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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, 17 Nov 2010 09:54:20 +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/17/t1289987570qos2vwnijpsh15m.htm/, Retrieved Wed, 17 Nov 2010 10:52:52 +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/17/t1289987570qos2vwnijpsh15m.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 «

1552 2081 1500 1437 1470 1849 1387 1592 1590 1798 1935 1887 2027 2080 1556 1682 1785 1869 1781 2082 2571 1862 1938 1505 1767 1607 1578 1495 1615 1700 1337 1531 1623 1543 1640 1524 1429 1827 1603 1351 1267 1742 1384 1392 1649 1665 1526 1717 1391 1790 1472 1350 1704 1391 1190 1351 1160 1236 1444 1257 1193 1701 1428 1611 1431 1472 1240 1276 1467 1603 2014 2463 2510

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.361332	-3.066	0.001527
2	-0.014963	-0.127	0.44966
3	0.046601	0.3954	0.346849
4	0.078942	0.6698	0.252549
5	-0.162768	-1.3811	0.085755
6	-0.010793	-0.0916	0.463642
7	-0.063215	-0.5364	0.29667
8	0.1039	0.8816	0.190458
9	0.096371	0.8177	0.208104
10	-0.087023	-0.7384	0.231332
11	-0.036491	-0.3096	0.378864
12	0.202218	1.7159	0.045242
13	-0.125858	-1.0679	0.144557
14	-0.075623	-0.6417	0.261558
15	0.102034	0.8658	0.194741
16	-0.072821	-0.6179	0.269294
17	0.029333	0.2489	0.402073
18	-0.070107	-0.5949	0.276894
19	0.083326	0.707	0.24091
20	-0.11679	-0.991	0.162503
21	0.157239	1.3342	0.093168
22	-0.150883	-1.2803	0.102277
23	-0.077764	-0.6598	0.255728
24	0.149255	1.2665	0.104714
25	0.002951	0.025	0.490046
26	-0.071704	-0.6084	0.272408
27	0.086809	0.7366	0.23188
28	-0.000218	-0.0018	0.499265
29	-0.017392	-0.1476	0.441546
30	0.042075	0.357	0.361062
31	-0.143432	-1.2171	0.113778
32	0.093929	0.797	0.214031
33	0.02066	0.1753	0.430665
34	0.004744	0.0403	0.484001
35	-0.158976	-1.349	0.090789
36	0.149586	1.2693	0.104214
37	0.022227	0.1886	0.425467
38	-0.127414	-1.0811	0.14162
39	0.047415	0.4023	0.344318
40	0.022413	0.1902	0.424851
41	-0.038534	-0.327	0.372318
42	0.025481	0.2162	0.414716
43	-0.006866	-0.0583	0.476851
44	0.004892	0.0415	0.483501
45	-0.005725	-0.0486	0.480695
46	-0.007787	-0.0661	0.47375
47	-0.14823	-1.2578	0.106268
48	0.097673	0.8288	0.204984

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.361332	-3.066	0.001527
2	-0.167377	-1.4202	0.079927
3	-0.02389	-0.2027	0.419966
4	0.103597	0.879	0.191149
5	-0.100775	-0.8551	0.197665
6	-0.122483	-1.0393	0.151071
7	-0.173065	-1.4685	0.073161
8	0.019181	0.1628	0.435585
9	0.210075	1.7825	0.039438
10	0.057548	0.4883	0.313407
11	-0.091501	-0.7764	0.220025
12	0.096367	0.8177	0.208112
13	-0.002209	-0.0187	0.492549
14	-0.041316	-0.3506	0.363464
15	0.079255	0.6725	0.25171
16	-0.057954	-0.4918	0.312193
17	0.006132	0.052	0.479324
18	-0.092058	-0.7811	0.218641
19	0.04492	0.3812	0.352103
20	-0.113837	-0.9659	0.168654
21	0.049647	0.4213	0.337408
22	-0.049287	-0.4182	0.338519
23	-0.208868	-1.7723	0.040287
24	0.010766	0.0913	0.463734
25	0.093156	0.7905	0.215928
26	0.067295	0.571	0.284883
27	0.045792	0.3886	0.349376
28	-0.007691	-0.0653	0.474073
29	-0.03704	-0.3143	0.377102
30	0.086865	0.7371	0.231736
31	-0.062356	-0.5291	0.29918
32	0.095175	0.8076	0.210995
33	-0.008607	-0.073	0.47099
34	0.041715	0.354	0.3622
35	-0.114435	-0.971	0.167396
36	-0.117831	-0.9998	0.160371
37	0.100932	0.8564	0.197298
38	-0.091485	-0.7763	0.220065
39	0.005083	0.0431	0.482858
40	-0.057879	-0.4911	0.312419
41	-0.082409	-0.6993	0.243319
42	0.003162	0.0268	0.489334
43	0.080417	0.6824	0.2486
44	0.061366	0.5207	0.302083
45	-0.085043	-0.7216	0.236435
46	-0.072287	-0.6134	0.270781
47	-0.136188	-1.1556	0.125833
48	0.000696	0.0059	0.497653

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/17/t1289987570qos2vwnijpsh15m/11pi21289987658.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/17/t1289987570qos2vwnijpsh15m/11pi21289987658.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/17/t1289987570qos2vwnijpsh15m/21pi21289987658.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/17/t1289987570qos2vwnijpsh15m/21pi21289987658.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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