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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 08:37:45 -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/t1196436505dblu8sz2qsk0yb2.htm/, Retrieved Fri, 30 Nov 2007 16:28:28 +0100

User-defined keywords:

Dataseries X:

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544.5 619.8 777.6 640.4 633.0 722.0 860.1 495.1 692.8 766.7 648.5 640.0 681.6 752.5 1031.7 685.5 887.6 655.4 944.2 626.6 1221.8 939.6 886.6 811.3 774.7 910.6 911.6 697.7 829.8 824.3 885.6 538.9 686.0 878.7 812.7 640.4 773.9 795.9 836.3 876.1 851.7 692.4 877.3 536.8 705.9 951.0 755.7 695.5 744.8 672.1 666.6 760.8 756.0 604.4 883.9 527.9 756.2 812.9 655.6 707.6

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 7.746 0 1 -0.045544 -0.3528 0.637257 2 0.103877 0.8046 0.212105 3 0.12493 0.9677 0.168538 4 0.251835 1.9507 0.027884 5 0.026667 0.2066 0.418525 6 0.157215 1.2178 0.114038 7 0.062904 0.4873 0.313928 8 0.149325 1.1567 0.125996 9 -0.018397 -0.1425 0.55642 10 -0.059658 -0.4621 0.677163 11 -0.184912 -1.4323 0.921379 12 0.341362 2.6442 0.005218 13 -0.285847 -2.2142 0.984686 14 -0.090199 -0.6987 0.756274 15 -0.079133 -0.613 0.728891 16 0.024306 0.1883 0.425648 17 -0.126409 -0.9792 0.834284 18 -0.084822 -0.657 0.743162 19 -0.023666 -0.1833 0.572416 20 -0.007149 -0.0554 0.521989 21 -0.154625 -1.1977 0.882131 22 -0.093867 -0.7271 0.765001 23 -0.168382 -1.3043 0.90144 24 0.212979 1.6497 0.052113 25 -0.124332 -0.9631 0.830311 26 -0.092985 -0.7203 0.762919 27 -0.067623 -0.5238 0.698829 28 0.036283 0.281 0.389821 29 -0.204599 -1.5848 0.940868 30 -0.131923 -1.0219 0.844528 31 0.09052 0.7012 0.242955 32 -0.03547 -0.2747 0.607774 33 -0.143483 -1.1114 0.864589 34 -0.005335 -0.0413 0.516412 35 -0.194086 -1.5034 0.931007 36 0.112373 0.8704 0.193766 37 -0.112019 -0.8677 0.805491 38 -0.076308 -0.5911 0.721655 39 -0.060169 -0.4661 0.678573 40 0.066767 0.5172 0.303468 41 -0.073701 -0.5709 0.714896 42 0.00875 0.0678 0.473094 43 0.124736 0.9662 0.168911 44 -0.028364 -0.2197 0.586577 45 -0.012332 -0.0955 0.537892 46 0.057464 0.4451 0.328918 47 -0.015928 -0.1234 0.548889 48 0.115013 0.8909 0.188273 49 0.01337 0.1036 0.458929 50 0.012543 0.0972 0.461463 51 0.04499 0.3485 0.364345 52 0.050833 0.3938 0.34758 53 0.000633 0.0049 0.498052 54 0.01159 0.0898 0.464383 55 0.075633 0.5858 0.280088 56 -0.009502 -0.0736 0.529214 57 -0.002853 -0.0221 0.508778 58 0.02761 0.2139 0.415689 59 0.009113 0.0706 0.471979 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 0 -0.045544 -0.3528 0.637257 1 0.102015 0.7902 0.216261 2 0.135513 1.0497 0.149037 3 0.261676 2.0269 0.02356 4 0.039657 0.3072 0.379884 5 0.107942 0.8361 0.203204 6 0.014319 0.1109 0.456027 7 0.0723 0.56 0.288771 8 -0.059678 -0.4623 0.677217 9 -0.176226 -1.365 0.911331 10 -0.306517 -2.3743 0.9896 11 0.287646 2.2281 0.014817 12 -0.237049 -1.8362 0.964356 13 -0.09829 -0.7614 0.775286 14 -0.041884 -0.3244 0.626629 15 0.010314 0.0799 0.468294 16 0.109738 0.85 0.199344 17 -0.051794 -0.4012 0.65515 18 0.093709 0.7259 0.235372 19 0.004463 0.0346 0.486269 20 -0.102165 -0.7914 0.784075 21 -0.05105 -0.3954 0.653036 22 -0.144401 -1.1185 0.866099 23 0.05628 0.4359 0.332222 24 0.107221 0.8305 0.204765 25 -0.112465 -0.8712 0.806429 26 -0.043834 -0.3395 0.632303 27 -0.033737 -0.2613 0.602632 28 -0.194884 -1.5096 0.931798 29 -0.100179 -0.776 0.779598 30 0.052561 0.4071 0.342678 31 -0.02975 -0.2304 0.590735 32 -0.012452 -0.0965 0.538259 33 0.049626 0.3844 0.35102 34 -0.118827 -0.9204 0.819482 35 0.014859 0.1151 0.454375 36 -0.033608 -0.2603 0.602247 37 -0.012928 -0.1001 0.539715 38 -0.070629 -0.5471 0.706828 39 -0.061833 -0.479 0.683145 40 0.100455 0.7781 0.219778 41 0.072804 0.5639 0.287449 42 -0.011457 -0.0887 0.535211 43 -0.070353 -0.545 0.706098 44 0.006578 0.0509 0.479767 45 -0.041567 -0.322 0.625706 46 0.069742 0.5402 0.295523 47 -0.13956 -1.081 0.857995 48 -0.038293 -0.2966 0.616107 49 -0.078728 -0.6098 0.72786 50 -0.024791 -0.192 0.575815 51 -0.018213 -0.1411 0.555859 52 0.016772 0.1299 0.448533 53 0.093405 0.7235 0.236088 54 -0.023627 -0.183 0.572299 55 -0.02098 -0.1625 0.564274 56 -0.029516 -0.2286 0.590034 57 -0.045944 -0.3559 0.63841 58 -0.036462 -0.2824 0.610707 59 NA NA NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/30/t1196436505dblu8sz2qsk0yb2/1gzdu1196437063.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/30/t1196436505dblu8sz2qsk0yb2/1gzdu1196437063.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/30/t1196436505dblu8sz2qsk0yb2/241421196437063.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/30/t1196436505dblu8sz2qsk0yb2/241421196437063.ps (open in new window)

Parameters:

par1 = 60 ; par2 = 0.0 ; par3 = 0 ; 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')

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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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