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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, 14 May 2009 12:27:23 -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/t1242325660dh3djhi71n9llj3.htm/, Retrieved Thu, 14 May 2009 20:27:43 +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/t1242325660dh3djhi71n9llj3.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 «

3851.3 3851.8 3854.1 3858.4 3861.6 3856.3 3855.8 3860.4 3855.1 3839.5 3833 3833.6 3826.8 3818.2 3811.4 3806.8 3810.3 3818.2 3858.9 3867.8 3872.3 3873.3 3876.7 3882.6 3883.5 3882.2 3888.1 3893.7 3901.9 3914.3 3930.3 3948.3 3971.5 3990.1 3993 3998 4015.8 4041.2 4060.7 4076.7 4103 4125.3 4139.7 4146.7 4158 4155.1 4144.8 4148.2 4142.5 4142.1 4145.4 4146.3 4143.5 4149.2 4158.9 4166.1 4179.1 4194.4 4211.7 4226.3 4235.8 4243.6 4258.7 4278.2 4298 4315.1 4334.3 4356 4374 4395.5 4417.8 4432.8 4446.3

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	0.958746	8.1915	0
2	0.915643	7.8233	0
3	0.871703	7.4478	0
4	0.828504	7.0787	0
5	0.786074	6.7162	0
6	0.743616	6.3535	0
7	0.702395	6.0013	0
8	0.662487	5.6603	0
9	0.62305	5.3233	1e-06
10	0.58395	4.9893	2e-06
11	0.545788	4.6632	7e-06
12	0.508367	4.3435	2.2e-05
13	0.470082	4.0164	7.1e-05
14	0.431198	3.6842	0.000219
15	0.392605	3.3544	0.000632
16	0.355115	3.0341	0.00167
17	0.319365	2.7287	0.003981
18	0.285397	2.4384	0.008592
19	0.254615	2.1754	0.016418
20	0.224912	1.9217	0.029277
21	0.195328	1.6689	0.049712
22	0.164178	1.4027	0.082467
23	0.132063	1.1283	0.131434
24	0.099622	0.8512	0.198728
25	0.0659	0.563	0.287563
26	0.029714	0.2539	0.400153
27	-0.007108	-0.0607	0.475871
28	-0.046489	-0.3972	0.346188
29	-0.086916	-0.7426	0.230049
30	-0.126081	-1.0772	0.14246
31	-0.164361	-1.4043	0.082235
32	-0.200395	-1.7122	0.045555
33	-0.232519	-1.9866	0.025358
34	-0.260483	-2.2256	0.014566
35	-0.287013	-2.4522	0.008294
36	-0.311361	-2.6603	0.004797
37	-0.331699	-2.834	0.00297
38	-0.348627	-2.9787	0.001964
39	-0.36456	-3.1148	0.001315
40	-0.38004	-3.2471	0.000881
41	-0.391729	-3.3469	0.000647
42	-0.398904	-3.4082	0.000534
43	-0.402702	-3.4407	0.000482
44	-0.403882	-3.4508	0.000466
45	-0.402631	-3.4401	0.000483
46	-0.400655	-3.4232	0.000509
47	-0.398958	-3.4087	0.000533
48	-0.396409	-3.3869	0.000571

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.958746	8.1915	0
2	-0.043934	-0.3754	0.354237
3	-0.032387	-0.2767	0.391389
4	-0.013865	-0.1185	0.453012
5	-0.014371	-0.1228	0.451308
6	-0.024685	-0.2109	0.416775
7	-0.009078	-0.0776	0.469194
8	-0.008385	-0.0716	0.471541
9	-0.019135	-0.1635	0.435294
10	-0.020506	-0.1752	0.430701
11	-0.012848	-0.1098	0.456446
12	-0.015853	-0.1354	0.446316
13	-0.036034	-0.3079	0.379527
14	-0.03264	-0.2789	0.390565
15	-0.022335	-0.1908	0.424593
16	-0.013839	-0.1182	0.453102
17	-0.006611	-0.0565	0.477555
18	-0.005713	-0.0488	0.480601
19	0.011897	0.1016	0.459659
20	-0.013938	-0.1191	0.452765
21	-0.024694	-0.211	0.416742
22	-0.044438	-0.3797	0.352644
23	-0.037544	-0.3208	0.374649
24	-0.031399	-0.2683	0.394622
25	-0.044274	-0.3783	0.353162
26	-0.060539	-0.5172	0.303274
27	-0.040275	-0.3441	0.365875
28	-0.068261	-0.5832	0.280771
29	-0.053661	-0.4585	0.323983
30	-0.027413	-0.2342	0.407737
31	-0.035249	-0.3012	0.382073
32	-0.020175	-0.1724	0.431809
33	0.002904	0.0248	0.490137
34	0.009031	0.0772	0.469353
35	-0.023156	-0.1978	0.421858
36	-0.011768	-0.1005	0.460092
37	0.013461	0.115	0.454375
38	0.00633	0.0541	0.478509
39	-0.023102	-0.1974	0.422038
40	-0.027886	-0.2383	0.406176
41	0.014364	0.1227	0.451329
42	0.022949	0.1961	0.422547
43	0.010818	0.0924	0.463304
44	0.004631	0.0396	0.484274
45	0.004987	0.0426	0.483066
46	-0.016249	-0.1388	0.444983
47	-0.023986	-0.2049	0.419096
48	-0.005047	-0.0431	0.48286

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242325660dh3djhi71n9llj3/1cuk91242325641.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242325660dh3djhi71n9llj3/1cuk91242325641.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242325660dh3djhi71n9llj3/2kxkx1242325641.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242325660dh3djhi71n9llj3/2kxkx1242325641.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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