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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: Wed, 05 May 2010 15:54:34 +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/05/t12730749251s6cp65d9ij2522.htm/, Retrieved Wed, 05 May 2010 17:55:25 +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/05/t12730749251s6cp65d9ij2522.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 «

2953 2635 2404 2413 2136 1565 1451 2037 2477 2785 2994 2681 3098 2708 2517 2445 2087 1801 1216 2173 2286 3121 3458 3511 3524 2767 2744 2603 2527 1846 1066 2327 3066 3048 3806 4042 3583 3438 2957 2885 2744 1837 1447 2504 3248 3098 4318 3561 3316 3379 2717 2354 2445 1542 1606 2590 3588 3202 4704 4005 3810 3488 2781 2944 2817 1960 1937 2903 3357 3552 4581 3905 4581 4037 3345 3175 2808 2050 1719 3143 3756 4776 4540 4309 4563 3506 3665 3361 3094 2440 1633 2935 4159 4159 4894 4921 4577 4155 3851 3429 3370 2726

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.771353	7.7903	0
2	0.506744	5.1179	1e-06
3	0.224729	2.2697	0.012666
4	-0.080216	-0.8101	0.209873
5	-0.266698	-2.6935	0.004134
6	-0.340833	-3.4422	0.000419
7	-0.292766	-2.9568	0.001931
8	-0.116497	-1.1766	0.121054
9	0.140416	1.4181	0.0796
10	0.374147	3.7787	0.000133
11	0.63036	6.3663	0
12	0.77639	7.8412	0
13	0.611348	6.1743	0
14	0.393456	3.9737	6.6e-05
15	0.128119	1.2939	0.099305
16	-0.128531	-1.2981	0.098591
17	-0.306087	-3.0913	0.001285
18	-0.369067	-3.7274	0.000159
19	-0.325613	-3.2885	0.000691
20	-0.162461	-1.6408	0.051962
21	0.068416	0.691	0.245577
22	0.275535	2.7828	0.003211
23	0.494473	4.9939	1e-06
24	0.587386	5.9323	0
25	0.45801	4.6257	5e-06
26	0.245211	2.4765	0.007456
27	0.029056	0.2935	0.384886
28	-0.173655	-1.7538	0.041232
29	-0.321021	-3.2422	0.000802
30	-0.371063	-3.7476	0.000148
31	-0.335765	-3.3911	0.000496
32	-0.192911	-1.9483	0.027063
33	-0.008634	-0.0872	0.46534
34	0.174433	1.7617	0.040559
35	0.355978	3.5952	0.000251
36	0.435403	4.3974	1.3e-05
37	0.339608	3.4299	0.000436
38	0.151096	1.526	0.065053
39	-0.026388	-0.2665	0.395195
40	-0.18976	-1.9165	0.029051
41	-0.304725	-3.0776	0.00134
42	-0.341623	-3.4502	0.000408
43	-0.305615	-3.0866	0.001304
44	-0.187422	-1.8929	0.030605
45	-0.041739	-0.4215	0.337124
46	0.118299	1.1948	0.117475
47	0.237489	2.3985	0.009139
48	0.302798	3.0581	0.001422

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.771353	7.7903	0
2	-0.21787	-2.2004	0.015018
3	-0.215805	-2.1795	0.015797
4	-0.289888	-2.9277	0.002106
5	0.018192	0.1837	0.427294
6	0.032827	0.3315	0.370459
7	0.118926	1.2011	0.116247
8	0.190709	1.9261	0.02844
9	0.254998	2.5754	0.005724
10	0.127624	1.2889	0.100168
11	0.403302	4.0731	4.6e-05
12	0.274386	2.7712	0.00332
13	-0.442622	-4.4703	1e-05
14	-0.113857	-1.1499	0.126437
15	0.013626	0.1376	0.445407
16	0.126546	1.278	0.102067
17	-0.097157	-0.9812	0.164399
18	0.033734	0.3407	0.367016
19	-0.043003	-0.4343	0.332492
20	-0.006998	-0.0707	0.471895
21	0.043564	0.44	0.330442
22	-0.025277	-0.2553	0.399509
23	-0.084168	-0.8501	0.198644
24	-0.039054	-0.3944	0.347047
25	-0.015899	-0.1606	0.436376
26	-0.129399	-1.3069	0.097098
27	0.139515	1.409	0.080934
28	0.096787	0.9775	0.165316
29	-0.020673	-0.2088	0.417514
30	-0.12391	-1.2514	0.10682
31	-0.016132	-0.1629	0.43545
32	-0.034872	-0.3522	0.362711
33	-0.072508	-0.7323	0.232834
34	0.03367	0.3401	0.367258
35	0.004032	0.0407	0.483799
36	0.045439	0.4589	0.323636
37	0.03463	0.3497	0.363626
38	-0.019709	-0.1991	0.421308
39	-0.069081	-0.6977	0.243481
40	0.039506	0.399	0.345367
41	0.026626	0.2689	0.39427
42	-0.017738	-0.1791	0.429089
43	-0.030835	-0.3114	0.378057
44	0.011465	0.1158	0.454021
45	-0.023485	-0.2372	0.406495
46	0.046575	0.4704	0.319542
47	-0.132854	-1.3418	0.091327
48	0.002805	0.0283	0.488728

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/05/t12730749251s6cp65d9ij2522/1xatr1273074870.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t12730749251s6cp65d9ij2522/1xatr1273074870.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t12730749251s6cp65d9ij2522/2xatr1273074870.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t12730749251s6cp65d9ij2522/2xatr1273074870.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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