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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 15:56:00 +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/t1290009277ekzmlwjki3rt3rl.htm/, Retrieved Wed, 17 Nov 2010 16:54:39 +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/t1290009277ekzmlwjki3rt3rl.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 «

47 19 52 136 80 42 54 66 81 63 137 72 107 58 36 52 79 77 54 84 48 96 83 66 61 53 30 74 69 59 42 65 70 100 63 105 82 81 75 102 121 98 76 77 63 37 35 23 40 29 37 51 20 28 13 22 25 13 16 13 16 17 9 17 25 14 8 7 10 7 10 3

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	-0.39322	-3.3133	0.000727
2	0.005331	0.0449	0.482148
3	-0.14487	-1.2207	0.113119
4	0.089751	0.7563	0.225999
5	-0.040818	-0.3439	0.365954
6	-0.016387	-0.1381	0.445284
7	0.113084	0.9529	0.171946
8	-0.078329	-0.66	0.25569
9	0.109662	0.924	0.179301
10	-0.149554	-1.2602	0.105868
11	-0.013495	-0.1137	0.454895
12	0.065192	0.5493	0.292255
13	0.040384	0.3403	0.367323
14	-0.042874	-0.3613	0.359487
15	-0.066541	-0.5607	0.288389
16	0.054779	0.4616	0.322898
17	-0.062965	-0.5306	0.298693
18	0.055511	0.4677	0.320701
19	0.064386	0.5425	0.294579
20	-0.097461	-0.8212	0.207135
21	0.088392	0.7448	0.229424
22	-0.142965	-1.2046	0.11617
23	0.077923	0.6566	0.256783
24	-0.009281	-0.0782	0.468942
25	0.14972	1.2616	0.105617
26	-0.172634	-1.4546	0.075087
27	-0.01643	-0.1384	0.445141
28	-0.014193	-0.1196	0.45257
29	0.083337	0.7022	0.242422
30	0.054545	0.4596	0.323602
31	-0.080629	-0.6794	0.249548
32	0.09793	0.8252	0.20602
33	-0.005947	-0.0501	0.480089
34	-0.020861	-0.1758	0.430484
35	-0.110314	-0.9295	0.177883
36	0.061917	0.5217	0.301743
37	0.043844	0.3694	0.35645
38	-0.018781	-0.1583	0.437354
39	-0.048243	-0.4065	0.342797
40	0.010048	0.0847	0.466381
41	0.085692	0.7221	0.236315
42	-0.114235	-0.9626	0.169518
43	0.04865	0.4099	0.341544
44	-0.06061	-0.5107	0.30557
45	0.039278	0.331	0.370823
46	-0.020585	-0.1735	0.431396
47	-0.016086	-0.1355	0.446283
48	0.0891	0.7508	0.227636

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.39322	-3.3133	0.000727
2	-0.176597	-1.488	0.070585
3	-0.258659	-2.1795	0.016307
4	-0.109946	-0.9264	0.178682
5	-0.108397	-0.9134	0.18207
6	-0.132246	-1.1143	0.134449
7	0.056441	0.4756	0.317917
8	-0.027756	-0.2339	0.407876
9	0.113041	0.9525	0.172036
10	-0.032073	-0.2703	0.393874
11	-0.116555	-0.9821	0.16469
12	0.017085	0.144	0.442971
13	0.030051	0.2532	0.400418
14	-0.023543	-0.1984	0.421658
15	-0.084546	-0.7124	0.239277
16	-0.055326	-0.4662	0.321255
17	-0.090551	-0.763	0.223997
18	-0.035484	-0.299	0.382909
19	0.090935	0.7662	0.22304
20	-0.064424	-0.5428	0.294467
21	0.054716	0.461	0.323089
22	-0.092838	-0.7823	0.218331
23	-0.031297	-0.2637	0.396384
24	0.031556	0.2659	0.395546
25	0.127624	1.0754	0.142924
26	-0.053519	-0.451	0.326697
27	-0.100693	-0.8485	0.199518
28	-0.129575	-1.0918	0.139303
29	0.031761	0.2676	0.394884
30	0.102461	0.8633	0.195427
31	-0.012143	-0.1023	0.459397
32	0.071589	0.6032	0.274143
33	0.146404	1.2336	0.110706
34	0.100974	0.8508	0.198863
35	0.031314	0.2639	0.396328
36	0.005637	0.0475	0.481126
37	-0.041235	-0.3475	0.364638
38	-0.048495	-0.4086	0.342022
39	-0.084191	-0.7094	0.240198
40	-0.038313	-0.3228	0.373885
41	0.087226	0.735	0.232385
42	-0.097949	-0.8253	0.205974
43	-0.012613	-0.1063	0.457831
44	-0.054225	-0.4569	0.324567
45	-0.017263	-0.1455	0.442379
46	-0.008424	-0.071	0.471807
47	-0.017472	-0.1472	0.441686
48	0.033564	0.2828	0.38907

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/17/t1290009277ekzmlwjki3rt3rl/1fash1290009358.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/17/t1290009277ekzmlwjki3rt3rl/1fash1290009358.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/17/t1290009277ekzmlwjki3rt3rl/2fash1290009358.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/17/t1290009277ekzmlwjki3rt3rl/2fash1290009358.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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