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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: Mon, 03 May 2010 17:33:22 +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/t1272908083vvph9hxdmj5hw3j.htm/, Retrieved Mon, 03 May 2010 19:34:45 +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/t1272908083vvph9hxdmj5hw3j.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 «

66857.2 64722.8 68489.6 71342.9 63542.5 69425.0 58927.9 61009.0 66837.0 66147.6 65982.3 65527.5 65914.6 59189.9 66211.4 66400.8 60167.7 64547.9 57706.2 58642.6 60082.1 63414.8 66044.0 57628.5 62838.8 55758.6 61004.5 66173.4 57489.0 59552.2 57061.8 55895.3 56314.7 61232.8 60014.1 57685.4 60403.1 52349.7 55693.3 65676.1 54898.8 55518.2 53779.1 52340.9 55704.4 60330.3 52837.4 55388.1 60383.4 52070.3 54077.0 62887.8 49212.8 57722.0 53936.8 46991.0 54984.2 56485.1 51277.8 53596.4 54252.5 49413.0 53213.2 58695.3 48723.5 54510.0 49454.1 46136.6 54622.5 50583.0 53224.3 53056.4

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	-0.528257	-4.4512	1.6e-05
2	-0.120956	-1.0192	0.155786
3	0.404473	3.4082	0.000541
4	-0.4516	-3.8052	0.000149
5	0.077628	0.6541	0.257579
6	0.294607	2.4824	0.007708
7	-0.097292	-0.8198	0.207538
8	-0.256185	-2.1586	0.017129
9	0.330128	2.7817	0.00346
10	-0.173431	-1.4614	0.074165
11	-0.308637	-2.6006	0.005657
12	0.683547	5.7597	0
13	-0.408452	-3.4417	0.000486
14	-0.004088	-0.0344	0.486308
15	0.260533	2.1953	0.015707
16	-0.415718	-3.5029	4e-04
17	0.185934	1.5667	0.060814
18	0.122785	1.0346	0.152183
19	-0.0311	-0.2621	0.397019
20	-0.130716	-1.1014	0.137214
21	0.106278	0.8955	0.186769
22	-0.056909	-0.4795	0.316521
23	-0.171007	-1.4409	0.077
24	0.383312	3.2298	0.000939
25	-0.186346	-1.5702	0.06041
26	-0.055377	-0.4666	0.321101
27	0.16863	1.4209	0.079862
28	-0.248993	-2.0981	0.01973
29	0.118665	0.9999	0.16038
30	0.041237	0.3475	0.364633
31	0.033179	0.2796	0.390309
32	-0.083673	-0.705	0.241545
33	-0.015034	-0.1267	0.449775
34	0.077573	0.6536	0.257726
35	-0.199061	-1.6773	0.048939
36	0.260057	2.1913	0.015857
37	-0.035574	-0.2998	0.382621
38	-0.146904	-1.2378	0.109928
39	0.154601	1.3027	0.098445
40	-0.126202	-1.0634	0.145602
41	0.017056	0.1437	0.443066
42	0.055038	0.4638	0.32212
43	0.036189	0.3049	0.380653
44	-0.087271	-0.7354	0.232273
45	-0.015709	-0.1324	0.447535
46	0.130673	1.1011	0.137293
47	-0.231791	-1.9531	0.027374
48	0.215942	1.8196	0.036521

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.528257	-4.4512	1.6e-05
2	-0.554844	-4.6752	7e-06
3	0.024098	0.2031	0.419836
4	-0.35447	-2.9868	0.001934
5	-0.479889	-4.0436	6.6e-05
6	-0.328558	-2.7685	0.003589
7	0.317497	2.6753	0.004631
8	-0.222849	-1.8778	0.032261
9	-0.177514	-1.4958	0.069574
10	0.032951	0.2777	0.391043
11	-0.469127	-3.9529	9e-05
12	-0.164851	-1.3891	0.084578
13	-0.097142	-0.8185	0.207895
14	0.321949	2.7128	0.004183
15	0.058958	0.4968	0.310437
16	-0.127121	-1.0711	0.143866
17	0.185335	1.5617	0.061407
18	0.094406	0.7955	0.214492
19	0.053911	0.4543	0.325513
20	0.058072	0.4893	0.313059
21	0.004061	0.0342	0.486401
22	-0.054433	-0.4587	0.323939
23	-0.039044	-0.329	0.371565
24	-0.131751	-1.1102	0.13534
25	0.08149	0.6866	0.247272
26	-0.107074	-0.9022	0.184996
27	-0.070188	-0.5914	0.278062
28	0.044216	0.3726	0.355288
29	0.130368	1.0985	0.137849
30	0.067655	0.5701	0.285215
31	-0.048492	-0.4086	0.34203
32	0.074975	0.6318	0.264789
33	0.011805	0.0995	0.460523
34	0.067097	0.5654	0.286802
35	-0.019011	-0.1602	0.436593
36	0.054836	0.4621	0.322728
37	-0.014015	-0.1181	0.453163
38	-0.078445	-0.661	0.255379
39	-0.115222	-0.9709	0.167453
40	0.035597	0.2999	0.382549
41	0.038961	0.3283	0.371828
42	-0.089875	-0.7573	0.225688
43	-0.102709	-0.8654	0.194855
44	-0.020959	-0.1766	0.430161
45	0.010256	0.0864	0.465689
46	-0.009729	-0.082	0.467449
47	0.007851	0.0662	0.473721
48	0.106298	0.8957	0.186723

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/03/t1272908083vvph9hxdmj5hw3j/1olac1272908000.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272908083vvph9hxdmj5hw3j/1olac1272908000.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272908083vvph9hxdmj5hw3j/2hcrf1272908000.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272908083vvph9hxdmj5hw3j/2hcrf1272908000.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 = 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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