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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: Wed, 25 Nov 2009 03:38:28 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Nov/25/t12591455652jwb93orb24plhy.htm/, Retrieved Wed, 25 Nov 2009 11:39:28 +0100

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/Nov/25/t12591455652jwb93orb24plhy.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 «

99.9 98.6 107.2 95.7 93.7 106.7 86.7 95.3 99.3 101.8 96 91.7 95.3 96.6 107.2 108 98.4 103.1 81.1 96.6 103.7 106.6 97.6 87.6 99.4 98.5 105.2 104.6 97.5 108.9 86.8 88.9 110.3 114.8 94.6 92 93.8 93.8 107.6 101 95.4 96.5 89.2 87.1 110.5 110.8 104.2 88.9 89.8 90 93.9 91.3 87.8 99.7 73.5 79.2 96.9 95.2 95.6 89.7

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.424701	-2.9116	0.002742
2	-0.021552	-0.1478	0.441586
3	-0.06177	-0.4235	0.336941
4	0.034865	0.239	0.406064
5	-0.011522	-0.079	0.468688
6	0.018374	0.126	0.450148
7	0.062755	0.4302	0.334498
8	-0.162278	-1.1125	0.135786
9	0.154756	1.061	0.147067
10	-0.056244	-0.3856	0.35077
11	0.088735	0.6083	0.272947
12	-0.36406	-2.4959	0.008066
13	0.259213	1.7771	0.041014
14	0.12258	0.8404	0.202479
15	-0.138654	-0.9506	0.173344
16	-0.026434	-0.1812	0.428486
17	0.049211	0.3374	0.368669
18	0.076458	0.5242	0.301313
19	-0.129399	-0.8871	0.189768
20	0.129379	0.887	0.189804
21	-0.079425	-0.5445	0.294333
22	-0.097885	-0.6711	0.252731
23	0.146192	1.0022	0.160679
24	-0.036503	-0.2503	0.401742
25	-0.03594	-0.2464	0.403225
26	-0.062904	-0.4312	0.334131
27	0.117454	0.8052	0.212373
28	-0.083338	-0.5713	0.285246
29	0.039259	0.2691	0.394498
30	-0.077153	-0.5289	0.299671
31	0.135554	0.9293	0.178738
32	-0.050687	-0.3475	0.364887
33	0.01781	0.1221	0.451671
34	0.032301	0.2214	0.412853
35	-0.091733	-0.6289	0.266234
36	-0.027932	-0.1915	0.424482

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.424701	-2.9116	0.002742
2	-0.246359	-1.689	0.048927
3	-0.230953	-1.5833	0.060026
4	-0.147329	-1.01	0.158824
5	-0.119818	-0.8214	0.207775
6	-0.072997	-0.5004	0.309549
7	0.046564	0.3192	0.375485
8	-0.142642	-0.9779	0.166565
9	0.035378	0.2425	0.404707
10	0.009309	0.0638	0.474693
11	0.115716	0.7933	0.215793
12	-0.364585	-2.4995	0.007994
13	-0.130544	-0.895	0.187683
14	0.147915	1.0141	0.157874
15	-0.023184	-0.1589	0.437198
16	-0.127526	-0.8743	0.193207
17	0.024862	0.1704	0.432696
18	0.193624	1.3274	0.095391
19	0.002856	0.0196	0.49223
20	-0.037055	-0.254	0.400287
21	0.115614	0.7926	0.215995
22	-0.09648	-0.6614	0.255781
23	-0.014985	-0.1027	0.459305
24	-0.178828	-1.226	0.113157
25	0.004797	0.0329	0.486951
26	0.02588	0.1774	0.429969
27	-0.103488	-0.7095	0.240766
28	-0.156698	-1.0743	0.144093
29	0.083399	0.5718	0.285107
30	-0.024907	-0.1708	0.432576
31	-0.036014	-0.2469	0.403029
32	-0.009274	-0.0636	0.474786
33	0.173295	1.1881	0.120391
34	-0.02487	-0.1705	0.432673
35	-0.038901	-0.2667	0.395436
36	-0.15538	-1.0652	0.146106

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t12591455652jwb93orb24plhy/1ag6e1259145505.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t12591455652jwb93orb24plhy/1ag6e1259145505.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t12591455652jwb93orb24plhy/2evwy1259145505.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t12591455652jwb93orb24plhy/2evwy1259145505.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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