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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: Tue, 16 Nov 2010 18:45:09 +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/Nov/16/t1289933066f52i6q9z4k4gpfw.htm/, Retrieved Tue, 16 Nov 2010 19:44:26 +0100

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/Nov/16/t1289933066f52i6q9z4k4gpfw.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:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

132.1 125 127.1 101.5 85.7 79.3 70.9 77.1 83.9 96.2 111.7 127.2 143.6 134.9 135.6 105.3 86.4 74.6 67.6 73.4 78.5 98.2 118.6 136.9 137.9 115.6 119.3 98.5 84.3 73.5 60.7 69.5 77.9 113.9 126.3 135.1 130.5 113.1 110 90.8 85.4 72.5 64.7 67.2 77.9 105.2 107.2 120.7 121.3 107.9 105.6 81.3 71.7 64.8 57.3 61.9 70.1 88.8 106.8 110.7 114.1 108 111.5 86.8 78.4 68 57.3 65.3 73.3 88.6 101.3 122.9 126.6 114.1 124.7

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

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.47757	4.1082	5.1e-05
2	0.371502	3.1958	0.001025
3	-0.005085	-0.0437	0.482615
4	-0.395127	-3.399	0.000546
5	-0.453484	-3.901	0.000105
6	-0.728124	-6.2636	0
7	-0.443553	-3.8156	0.00014
8	-0.42215	-3.6315	0.000258
9	0.004916	0.0423	0.483191
10	0.356839	3.0696	0.001498
11	0.415524	3.5745	0.000311
12	0.747878	6.4335	0
13	0.384042	3.3037	0.000736
14	0.330663	2.8445	0.002875
15	-0.032127	-0.2764	0.391518
16	-0.328307	-2.8242	0.003044
17	-0.377282	-3.2455	0.000881
18	-0.60531	-5.2071	1e-06
19	-0.351231	-3.0214	0.001727
20	-0.317588	-2.732	0.003934
21	0.061346	0.5277	0.299638
22	0.298143	2.5647	0.006176
23	0.313072	2.6932	0.004375
24	0.560293	4.8198	4e-06
25	0.270426	2.3263	0.011372
26	0.250251	2.1527	0.017299
27	-0.003166	-0.0272	0.489172
28	-0.271566	-2.3361	0.011099
29	-0.30562	-2.629	0.005204
30	-0.468575	-4.0308	6.7e-05
31	-0.243019	-2.0905	0.020002
32	-0.231635	-1.9926	0.024997
33	0.029879	0.257	0.398934
34	0.200563	1.7253	0.044323
35	0.24922	2.1439	0.017664
36	0.41705	3.5876	0.000298
37	0.197019	1.6948	0.047157
38	0.206898	1.7798	0.039607
39	-0.015465	-0.133	0.447262
40	-0.184323	-1.5856	0.058546
41	-0.224927	-1.9349	0.028413
42	-0.318799	-2.7424	0.003822
43	-0.176004	-1.514	0.067137
44	-0.15761	-1.3558	0.08964
45	0.03723	0.3203	0.374834
46	0.127448	1.0964	0.13824
47	0.150988	1.2988	0.099015
48	0.302672	2.6037	0.005569

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.47757	4.1082	5.1e-05
2	0.185807	1.5984	0.057111
3	-0.319711	-2.7503	0.00374
4	-0.531124	-4.5689	1e-05
5	-0.11882	-1.0221	0.155026
6	-0.432991	-3.7247	0.00019
7	-0.027527	-0.2368	0.406736
8	-0.361696	-3.1114	0.001323
9	0.097482	0.8386	0.202204
10	0.172839	1.4868	0.070656
11	-0.068277	-0.5873	0.27938
12	0.265346	2.2826	0.012664
13	-0.183353	-1.5773	0.0595
14	-0.009197	-0.0791	0.468578
15	-0.070188	-0.6038	0.273919
16	-0.014601	-0.1256	0.450194
17	0.087833	0.7556	0.226152
18	0.082288	0.7079	0.240625
19	-0.052424	-0.451	0.326666
20	0.033876	0.2914	0.385776
21	0.076957	0.662	0.25501
22	-0.042262	-0.3635	0.358616
23	-0.16559	-1.4245	0.079258
24	0.011275	0.097	0.461497
25	0.029136	0.2506	0.401393
26	0.020196	0.1737	0.431277
27	0.135212	1.1631	0.124255
28	-0.121393	-1.0443	0.149881
29	0.01123	0.0966	0.461651
30	0.024792	0.2133	0.415853
31	-0.045113	-0.3881	0.349536
32	-0.025096	-0.2159	0.414835
33	-0.058536	-0.5035	0.308038
34	-0.078544	-0.6757	0.25068
35	0.167738	1.4429	0.07663
36	-0.073157	-0.6293	0.265539
37	-0.056764	-0.4883	0.31339
38	0.05013	0.4312	0.333775
39	-0.082023	-0.7056	0.241329
40	0.038469	0.3309	0.370818
41	-0.065478	-0.5633	0.287478
42	0.11231	0.9661	0.168564
43	-0.023018	-0.198	0.42179
44	0.094598	0.8138	0.209196
45	-0.024839	-0.2137	0.415696
46	0.006268	0.0539	0.478573
47	-0.126291	-1.0864	0.140416
48	0.081617	0.7021	0.242412

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289933066f52i6q9z4k4gpfw/1jql91289933106.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289933066f52i6q9z4k4gpfw/1jql91289933106.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289933066f52i6q9z4k4gpfw/2jql91289933106.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289933066f52i6q9z4k4gpfw/2jql91289933106.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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