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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, 28 Jul 2009 07:53:43 -0600

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Jul/28/t1248789441nwbkbi8s3qx9ejo.htm/, Retrieved Tue, 28 Jul 2009 15:57:21 +0200

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/2009/Jul/28/t1248789441nwbkbi8s3qx9ejo.htm/},
    year = {2009},
}
@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 = {2009},
    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:

Dataseries X:

» Textbox « » Textfile « » CSV «

6430 5124 4836 4629 4597 4490 4517 4560 4135 4559 4739 4886 5605 4616 4997 4607 4882 4555 4462 4476 4277 4369 4492 5183 6039 4923 4953 4892 4614 4363 4675 4556 4217 4664 4601 5428 5607 4869 5174 5031 4671 4491 4504 4615 4582 4800 4775 5791 5818 4714 4915 4598 4407 4383 4412 4274 4236 4637 4534 5271 5467 5204 5752 4724 4623 4451 4138 4140 4169 4603 4434 5185

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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.450926	3.8262	0.000137
2	0.225349	1.9121	0.029918
3	-0.009373	-0.0795	0.468415
4	-0.280859	-2.3832	0.009902
5	-0.377971	-3.2072	0.001
6	-0.45809	-3.887	0.000112
7	-0.380314	-3.2271	0.000942
8	-0.33309	-2.8264	0.003045
9	-0.051955	-0.4409	0.33032
10	0.095245	0.8082	0.210825
11	0.330064	2.8007	0.003272
12	0.63204	5.363	0
13	0.274585	2.3299	0.011309
14	0.236988	2.0109	0.02404
15	0.022766	0.1932	0.423683
16	-0.188504	-1.5995	0.057044
17	-0.259718	-2.2038	0.015369
18	-0.350907	-2.9775	0.001978
19	-0.317518	-2.6942	0.004387
20	-0.269366	-2.2856	0.01261
21	-0.068451	-0.5808	0.281584
22	0.047334	0.4016	0.344567
23	0.34738	2.9476	0.002157
24	0.535873	4.547	1.1e-05
25	0.174463	1.4804	0.071569
26	0.128414	1.0896	0.139754
27	-0.04367	-0.3706	0.35603
28	-0.224701	-1.9066	0.030278
29	-0.252473	-2.1423	0.017776
30	-0.282766	-2.3994	0.009507
31	-0.233141	-1.9783	0.025862
32	-0.192019	-1.6293	0.053805
33	-0.021152	-0.1795	0.429031
34	0.066228	0.562	0.287944
35	0.2937	2.4921	0.0075
36	0.367876	3.1215	0.001295
37	0.154734	1.313	0.096682
38	0.173033	1.4682	0.073198
39	-0.035181	-0.2985	0.383083
40	-0.16441	-1.3951	0.083643
41	-0.182635	-1.5497	0.062798
42	-0.229912	-1.9509	0.027483
43	-0.165021	-1.4003	0.082867
44	-0.119854	-1.017	0.15628
45	0.019004	0.1613	0.436171
46	0.084945	0.7208	0.236688
47	0.271272	2.3018	0.01212
48	0.276163	2.3433	0.010939

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.450926	3.8262	0.000137
2	0.027633	0.2345	0.407641
3	-0.151548	-1.2859	0.101294
4	-0.295168	-2.5046	0.007262
5	-0.179239	-1.5209	0.066333
6	-0.237539	-2.0156	0.023788
7	-0.138328	-1.1738	0.122181
8	-0.261108	-2.2156	0.014942
9	0.025167	0.2136	0.41575
10	-0.095621	-0.8114	0.209913
11	0.131131	1.1127	0.134773
12	0.405656	3.4421	0.000482
13	-0.340275	-2.8873	0.002563
14	0.073029	0.6197	0.268715
15	-0.048261	-0.4095	0.34169
16	-0.059271	-0.5029	0.308273
17	0.061741	0.5239	0.300983
18	-0.07736	-0.6564	0.256823
19	-0.030949	-0.2626	0.396799
20	0.025843	0.2193	0.413524
21	-0.11284	-0.9575	0.170765
22	0.061262	0.5198	0.302389
23	0.175577	1.4898	0.070319
24	0.104357	0.8855	0.189417
25	-0.258118	-2.1902	0.015874
26	-0.179857	-1.5261	0.065678
27	0.04573	0.388	0.349568
28	-0.117427	-0.9964	0.161196
29	-0.0111	-0.0942	0.46261
30	0.033795	0.2868	0.387561
31	-0.033289	-0.2825	0.389199
32	-0.059769	-0.5072	0.306796
33	-0.062559	-0.5308	0.298585
34	-0.072838	-0.618	0.269247
35	-0.080662	-0.6844	0.247947
36	-0.088564	-0.7515	0.227403
37	0.072124	0.612	0.271237
38	0.008502	0.0721	0.471346
39	-0.110214	-0.9352	0.176407
40	0.001802	0.0153	0.493921
41	-0.033158	-0.2814	0.389621
42	-0.013211	-0.1121	0.45553
43	0.078934	0.6698	0.252571
44	-0.002356	-0.02	0.492052
45	0.070228	0.5959	0.276554
46	-0.043528	-0.3693	0.356477
47	-0.118162	-1.0026	0.159698
48	0.057322	0.4864	0.314084

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jul/28/t1248789441nwbkbi8s3qx9ejo/1ys4k1248789219.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jul/28/t1248789441nwbkbi8s3qx9ejo/1ys4k1248789219.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jul/28/t1248789441nwbkbi8s3qx9ejo/21jie1248789219.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jul/28/t1248789441nwbkbi8s3qx9ejo/21jie1248789219.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; 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 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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