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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, 23 Nov 2010 18:45:16 +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/23/t1290537859drgr7nruk9yfpgt.htm/, Retrieved Tue, 23 Nov 2010 19:44:21 +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/23/t1290537859drgr7nruk9yfpgt.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:

KDGP2W11

Dataseries X:

» Textbox « » Textfile « » CSV «

112 118 132 129 121 135 148 148 136 119 104 118 115 126 141 135 125 149 170 170 158 133 114 140 145 150 178 163 172 178 199 199 184 162 146 166 171 180 193 181 183 218 230 242 209 191 172 194 196 196 236 235 229 243 264 272 237 211 180 201 204 188 235 227 234 264 302 293 259 229 203 229 242 233 267 269 270 315 364 347 312 274 237 278 284 277 317 313 318 374 413 405 355 306 271 306 315 301 356 348 355 422 465 467 404 347 305 336 340 318 362 348 363 435 491 505 404 359 310 337 360 342 406 396 420 472 548 559 463 407 362 405 417 391 419 461 472 535 622 606 508 461 390 432

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	5 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.948047	11.3766	0
2	0.875575	10.5069	0
3	0.806681	9.6802	0
4	0.752625	9.0315	0
5	0.71377	8.5652	0
6	0.681734	8.1808	0
7	0.662904	7.9549	0
8	0.65561	7.8673	0
9	0.670948	8.0514	0
10	0.70272	8.4326	0
11	0.74324	8.9189	0
12	0.760395	9.1247	0
13	0.712661	8.5519	0
14	0.646342	7.7561	0
15	0.585923	7.0311	0
16	0.537955	6.4555	0
17	0.499748	5.997	0
18	0.468734	5.6248	0
19	0.449871	5.3984	0
20	0.441629	5.2995	0
21	0.457224	5.4867	0
22	0.482482	5.7898	0
23	0.517127	6.2055	0
24	0.53219	6.3863	0
25	0.493976	5.9277	0
26	0.437721	5.2527	0
27	0.387603	4.6512	4e-06
28	0.348025	4.1763	2.6e-05
29	0.314984	3.7798	0.000115
30	0.288497	3.462	0.000353
31	0.270802	3.2496	0.000719
32	0.26429	3.1715	0.000927
33	0.276799	3.3216	0.000567
34	0.298521	3.5823	0.000233
35	0.325587	3.907	7.2e-05
36	0.337024	4.0443	4.3e-05
37	0.303335	3.64	0.00019
38	0.253977	3.0477	0.001372
39	0.210655	2.5279	0.006277
40	0.172171	2.0661	0.020308
41	0.1384	1.6608	0.049464
42	0.111403	1.3368	0.091692
43	0.090985	1.0918	0.138369
44	0.082172	0.9861	0.162878
45	0.088772	1.0653	0.144269
46	0.10387	1.2464	0.107314
47	0.123931	1.4872	0.069578
48	0.132635	1.5916	0.056832

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.948047	11.3766	0
2	-0.229422	-2.7531	0.003332
3	0.038148	0.4578	0.323903
4	0.093785	1.1254	0.131141
5	0.073607	0.8833	0.189279
6	0.007728	0.0927	0.463123
7	0.125597	1.5072	0.066979
8	0.089951	1.0794	0.141103
9	0.232489	2.7899	0.002994
10	0.166051	1.9926	0.024097
11	0.171274	2.0553	0.020829
12	-0.135431	-1.6252	0.053156
13	-0.539691	-6.4763	0
14	-0.02661	-0.3193	0.374973
15	0.090765	1.0892	0.138947
16	0.024956	0.2995	0.382508
17	0.032516	0.3902	0.348487
18	0.073433	0.8812	0.189841
19	0.048442	0.5813	0.280972
20	-0.045542	-0.5465	0.292784
21	0.045753	0.549	0.291916
22	-0.100179	-1.2021	0.11564
23	0.052435	0.6292	0.265101
24	0.048014	0.5762	0.2827
25	-0.162746	-1.953	0.026382
26	-0.036135	-0.4336	0.332607
27	0.066424	0.7971	0.213357
28	0.006176	0.0741	0.470511
29	0.007537	0.0904	0.464029
30	0.01935	0.2322	0.408354
31	-0.010251	-0.123	0.451132
32	-0.01831	-0.2197	0.413199
33	-0.029001	-0.348	0.364168
34	-0.014805	-0.1777	0.42962
35	-0.047725	-0.5727	0.283872
36	0.046204	0.5544	0.290068
37	-0.066698	-0.8004	0.212407
38	-0.002296	-0.0276	0.489027
39	0.016098	0.1932	0.423546
40	-0.08834	-1.0601	0.145442
41	0.002173	0.0261	0.489614
42	0.016221	0.1947	0.422971
43	-0.038246	-0.4589	0.323482
44	-0.003653	-0.0438	0.482548
45	-0.03637	-0.4364	0.331586
46	-0.005033	-0.0604	0.475961
47	-0.009775	-0.1173	0.453392
48	0.023915	0.287	0.38727

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/23/t1290537859drgr7nruk9yfpgt/188ve1290537910.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/23/t1290537859drgr7nruk9yfpgt/188ve1290537910.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/23/t1290537859drgr7nruk9yfpgt/288ve1290537910.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/23/t1290537859drgr7nruk9yfpgt/288ve1290537910.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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