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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 18:45:35 +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/t1273085221nacrvmy15m0chas.htm/, Retrieved Wed, 05 May 2010 20:47:01 +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/t1273085221nacrvmy15m0chas.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 «

306 303 344 254 309 310 379 294 356 318 405 545 268 243 273 273 236 222 302 285 309 322 362 471 198 253 173 186 185 105 228 214 189 270 277 378 185 182 258 179 197 168 250 211 260 234 305 347 203 217 227 242 185 175 252 319 202 254 336 431 150 280 187 279 193 227 225 205 259 254 275 394 159 230 188 195 189 220 274

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	0.320658	2.8501	0.002786
2	0.264274	2.3489	0.010664
3	0.154982	1.3775	0.086122
4	0.160277	1.4246	0.07911
5	0.031978	0.2842	0.38849
6	-0.210939	-1.8749	0.032253
7	-0.01898	-0.1687	0.433232
8	0.084729	0.7531	0.226817
9	0.072512	0.6445	0.26056
10	0.153287	1.3624	0.088465
11	0.193033	1.7157	0.045067
12	0.545521	4.8487	3e-06
13	0.170272	1.5134	0.067083
14	0.05481	0.4872	0.313747
15	0.003631	0.0323	0.487166
16	-0.03085	-0.2742	0.392322
17	-0.085197	-0.7572	0.225578
18	-0.351997	-3.1286	0.00123
19	-0.114843	-1.0207	0.155245
20	-0.088172	-0.7837	0.217782
21	-0.049259	-0.4378	0.331356
22	-0.074905	-0.6658	0.25375
23	0.056199	0.4995	0.309404
24	0.271163	2.4101	0.009135
25	-0.001767	-0.0157	0.493754
26	-0.081647	-0.7257	0.235085
27	-0.080119	-0.7121	0.239246
28	-0.093518	-0.8312	0.204182
29	-0.158263	-1.4067	0.081723
30	-0.267811	-2.3804	0.009853
31	-0.124191	-1.1038	0.136507
32	-0.08863	-0.7878	0.216597
33	-0.014446	-0.1284	0.449079
34	-0.048372	-0.4299	0.334205
35	0.047025	0.418	0.338551
36	0.269764	2.3977	0.009429
37	-0.011309	-0.1005	0.460095
38	0.020619	0.1833	0.427528
39	-0.086417	-0.7681	0.222361
40	-0.006551	-0.0582	0.476857
41	-0.096875	-0.861	0.195909
42	-0.197221	-1.7529	0.041746
43	-0.054769	-0.4868	0.313876
44	-0.023773	-0.2113	0.416599
45	-0.016541	-0.147	0.441745
46	-0.011712	-0.1041	0.458677
47	0.054808	0.4871	0.313752
48	0.208563	1.8537	0.033754

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.320658	2.8501	0.002786
2	0.179956	1.5995	0.056853
3	0.032007	0.2845	0.388392
4	0.074743	0.6643	0.254207
5	-0.070507	-0.6267	0.266337
6	-0.291861	-2.5941	0.00565
7	0.116149	1.0324	0.152528
8	0.202351	1.7985	0.037956
9	0.045725	0.4064	0.34277
10	0.167184	1.486	0.070634
11	0.090511	0.8045	0.211768
12	0.401438	3.5681	0.000307
13	-0.179324	-1.5939	0.05748
14	-0.229984	-2.0441	0.022136
15	-0.099891	-0.8879	0.188657
16	-0.10571	-0.9396	0.175151
17	0.005354	0.0476	0.481084
18	-0.130069	-1.1561	0.125566
19	0.0681	0.6053	0.273361
20	-0.083201	-0.7395	0.230896
21	-0.030518	-0.2712	0.393453
22	-0.150924	-1.3414	0.09181
23	0.051435	0.4572	0.324403
24	0.059996	0.5333	0.297678
25	-0.093393	-0.8301	0.204494
26	0.001218	0.0108	0.495694
27	0.009949	0.0884	0.46488
28	0.010998	0.0977	0.46119
29	-0.062108	-0.552	0.291244
30	0.175084	1.5562	0.061831
31	-0.040448	-0.3595	0.360088
32	-0.028591	-0.2541	0.400029
33	0.091454	0.8129	0.209371
34	-0.010995	-0.0977	0.461198
35	-0.022055	-0.196	0.422546
36	0.138303	1.2293	0.111311
37	-0.07161	-0.6365	0.26315
38	0.05314	0.4723	0.319002
39	-0.084159	-0.748	0.228335
40	-0.037784	-0.3358	0.368945
41	0.020987	0.1865	0.426252
42	-0.070687	-0.6283	0.265816
43	-0.002124	-0.0189	0.492493
44	0.018733	0.1665	0.434094
45	-0.098023	-0.8712	0.19313
46	-0.030568	-0.2717	0.393284
47	-0.001243	-0.011	0.495606
48	-0.046537	-0.4136	0.340133

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/05/t1273085221nacrvmy15m0chas/1nxjz1273085132.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t1273085221nacrvmy15m0chas/1nxjz1273085132.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t1273085221nacrvmy15m0chas/2nxjz1273085132.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t1273085221nacrvmy15m0chas/2nxjz1273085132.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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