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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, 21 May 2009 09:07:24 -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/21/t1242918472nhnnl9r2x4gi9q1.htm/, Retrieved Thu, 21 May 2009 17:07:52 +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/21/t1242918472nhnnl9r2x4gi9q1.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 «

4.43 4.43 4.44 4.44 4.44 4.45 4.47 4.48 4.48 4.5 4.52 4.52 4.53 4.53 4.63 4.66 4.67 4.68 4.69 4.69 4.7 4.71 4.72 4.72 4.72 4.73 4.74 4.76 4.81 4.82 4.83 4.83 4.84 4.89 4.92 4.95 4.95 5.01 5.05 5.08 5.11 5.14 5.17 5.18 5.2 5.22 5.24 5.28 5.29 5.33 5.4 5.43 5.46 5.46 5.46 5.47 5.49 5.5 5.54 5.55 5.55 5.56 5.6 5.61 5.63 5.64 5.66 5.67 5.69 5.77 5.77 5.78 5.8 5.82 5.85 5.87 5.88 5.9 5.91 5.94 5.97 5.98 6 6.01 6.02

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.969908	8.9421	0
2	0.938694	8.6543	0
3	0.90685	8.3607	0
4	0.874455	8.0621	0
5	0.841065	7.7542	0
6	0.80769	7.4465	0
7	0.774811	7.1434	0
8	0.74127	6.8342	0
9	0.707156	6.5197	0
10	0.672895	6.2038	0
11	0.638821	5.8896	0
12	0.604555	5.5737	0
13	0.570027	5.2554	1e-06
14	0.534925	4.9318	2e-06
15	0.502334	4.6313	6e-06
16	0.469716	4.3306	2e-05
17	0.439493	4.0519	5.6e-05
18	0.409239	3.773	0.000149
19	0.378595	3.4905	0.000383
20	0.347387	3.2028	0.000958
21	0.315876	2.9122	0.002291
22	0.284416	2.6222	0.005176
23	0.252538	2.3283	0.011136
24	0.220937	2.0369	0.022384
25	0.188535	1.7382	0.042898
26	0.15538	1.4325	0.077829
27	0.122103	1.1257	0.131723
28	0.090024	0.83	0.204439
29	0.058946	0.5435	0.294121
30	0.027986	0.258	0.398507
31	-0.003281	-0.0302	0.487971
32	-0.03554	-0.3277	0.371987
33	-0.068506	-0.6316	0.264672
34	-0.099523	-0.9176	0.180724
35	-0.129249	-1.1916	0.118365
36	-0.156289	-1.4409	0.076642
37	-0.182867	-1.686	0.047736
38	-0.207816	-1.916	0.029365
39	-0.230572	-2.1258	0.018212
40	-0.252106	-2.3243	0.011248
41	-0.27254	-2.5127	0.006935
42	-0.291988	-2.692	0.004276
43	-0.310718	-2.8647	0.002629
44	-0.328509	-3.0287	0.001626
45	-0.345134	-3.182	0.001022
46	-0.360417	-3.3229	0.000658
47	-0.374318	-3.451	0.000436
48	-0.385823	-3.5571	0.000308

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.969908	8.9421	0
2	-0.034209	-0.3154	0.37662
3	-0.026392	-0.2433	0.404171
4	-0.025633	-0.2363	0.406874
5	-0.033699	-0.3107	0.3784
6	-0.017139	-0.158	0.43741
7	-0.009726	-0.0897	0.464382
8	-0.029752	-0.2743	0.392261
9	-0.028515	-0.2629	0.396633
10	-0.022116	-0.2039	0.419461
11	-0.017196	-0.1585	0.437206
12	-0.023615	-0.2177	0.414086
13	-0.025384	-0.234	0.407762
14	-0.031749	-0.2927	0.38523
15	0.020075	0.1851	0.426803
16	-0.023044	-0.2125	0.41613
17	0.018317	0.1689	0.433147
18	-0.023394	-0.2157	0.414874
19	-0.030201	-0.2784	0.390676
20	-0.032241	-0.2972	0.383502
21	-0.028138	-0.2594	0.39797
22	-0.023329	-0.2151	0.415108
23	-0.031249	-0.2881	0.386986
24	-0.021313	-0.1965	0.422347
25	-0.040093	-0.3696	0.356286
26	-0.040143	-0.3701	0.356116
27	-0.029907	-0.2757	0.391713
28	-0.009625	-0.0887	0.464748
29	-0.010929	-0.1008	0.459988
30	-0.02858	-0.2635	0.396404
31	-0.03286	-0.303	0.381331
32	-0.049191	-0.4535	0.325666
33	-0.043892	-0.4047	0.343371
34	-0.00089	-0.0082	0.496734
35	-0.013547	-0.1249	0.450449
36	0.010548	0.0972	0.461381
37	-0.027913	-0.2573	0.398766
38	-0.006609	-0.0609	0.475777
39	0.001868	0.0172	0.493151
40	-0.012935	-0.1193	0.452676
41	-0.015594	-0.1438	0.443011
42	-0.016328	-0.1505	0.440349
43	-0.020828	-0.192	0.424092
44	-0.014725	-0.1358	0.446166
45	-0.011038	-0.1018	0.45959
46	-0.011783	-0.1086	0.456876
47	-0.012001	-0.1106	0.45608
48	0.008939	0.0824	0.467256

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/21/t1242918472nhnnl9r2x4gi9q1/1jhu11242918439.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/21/t1242918472nhnnl9r2x4gi9q1/1jhu11242918439.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/21/t1242918472nhnnl9r2x4gi9q1/2jg3j1242918439.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/21/t1242918472nhnnl9r2x4gi9q1/2jg3j1242918439.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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