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Q2 Autocorrelation

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 25 Nov 2007 07:25:33 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2007/Nov/25/t1196000294p1wbx6j2qc14vse.htm/, Retrieved Sun, 25 Nov 2007 15:18:14 +0100

User-defined keywords:

Dataseries X:

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106.8 113.7 102.5 96.6 92.1 95.6 102.3 98.6 98.2 104.5 84 73.8 103.9 106 97.2 102.6 89 93.8 116.7 106.8 98.5 118.7 90 91.9 113.3 113.1 104.1 108.7 96.7 101 116.9 105.8 99 129.4 83 88.9 115.9 104.2 113.4 112.2 100.8 107.3 126.6 102.9 117.9 128.8 87.5 93.8 122.7 126.2 124.6 116.7 115.2 111.1 129.9 113.3 118.5 133.5 102.1 102.4

Text written by user:

Output produced by software:

Summary of compuational transaction Raw Input view raw input (R code) Raw Output view raw output of R engine Computing time 3 seconds R Server 'Herman Ole Andreas Wold' @ 193.190.124.10:1001 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 0 1 6.9282 0 1 0.093819 0.65 0.259397 2 0.174014 1.2056 0.11694 3 0.304252 2.1079 0.020142 4 -0.017648 -0.1223 0.548402 5 0.07881 0.546 0.293793 6 0.076214 0.528 0.299958 7 -0.241365 -1.6722 0.949506 8 0.010512 0.0728 0.471123 9 -0.118087 -0.8181 0.791338 10 -0.16855 -1.1677 0.875661 11 -0.050764 -0.3517 0.636699 12 -0.28617 -1.9826 0.973427 13 -0.218581 -1.5144 0.931755 14 -0.103457 -0.7168 0.761505 15 -0.126216 -0.8745 0.806887 16 -0.099569 -0.6898 0.753191 17 0.050323 0.3486 0.36444 18 -0.03327 -0.2305 0.590658 19 0.020356 0.141 0.444218 20 0.08424 0.5836 0.2811 21 0.130709 0.9056 0.184841 22 0.020611 0.1428 0.443524 23 0.169143 1.1719 0.12352 24 -0.010816 -0.0749 0.529712 25 0.062926 0.436 0.332409 26 0.172127 1.1925 0.119458 27 -0.006016 -0.0417 0.516536 28 -0.018372 -0.1273 0.550377 29 0.074903 0.5189 0.303093 30 -0.012222 -0.0847 0.533565 31 0.089352 0.6191 0.269405 32 -0.042947 -0.2975 0.616334 33 -0.062255 -0.4313 0.665914 34 0.059004 0.4088 0.342254 35 -0.086231 -0.5974 0.723484 36 -0.127175 -0.8811 0.808671 37 -0.021624 -0.1498 0.559232 38 -0.094996 -0.6581 0.743207 39 -0.045759 -0.317 0.623702 40 0.046037 0.319 0.375573 41 -0.023583 -0.1634 0.56455 42 -0.046806 -0.3243 0.626433 43 0.000279 0.0019 0.499234 44 -0.023274 -0.1612 0.563711 45 -0.067172 -0.4654 0.67812 46 -0.052584 -0.3643 0.641389 47 -0.012122 -0.084 0.533289 48 NA NA NA 49 NA NA NA 50 NA NA NA 51 NA NA NA 52 NA NA NA 53 NA NA NA 54 NA NA NA 55 NA NA NA 56 NA NA NA 57 NA NA NA 58 NA NA NA 59 NA NA NA Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 0 0.093819 0.65 0.259397 1 0.166679 1.1548 0.126947 2 0.285381 1.9772 0.02689 3 -0.089088 -0.6172 0.729996 4 -0.011177 -0.0774 0.530701 5 0.003368 0.0233 0.49074 6 -0.255563 -1.7706 0.95851 7 0.003217 0.0223 0.491155 8 -0.073265 -0.5076 0.692969 9 -0.023811 -0.165 0.565168 10 -0.034816 -0.2412 0.59479 11 -0.218808 -1.5159 0.931954 12 -0.140783 -0.9754 0.832868 13 -0.076484 -0.5299 0.700688 14 0.084591 0.5861 0.280289 15 -0.027794 -0.1926 0.575943 16 0.108177 0.7495 0.228615 17 0.00912 0.0632 0.474941 18 -0.087202 -0.6042 0.725706 19 -0.026024 -0.1803 0.571162 20 0.101907 0.706 0.241791 21 -0.042217 -0.2925 0.614413 22 0.083762 0.5803 0.282208 23 -0.12931 -0.8959 0.812608 24 -0.055327 -0.3833 0.648411 25 0.068707 0.476 0.318111 26 0.000499 0.0035 0.498629 27 -0.054889 -0.3803 0.647294 28 0.029463 0.2041 0.419559 29 0.11482 0.7955 0.215121 30 0.074135 0.5136 0.304936 31 -0.097602 -0.6762 0.748922 32 0.028769 0.1993 0.421427 33 0.050037 0.3467 0.36518 34 -0.018644 -0.1292 0.551118 35 -0.158957 -1.1013 0.861868 36 -0.041598 -0.2882 0.612783 37 0.048883 0.3387 0.368167 38 0.048906 0.3388 0.368107 39 0.038394 0.266 0.395688 40 0.050885 0.3525 0.362987 41 -0.070803 -0.4905 0.687006 42 -0.043126 -0.2988 0.616805 43 -0.059503 -0.4122 0.659003 44 -0.033228 -0.2302 0.590546 45 -0.051117 -0.3542 0.637612 46 0.036271 0.2513 0.401329 47 NA NA NA 48 NA NA NA 49 NA NA NA 50 NA NA NA 51 NA NA NA 52 NA NA NA 53 NA NA NA 54 NA NA NA 55 NA NA NA 56 NA NA NA 57 NA NA NA 58 NA NA NA 59 NA NA NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1196000294p1wbx6j2qc14vse/1m5a51196000729.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1196000294p1wbx6j2qc14vse/1m5a51196000729.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1196000294p1wbx6j2qc14vse/28a711196000729.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1196000294p1wbx6j2qc14vse/28a711196000729.ps (open in new window)

Parameters:

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

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 (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='lags',ylab='ACF') 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 1:par1) { 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(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-1,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(mytstat,lengthx),6)) a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable1.tab')

Copyright

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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