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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: Tue, 12 Jan 2010 06:23:10 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Jan/12/t12633026434czmcu4vahs3oxt.htm/, Retrieved Tue, 12 Jan 2010 14:24:05 +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/2010/Jan/12/t12633026434czmcu4vahs3oxt.htm/},
    year = {2010},
}
@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 = {2010},
    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:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

100.7 105.9 115.4 113.9 121.5 119.5 115.8 116.3 113.5 110.7 116.9 141.1 101.8 102.9 119 112.8 120.9 123.1 121.9 119.4 110.9 116.8 120.6 143.3 106.4 106.9 125.6 110.9 127 124.3 121.3 124.4 113.2 120.2 122.6 143.3 106.5 105.9 114 121.6 119.7 122.5 126.5 118.2 115.5 120.1 115.3 146.5 107.7 106.3 121.8 115.8 115.4 124.3 121.7 118.7 113.5 113.4 115.1 144.2 100.9 103.2 121.3 111.9 117.3 124.2 122 119.6 114.9 112.2 115.3 143 104 105.3 124.3 114.1 124.8 131.9 125.8 125.2 119.8 116.2 120.2 148.6 109.4 109.6 135.2 115.2 129.1 138.8 126 130.7 120.5 126.5 128 151.7 114.8 118.9 131.5 124.8 137 137.1 137 131.3 126 129.7 125.1 157.8

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	-0.426231	-4.409	1.2e-05
2	-0.191913	-1.9852	0.024843
3	0.214591	2.2198	0.014273
4	-0.156456	-1.6184	0.054261
5	0.0206	0.2131	0.415832
6	0.095846	0.9914	0.161854
7	0.024588	0.2543	0.399859
8	-0.109589	-1.1336	0.129748
9	0.193232	1.9988	0.024082
10	-0.192925	-1.9956	0.024258
11	-0.372762	-3.8559	9.9e-05
12	0.816612	8.4471	0
13	-0.353353	-3.6551	2e-04
14	-0.146787	-1.5184	0.065934
15	0.162162	1.6774	0.04819
16	-0.116169	-1.2017	0.116074
17	0.013464	0.1393	0.444747
18	0.070121	0.7253	0.234915
19	0.033029	0.3417	0.366639
20	-0.088962	-0.9202	0.179761
21	0.149355	1.5449	0.062657
22	-0.145341	-1.5034	0.067839
23	-0.331759	-3.4317	0.000427
24	0.69182	7.1562	0
25	-0.276871	-2.864	0.002518
26	-0.141922	-1.4681	0.072512
27	0.129947	1.3442	0.090866
28	-0.08905	-0.9211	0.179524
29	0.00729	0.0754	0.470015
30	0.047739	0.4938	0.311226
31	0.041432	0.4286	0.334546
32	-0.063463	-0.6565	0.256466
33	0.115372	1.1934	0.117673
34	-0.116638	-1.2065	0.11514
35	-0.292192	-3.0225	0.001569
36	0.578438	5.9834	0
37	-0.227237	-2.3506	0.010289
38	-0.119029	-1.2312	0.110465
39	0.122232	1.2644	0.10442
40	-0.094429	-0.9768	0.165439
41	0.011583	0.1198	0.452427
42	0.041715	0.4315	0.333486
43	0.029646	0.3067	0.379849
44	-0.039533	-0.4089	0.341703
45	0.079781	0.8253	0.20553
46	-0.085471	-0.8841	0.189308
47	-0.242857	-2.5121	0.006747
48	0.458413	4.7419	3e-06

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.426231	-4.409	1.2e-05
2	-0.456523	-4.7223	4e-06
3	-0.153039	-1.583	0.058181
4	-0.283459	-2.9321	0.002059
5	-0.223638	-2.3133	0.011308
6	-0.150328	-1.555	0.061449
7	0.040646	0.4204	0.337503
8	-0.038759	-0.4009	0.344638
9	0.288985	2.9893	0.001735
10	0.085776	0.8873	0.188461
11	-0.630835	-6.5254	0
12	0.425323	4.3996	1.3e-05
13	0.117078	1.2111	0.11427
14	0.118392	1.2247	0.111697
15	-0.190766	-1.9733	0.02552
16	0.03264	0.3376	0.36815
17	0.026121	0.2702	0.393764
18	0.045003	0.4655	0.321254
19	0.011373	0.1176	0.453284
20	-0.001484	-0.0154	0.49389
21	-0.106371	-1.1003	0.136834
22	0.026804	0.2773	0.391055
23	-0.020572	-0.2128	0.415947
24	0.098213	1.0159	0.155979
25	0.067414	0.6973	0.243552
26	-0.002828	-0.0293	0.488357
27	-0.01996	-0.2065	0.418409
28	-0.015295	-0.1582	0.437292
29	0.024694	0.2554	0.399437
30	-0.031252	-0.3233	0.373559
31	-0.043662	-0.4516	0.326219
32	-0.008856	-0.0916	0.463589
33	0.018153	0.1878	0.425703
34	0.016852	0.1743	0.430974
35	0.042932	0.4441	0.328936
36	0.005248	0.0543	0.478405
37	-0.03863	-0.3996	0.345128
38	-0.025634	-0.2652	0.395698
39	0.071261	0.7371	0.231328
40	-0.043592	-0.4509	0.32648
41	-0.046217	-0.4781	0.316786
42	-0.015517	-0.1605	0.436393
43	0.006908	0.0715	0.471583
44	0.006184	0.064	0.474558
45	-0.037225	-0.3851	0.350478
46	0.001858	0.0192	0.492351
47	0.039739	0.4111	0.340925
48	-0.054661	-0.5654	0.286488

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jan/12/t12633026434czmcu4vahs3oxt/11t181263302587.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jan/12/t12633026434czmcu4vahs3oxt/11t181263302587.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jan/12/t12633026434czmcu4vahs3oxt/2r78e1263302587.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jan/12/t12633026434czmcu4vahs3oxt/2r78e1263302587.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; 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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