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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: Fri, 30 Nov 2007 07:06:24 -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/30/t1196430967xbqtgmnb8onxv6x.htm/, Retrieved Fri, 30 Nov 2007 14:56:09 +0100

User-defined keywords:

Dataseries X:

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103,1 103,1 103,3 103,5 103,3 103,5 103,8 103,9 103,9 104,2 104,6 104,9 105,2 105,2 105,6 105,6 106,2 106,3 106,4 106,9 107,2 107,3 107,3 107,4 107,55 107,87 108,37 108,38 107,92 108,03 108,14 108,3 108,64 108,66 109,04 109,03 109,03 109,54 109,75 109,83 109,65 109,82 109,95 110,12 110,15 110,2 109,99 110,14 110,14 110,81 110,97 110,99 109,73 109,81 110,02 110,18 110,21 110,25 110,36 110,51 110,64 110,95 111,18 111,19 111,69 111,7 111,83 111,77 111,73 112,01 111,86 112,04

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 1 seconds R Server 'Gwilym Jenkins' @ 72.249.127.135 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 0 1 8.4261 0 1 0.004584 0.0386 0.484649 2 -0.07428 -0.6259 0.733305 3 -0.234657 -1.9773 0.974052 4 0.034098 0.2873 0.387354 5 0.11801 0.9944 0.16171 6 0.118232 0.9962 0.161258 7 0.072288 0.6091 0.272197 8 -0.01003 -0.0845 0.533556 9 -0.188507 -1.5884 0.941679 10 -0.014245 -0.12 0.547602 11 0.065735 0.5539 0.290697 12 0.02358 0.1987 0.421537 13 0.07138 0.6015 0.274724 14 -0.101961 -0.8591 0.803422 15 -0.002801 -0.0236 0.509381 16 0.044284 0.3731 0.355076 17 0.037211 0.3135 0.377391 18 0.036247 0.3054 0.380469 19 -0.061564 -0.5187 0.697224 20 -0.043958 -0.3704 0.643904 21 -0.112908 -0.9514 0.82768 22 -0.022542 -0.1899 0.57505 23 0.100741 0.8489 0.199406 24 0.22049 1.8579 0.033666 25 0.027573 0.2323 0.408475 26 -0.166996 -1.4071 0.918124 27 -0.010716 -0.0903 0.535845 28 -0.001696 -0.0143 0.50568 29 0.008814 0.0743 0.470502 30 0.032351 0.2726 0.392978 31 -0.014222 -0.1198 0.547525 32 -0.035491 -0.2991 0.617113 33 -0.141679 -1.1938 0.881737 34 -0.051786 -0.4364 0.668049 35 0.071218 0.6001 0.275176 36 -0.219669 -1.851 0.965833 37 0.031235 0.2632 0.396583 38 -0.039529 -0.3331 0.62997 39 0.090109 0.7593 0.225102 40 -0.016202 -0.1365 0.554102 41 -0.099154 -0.8355 0.796877 42 -0.055897 -0.471 0.680456 43 -0.022637 -0.1907 0.575363 44 0.043708 0.3683 0.356877 45 0.022886 0.1928 0.423817 46 -0.056404 -0.4753 0.681971 47 -0.024725 -0.2083 0.58222 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 0 0.004584 0.0386 0.484649 1 -0.074303 -0.6261 0.733367 2 -0.235254 -1.9823 0.974341 3 0.028525 0.2404 0.405374 4 0.089443 0.7537 0.226772 5 0.074154 0.6248 0.267041 6 0.109584 0.9234 0.17947 7 0.054732 0.4612 0.323041 8 -0.154898 -1.3052 0.901979 9 0.001167 0.0098 0.496091 10 0.030265 0.255 0.399722 11 -0.086938 -0.7326 0.766879 12 0.080014 0.6742 0.251183 13 -0.061854 -0.5212 0.698072 14 0.00965 0.0813 0.467712 15 0.105968 0.8929 0.187462 16 0.004927 0.0415 0.483502 17 0.009323 0.0786 0.468804 18 -0.024331 -0.205 0.580926 19 -0.042271 -0.3562 0.638621 20 -0.149944 -1.2635 0.89472 21 -0.043324 -0.3651 0.641922 22 0.041874 0.3528 0.362628 23 0.203802 1.7173 0.045145 24 0.12114 1.0207 0.155421 25 -0.091295 -0.7693 0.777857 26 0.130659 1.101 0.137317 27 -0.043886 -0.3698 0.643681 28 -0.163247 -1.3755 0.913356 29 -0.023133 -0.1949 0.576995 30 -0.102012 -0.8596 0.803541 31 -0.054645 -0.4604 0.676697 32 -0.048491 -0.4086 0.657966 33 -0.025463 -0.2146 0.584634 34 0.045066 0.3797 0.35264 35 -0.254639 -2.1456 0.982338 36 0.034047 0.2869 0.387517 37 -0.035297 -0.2974 0.616493 38 0.022463 0.1893 0.425209 39 -0.041928 -0.3533 0.637543 40 -0.090543 -0.7629 0.775985 41 -0.017614 -0.1484 0.558783 42 -0.039508 -0.3329 0.629904 43 0.109168 0.9199 0.180379 44 -0.036694 -0.3092 0.620958 45 0.002623 0.0221 0.491215 46 -0.014142 -0.1192 0.547258 47 0.069215 0.5832 0.280798

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/30/t1196430967xbqtgmnb8onxv6x/18soy1196431582.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/30/t1196430967xbqtgmnb8onxv6x/18soy1196431582.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/30/t1196430967xbqtgmnb8onxv6x/2swv41196431582.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/30/t1196430967xbqtgmnb8onxv6x/2swv41196431582.ps (open in new window)

Parameters:

par1 = 48 ; par2 = 2.0 ; par3 = 1 ; par4 = 0 ; 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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