 14583.3 14861 14968.9 16726.5 16283.6 11703.7 15101.8 15469.7 14956.9 15370.6 15998.1 14725.1 14768.9 13659.6 15070.3 16942.6 15761.3 12083 15023.6 15106.5

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	-0.313218	-2.8707	0.002591
2	-0.33902	-3.1072	0.001289
3	0.176139	1.6143	0.055102
4	0.061974	0.568	0.285774
5	-0.10019	-0.9183	0.180557
6	0.216426	1.9836	0.025285
7	-0.300732	-2.7563	0.003585
8	0.204889	1.8778	0.031936
9	0.083918	0.7691	0.22199
10	-0.374852	-3.4356	0.000461
11	-0.094398	-0.8652	0.194704
12	0.617997	5.664	0
13	-0.231808	-2.1246	0.018281
14	-0.19925	-1.8262	0.03569
15	0.044504	0.4079	0.342198
16	0.074034	0.6785	0.249648
17	-0.035001	-0.3208	0.374582
18	0.107138	0.9819	0.164475
19	-0.165292	-1.5149	0.066773
20	0.165078	1.513	0.067021
21	0.024594	0.2254	0.411106
22	-0.283351	-2.597	0.005551
23	-0.004766	-0.0437	0.482631
24	0.375951	3.4457	0.000446
25	-0.094601	-0.867	0.194198
26	-0.174036	-1.5951	0.057226
27	-0.02507	-0.2298	0.409416
28	0.135589	1.2427	0.108719
29	-0.053097	-0.4866	0.313889
30	0.041259	0.3781	0.353138
31	-0.034873	-0.3196	0.375025
32	0.069548	0.6374	0.262793
33	-0.014894	-0.1365	0.445873
34	-0.125394	-1.1493	0.126857
35	-0.082034	-0.7519	0.22712
36	0.300968	2.7584	0.003563
37	-0.04014	-0.3679	0.356941
38	-0.184015	-1.6865	0.047703
39	-0.005688	-0.0521	0.479275
40	0.144161	1.3213	0.095001
41	-0.089259	-0.8181	0.207815
42	0.047178	0.4324	0.33328
43	-0.023542	-0.2158	0.414845
44	0.058556	0.5367	0.296457
45	-0.011477	-0.1052	0.45824
46	-0.101683	-0.9319	0.177019
47	-0.084397	-0.7735	0.220696
48	0.275492	2.5249	0.006726

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.313218	-2.8707	0.002591
2	-0.484675	-4.4421	1.3e-05
3	-0.193214	-1.7708	0.040108
4	-0.142886	-1.3096	0.096955
5	-0.131427	-1.2045	0.11588
6	0.228763	2.0966	0.019516
7	-0.228704	-2.0961	0.019541
8	0.262728	2.4079	0.009116
9	0.061112	0.5601	0.28845
10	-0.296885	-2.721	0.003955
11	-0.512674	-4.6987	5e-06
12	0.135712	1.2438	0.108513
13	0.150844	1.3825	0.08524
14	0.104332	0.9562	0.170852
15	0.028085	0.2574	0.39875
16	0.06751	0.6187	0.268882
17	-0.158888	-1.4562	0.074528
18	-0.223069	-2.0445	0.02202
19	0.010993	0.1007	0.459995
20	-0.006373	-0.0584	0.476781
21	0.052227	0.4787	0.31671
22	0.007826	0.0717	0.471494
23	0.0827	0.758	0.225298
24	-0.141253	-1.2946	0.099502
25	0.007362	0.0675	0.473183
26	-0.026555	-0.2434	0.404153
27	-0.075383	-0.6909	0.245767
28	0.104584	0.9585	0.170275
29	-0.012337	-0.1131	0.455121
30	0.05938	0.5442	0.293863
31	-0.01258	-0.1153	0.454241
32	0.006104	0.0559	0.47776
33	-0.109359	-1.0023	0.159542
34	0.03545	0.3249	0.37303
35	-0.053573	-0.491	0.312351
36	0.023467	0.2151	0.415113
37	-0.055728	-0.5108	0.30543
38	0.017903	0.1641	0.435029
39	-0.039592	-0.3629	0.358809
40	0.025523	0.2339	0.407807
41	0.089157	0.8171	0.208082
42	-0.01013	-0.0928	0.463125
43	-0.030054	-0.2755	0.391823
44	-0.045698	-0.4188	0.338207
45	0.00797	0.073	0.470972
46	-0.128074	-1.1738	0.121893
47	-0.018237	-0.1671	0.433829
48	0.039468	0.3617	0.35923

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/02/t1272792711h372za3ssz4pxus/1c59c1272792642.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/02/t1272792711h372za3ssz4pxus/1c59c1272792642.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/02/t1272792711h372za3ssz4pxus/2mx8f1272792642.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/02/t1272792711h372za3ssz4pxus/2mx8f1272792642.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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