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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: Thu, 07 May 2009 12:20:04 -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/May/07/t1241720423xmz32ftqhrdz1up.htm/, Retrieved Thu, 07 May 2009 20:20:25 +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/May/07/t1241720423xmz32ftqhrdz1up.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 «

4.2 4.19 4.19 4.19 4.19 4.18 4.2 4.19 4.17 4.21 4.22 4.23 4.21 4.23 4.23 4.22 4.25 4.28 4.3 4.32 4.33 4.32 4.34 4.33 4.31 4.31 4.3 4.3 4.29 4.33 4.32 4.32 4.35 4.37 4.39 4.4 4.41 4.44 4.47 4.47 4.47 4.48 4.47 4.48 4.46 4.44 4.43 4.41 4.41 4.38 4.35 4.37 4.4 4.39 4.36 4.34 4.33 4.33 4.34 4.34 4.35 4.37 4.39 4.4 4.38 4.37 4.36 4.33 4.33 4.33 4.32 4.33 4.34

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.233676	1.9828	0.025602
2	0.047413	0.4023	0.344323
3	0.174046	1.4768	0.072041
4	0.078104	0.6627	0.254807
5	0.031441	0.2668	0.395199
6	-0.083629	-0.7096	0.240117
7	-0.053652	-0.4553	0.325149
8	-0.156814	-1.3306	0.093758
9	0.031765	0.2695	0.394146
10	0.037926	0.3218	0.374263
11	-0.023432	-0.1988	0.421479
12	-0.151296	-1.2838	0.101665
13	-0.094083	-0.7983	0.213654
14	-0.03497	-0.2967	0.383762
15	-0.103549	-0.8786	0.191259
16	0.02207	0.1873	0.425987
17	-0.135944	-1.1535	0.126256
18	0.014378	0.122	0.451619
19	0.168373	1.4287	0.078708
20	0.200124	1.6981	0.046903
21	0.019308	0.1638	0.435161
22	0.027243	0.2312	0.408922
23	0.210501	1.7862	0.039142
24	0.04628	0.3927	0.347851
25	0.023305	0.1978	0.421898
26	-0.025132	-0.2132	0.415868
27	-0.085476	-0.7253	0.235312
28	-0.070067	-0.5945	0.277007
29	-0.036543	-0.3101	0.378698
30	-0.091441	-0.7759	0.220174
31	-0.128983	-1.0945	0.138701
32	-0.080005	-0.6789	0.249701
33	-0.128568	-1.0909	0.139469
34	-0.031198	-0.2647	0.395989
35	-0.077988	-0.6618	0.255121
36	-0.14302	-1.2136	0.11444
37	-0.125964	-1.0688	0.144356
38	-0.13171	-1.1176	0.133727
39	0.015824	0.1343	0.446781
40	-0.032739	-0.2778	0.39098
41	0.0208	0.1765	0.430201
42	0.165674	1.4058	0.082043
43	0.124458	1.0561	0.147235
44	0.002928	0.0248	0.490125
45	-0.013586	-0.1153	0.454271
46	0.030959	0.2627	0.396768
47	-0.053962	-0.4579	0.324209
48	-0.081496	-0.6915	0.245731

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.233676	1.9828	0.025602
2	-0.007607	-0.0645	0.474357
3	0.17418	1.478	0.071889
4	-0.001639	-0.0139	0.494471
5	0.014735	0.125	0.450423
6	-0.131797	-1.1183	0.133571
7	-0.018696	-0.1586	0.437197
8	-0.168196	-1.4272	0.078924
9	0.157558	1.3369	0.092728
10	0.00705	0.0598	0.476233
11	0.046475	0.3944	0.347244
12	-0.217783	-1.8479	0.034359
13	-0.018831	-0.1598	0.43675
14	-0.09016	-0.765	0.223377
15	0.004571	0.0388	0.484583
16	0.07444	0.6316	0.264811
17	-0.102514	-0.8699	0.193634
18	0.091274	0.7745	0.220591
19	0.113311	0.9615	0.169765
20	0.154083	1.3074	0.097611
21	-0.116338	-0.9872	0.163434
22	0.048464	0.4112	0.341063
23	0.086675	0.7355	0.232225
24	0.003746	0.0318	0.487366
25	-0.037992	-0.3224	0.374052
26	-0.014116	-0.1198	0.452497
27	-0.101932	-0.8649	0.194976
28	-0.002373	-0.0201	0.491996
29	-0.08498	-0.7211	0.236599
30	-0.063515	-0.5389	0.295794
31	0.005162	0.0438	0.482593
32	-0.021363	-0.1813	0.428331
33	-0.086355	-0.7327	0.233046
34	0.017562	0.149	0.440979
35	-0.025868	-0.2195	0.413442
36	-0.08456	-0.7175	0.237689
37	-0.045322	-0.3846	0.350844
38	-0.152968	-1.298	0.09922
39	0.033014	0.2801	0.39009
40	-0.010666	-0.0905	0.46407
41	0.090447	0.7675	0.222656
42	0.091958	0.7803	0.218888
43	0.005481	0.0465	0.481516
44	-0.149352	-1.2673	0.104567
45	-0.102691	-0.8714	0.193226
46	-0.022958	-0.1948	0.423047
47	-0.001739	-0.0148	0.494134
48	-0.048418	-0.4108	0.341205

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/07/t1241720423xmz32ftqhrdz1up/19fql1241720402.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/07/t1241720423xmz32ftqhrdz1up/19fql1241720402.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/07/t1241720423xmz32ftqhrdz1up/22a0v1241720402.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/07/t1241720423xmz32ftqhrdz1up/22a0v1241720402.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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