Home » date » 2010 » May » 03 »

Melino Olivini

*Unverified author*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 03 May 2010 16:09:16 +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/03/t1272903071fgsf687p4iebg8n.htm/, Retrieved Mon, 03 May 2010 18:11:11 +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/May/03/t1272903071fgsf687p4iebg8n.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 «

5221,3 5115,9 5107,4 5202,1 5307,5 5266,1 5329,8 5263,4 5177,1 5204,9 5185,2 5189,8 5253,8 5372,3 5478,4 5590,5 5699,8 5797,9 5854,3 5902,4 5956,9 6007,8 6101,7 6148,6 6207,4 6232 6291,7 6323,4 6365 6435 6493,4 6606,8 6639,1 6723,5 6759,4 6848,6 6918,1 6963,5 7013,1 7030,9 7112,1 7130,3 7130,8 7076,9 7040,8 7086,5 7120,7 7154,1 7228,2 7297,9 7369,5 7450,7 7459,7 7497,5 7536 7637,4 7715,1 7815,7 7859,5 7951,6 7973,7 7988 8053,1 8112 8169,2 8303,1 8372,7 8470,6 8536,1 8665,8 8773,7 8838,4 8936,2 8995,3 9098,9 9237,1 9315,5 9392,6 9502,2 9671,1 9695,6 9847,9 9836,6 9887,7 9875,6 9905,9 9871,1 9910 9977,3 10031,6 10090,7 10095,8 10126 10212,7 10398,7 10467 10543,6 10634,2 10728,7 10796,4 10875,8 10946,1 11050 11086,1 11217,3 11291,7 11314,1 11356,4 11357,8 11491,4 11625,7 11620,7

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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.975298	10.3216	0
2	0.948826	10.0414	0
3	0.922394	9.7617	0
4	0.896766	9.4905	0
5	0.870919	9.2169	0
6	0.844295	8.9352	0
7	0.817382	8.6504	0
8	0.789816	8.3586	0
9	0.761987	8.0641	0
10	0.733761	7.7654	0
11	0.705433	7.4656	0
12	0.676927	7.1639	0
13	0.648772	6.866	0
14	0.621197	6.5741	0
15	0.594361	6.2901	0
16	0.568234	6.0136	0
17	0.542655	5.7429	0
18	0.517551	5.4772	0
19	0.493632	5.2241	0
20	0.469992	4.9739	1e-06
21	0.446218	4.7223	3e-06
22	0.422151	4.4676	9e-06
23	0.398479	4.2171	2.5e-05
24	0.374899	3.9676	6.4e-05
25	0.35156	3.7206	0.000156
26	0.328039	3.4716	0.000368
27	0.303963	3.2168	0.000847
28	0.279728	2.9604	0.001876
29	0.255029	2.699	0.004017
30	0.230555	2.44	0.008129
31	0.205739	2.1773	0.015777
32	0.182262	1.9289	0.028139
33	0.15855	1.6779	0.048074
34	0.13615	1.4409	0.076205
35	0.114235	1.209	0.114614
36	0.092887	0.983	0.163858
37	0.072023	0.7622	0.223767
38	0.051998	0.5503	0.291607
39	0.032573	0.3447	0.365475
40	0.013143	0.1391	0.444816
41	-0.00552	-0.0584	0.476758
42	-0.024124	-0.2553	0.399479
43	-0.042428	-0.449	0.327144
44	-0.060618	-0.6415	0.261248
45	-0.079061	-0.8367	0.20227
46	-0.096975	-1.0263	0.153483
47	-0.114606	-1.2129	0.113864
48	-0.131401	-1.3906	0.08355

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.975298	10.3216	0
2	-0.048786	-0.5163	0.303329
3	-0.01151	-0.1218	0.451634
4	0.002687	0.0284	0.488682
5	-0.019162	-0.2028	0.419835
6	-0.029415	-0.3113	0.378078
7	-0.019021	-0.2013	0.420415
8	-0.028044	-0.2968	0.383587
9	-0.020416	-0.2161	0.414667
10	-0.023684	-0.2506	0.401274
11	-0.018046	-0.191	0.424442
12	-0.020098	-0.2127	0.415977
13	-0.009377	-0.0992	0.460563
14	-0.005365	-0.0568	0.477411
15	-0.002214	-0.0234	0.490673
16	-0.002655	-0.0281	0.488815
17	-0.005586	-0.0591	0.476481
18	-0.007162	-0.0758	0.469858
19	0.007419	0.0785	0.468779
20	-0.012375	-0.131	0.44802
21	-0.019816	-0.2097	0.417137
22	-0.022717	-0.2404	0.405223
23	-0.009606	-0.1017	0.459605
24	-0.017476	-0.1849	0.426804
25	-0.013645	-0.1444	0.44272
26	-0.022149	-0.2344	0.407551
27	-0.029338	-0.3105	0.378386
28	-0.021234	-0.2247	0.411302
29	-0.028255	-0.299	0.38274
30	-0.014623	-0.1548	0.438648
31	-0.026453	-0.28	0.390015
32	0.008551	0.0905	0.464028
33	-0.025242	-0.2671	0.394926
34	0.008173	0.0865	0.465615
35	-0.009989	-0.1057	0.457998
36	-0.008055	-0.0852	0.466109
37	-0.009579	-0.1014	0.459716
38	-0.002358	-0.0249	0.49007
39	-0.009622	-0.1018	0.459536
40	-0.021151	-0.2238	0.411646
41	-0.005267	-0.0557	0.477824
42	-0.020832	-0.2205	0.412956
43	-0.016276	-0.1722	0.431778
44	-0.019564	-0.207	0.418176
45	-0.027811	-0.2943	0.384527
46	-0.010767	-0.1139	0.454741
47	-0.016147	-0.1709	0.432313
48	-0.004143	-0.0439	0.482551

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/03/t1272903071fgsf687p4iebg8n/175qh1272902952.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272903071fgsf687p4iebg8n/175qh1272902952.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272903071fgsf687p4iebg8n/275qh1272902952.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272903071fgsf687p4iebg8n/275qh1272902952.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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