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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 08:01:47 -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/t1248790179x7afcle7gbxxia2.htm/, Retrieved Tue, 28 Jul 2009 16:09:41 +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/t1248790179x7afcle7gbxxia2.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	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.184494	-1.5546	0.062247
2	0.037829	0.3187	0.375426
3	0.075513	0.6363	0.263319
4	-0.187015	-1.5758	0.059756
5	-0.006847	-0.0577	0.477078
6	-0.184935	-1.5583	0.061805
7	0.023601	0.1989	0.421468
8	-0.209749	-1.7674	0.040731
9	0.070397	0.5932	0.277474
10	-0.100661	-0.8482	0.199593
11	-0.09725	-0.8194	0.207639
12	0.644444	5.4302	0
13	-0.216651	-1.8255	0.036063
14	0.146136	1.2314	0.111125
15	0.051878	0.4371	0.331671
16	-0.186865	-1.5745	0.059903
17	0.054804	0.4618	0.322822
18	-0.125383	-1.0565	0.147162
19	-0.018921	-0.1594	0.436892
20	-0.14988	-1.2629	0.105376
21	0.073934	0.623	0.267647
22	-0.210256	-1.7717	0.040372
23	0.012272	0.1034	0.458967
24	0.503992	4.2467	3.2e-05
25	-0.189682	-1.5983	0.05721
26	0.133073	1.1213	0.13297
27	0.021961	0.1851	0.426859
28	-0.137496	-1.1586	0.125259
29	0.034128	0.2876	0.387257
30	-0.123618	-1.0416	0.15056
31	0.017308	0.1458	0.442229
32	-0.113111	-0.9531	0.17189
33	0.036177	0.3048	0.380694
34	-0.137925	-1.1622	0.124527
35	0.051932	0.4376	0.331506
36	0.298076	2.5116	0.007147
37	-0.146759	-1.2366	0.110153
38	0.209859	1.7683	0.040653
39	-0.059315	-0.4998	0.30938
40	-0.090903	-0.766	0.223119
41	0.048361	0.4075	0.342435
42	-0.116515	-0.9818	0.164773
43	0.000908	0.0077	0.496959
44	-0.107173	-0.9031	0.184774
45	0.052403	0.4416	0.330075
46	-0.128856	-1.0858	0.140628
47	0.050299	0.4238	0.336487
48	0.22841	1.9246	0.029143

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.184494	-1.5546	0.062247
2	0.003924	0.0331	0.486857
3	0.086121	0.7257	0.235212
4	-0.164762	-1.3883	0.084691
5	-0.078123	-0.6583	0.256246
6	-0.208288	-1.7551	0.041781
7	-0.024001	-0.2022	0.420154
8	-0.255313	-2.1513	0.017428
9	-0.016313	-0.1375	0.445531
10	-0.204	-1.7189	0.044992
11	-0.193752	-1.6326	0.053493
12	0.56482	4.7593	5e-06
13	-0.054299	-0.4575	0.324343
14	0.011836	0.0997	0.460418
15	-0.02187	-0.1843	0.427158
16	-0.13657	-1.1508	0.126846
17	0.073275	0.6174	0.269465
18	0.037722	0.3178	0.375766
19	-0.112026	-0.9439	0.174199
20	0.01519	0.128	0.449258
21	-0.017133	-0.1444	0.442811
22	-0.135611	-1.1427	0.128505
23	0.069921	0.5892	0.27881
24	0.183458	1.5458	0.063294
25	0.042128	0.355	0.36183
26	-0.141475	-1.1921	0.118598
27	-0.061923	-0.5218	0.301725
28	0.017072	0.1438	0.443014
29	-0.025927	-0.2185	0.413847
30	-0.05249	-0.4423	0.329812
31	0.046072	0.3882	0.349512
32	-0.067902	-0.5722	0.284512
33	-0.026831	-0.2261	0.410894
34	0.180357	1.5197	0.066512
35	-0.035749	-0.3012	0.38206
36	-0.119925	-1.0105	0.157841
37	0.006861	0.0578	0.477031
38	0.074426	0.6271	0.266296
39	-0.062687	-0.5282	0.2995
40	0.040996	0.3454	0.365393
41	-0.020497	-0.1727	0.431686
42	-0.059119	-0.4981	0.309961
43	-0.011745	-0.099	0.460724
44	-0.0332	-0.2798	0.390241
45	0.048957	0.4125	0.340602
46	0.033332	0.2809	0.389818
47	-0.064474	-0.5433	0.294325
48	-0.012271	-0.1034	0.458968

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jul/28/t1248790179x7afcle7gbxxia2/16h6b1248789706.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jul/28/t1248790179x7afcle7gbxxia2/16h6b1248789706.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jul/28/t1248790179x7afcle7gbxxia2/2zcyi1248789706.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jul/28/t1248790179x7afcle7gbxxia2/2zcyi1248789706.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; 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 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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