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Autocorrelation2 6b bis - Kelly Michielsen - MAR 201b

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 14 May 2009 05:49:35 -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/14/t1242301822fsrmf0r8y5ztgll.htm/, Retrieved Thu, 14 May 2009 13:50:24 +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/14/t1242301822fsrmf0r8y5ztgll.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 «

104.9 110.9 104.8 94.1 95.8 99.3 101.1 104.0 99.0 105.4 107.1 110.7 117.1 118.7 126.5 127.5 134.6 131.8 135.9 142.7 141.7 153.4 145.0 137.7 148.3 152.2 169.4 168.6 161.1 174.1 179.0 190.6 190.0 181.6 174.8 180.5 196.8 193.8 197.0 216.3 221.4 217.9 229.7 227.4 204.2 196.6 198.8 207.5 190.7 201.6 210.5 223.5 223.8 231.2 244.0 234.7 250.2 265.7 287.6 283.3 295.4 312.3 333.8 347.7 383.2 407.1 413.6 362.7 321.9 239.4 191.0 159.7 166.7

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	0.589352	5.0008	2e-06
2	0.387937	3.2918	0.000772
3	0.090441	0.7674	0.22267
4	-0.027388	-0.2324	0.408445
5	-0.220667	-1.8724	0.032605
6	-0.210607	-1.7871	0.039068
7	-0.114978	-0.9756	0.166259
8	-0.095486	-0.8102	0.210239
9	-0.154613	-1.3119	0.096855
10	-0.045357	-0.3849	0.350736
11	-0.042151	-0.3577	0.360821
12	-0.077544	-0.658	0.256323
13	-0.137663	-1.1681	0.123308
14	-0.032014	-0.2716	0.393336
15	0.009318	0.0791	0.468599
16	-0.084878	-0.7202	0.236862
17	-0.100792	-0.8552	0.197625
18	-0.088566	-0.7515	0.227398
19	-0.062449	-0.5299	0.298905
20	-0.072322	-0.6137	0.270683
21	0.025495	0.2163	0.414671
22	0.054971	0.4664	0.321152
23	0.087112	0.7392	0.231104
24	0.069946	0.5935	0.277349
25	0.158771	1.3472	0.091068
26	0.113615	0.9641	0.169123
27	0.018328	0.1555	0.438423
28	-0.045209	-0.3836	0.351198
29	-0.055637	-0.4721	0.319143
30	-0.051849	-0.44	0.330646
31	-0.076838	-0.652	0.258242
32	-0.039384	-0.3342	0.369605
33	-0.015224	-0.1292	0.448789
34	-0.003801	-0.0323	0.487179
35	0.051721	0.4389	0.331035
36	0.037284	0.3164	0.37632
37	0.027719	0.2352	0.407359
38	-0.024697	-0.2096	0.417301
39	-0.02772	-0.2352	0.407357
40	-0.022451	-0.1905	0.424724
41	-0.015541	-0.1319	0.447727
42	-0.011005	-0.0934	0.462929
43	-0.064177	-0.5446	0.29387
44	-0.026245	-0.2227	0.412203
45	-0.003065	-0.026	0.489662
46	0.025085	0.2129	0.416021
47	0.030037	0.2549	0.399775
48	-0.005525	-0.0469	0.48137

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.589352	5.0008	2e-06
2	0.062208	0.5279	0.299612
3	-0.24707	-2.0965	0.019778
4	-0.016806	-0.1426	0.443499
5	-0.199011	-1.6887	0.047806
6	0.026355	0.2236	0.411839
7	0.156524	1.3282	0.094161
8	-0.141109	-1.1974	0.117548
9	-0.197932	-1.6795	0.048694
10	0.1832	1.5545	0.062225
11	-0.070703	-0.5999	0.275215
12	-0.146133	-1.24	0.109504
13	-0.031409	-0.2665	0.395301
14	0.080964	0.687	0.247143
15	0.037373	0.3171	0.376035
16	-0.223264	-1.8945	0.031091
17	-0.091269	-0.7744	0.220602
18	0.012302	0.1044	0.458576
19	0.081398	0.6907	0.245992
20	-0.025211	-0.2139	0.415605
21	-0.029638	-0.2515	0.401078
22	-0.098606	-0.8367	0.202765
23	0.147502	1.2516	0.107384
24	0.045247	0.3839	0.351078
25	-0.011976	-0.1016	0.45967
26	-0.06015	-0.5104	0.305669
27	-0.098074	-0.8322	0.204028
28	0.058865	0.4995	0.309478
29	-0.025488	-0.2163	0.414692
30	0.003866	0.0328	0.48696
31	-0.052257	-0.4434	0.329397
32	0.011615	0.0986	0.460882
33	-0.004141	-0.0351	0.486034
34	0.035564	0.3018	0.381849
35	0.056949	0.4832	0.315201
36	-0.128874	-1.0935	0.138902
37	0.010463	0.0888	0.46475
38	0.037991	0.3224	0.374054
39	0.001755	0.0149	0.494081
40	-0.06557	-0.5564	0.28984
41	0.036913	0.3132	0.37751
42	0.008388	0.0712	0.471727
43	-0.102224	-0.8674	0.194303
44	0.078685	0.6677	0.253242
45	0.004804	0.0408	0.483797
46	-0.039624	-0.3362	0.368841
47	0.032432	0.2752	0.391978
48	-0.081435	-0.691	0.245893

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242301822fsrmf0r8y5ztgll/19g9v1242301773.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242301822fsrmf0r8y5ztgll/19g9v1242301773.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242301822fsrmf0r8y5ztgll/2d4gv1242301773.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242301822fsrmf0r8y5ztgll/2d4gv1242301773.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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