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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: Fri, 04 Jun 2010 17:17:50 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Jun/04/t1275671942mmhnivuluftbe98.htm/, Retrieved Fri, 04 Jun 2010 19:19:04 +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/2010/Jun/04/t1275671942mmhnivuluftbe98.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 «

1664.81 2397.53 2840.71 3547.29 3752.96 3714.74 4349.61 3566.34 5021.82 6423.48 7600.60 19756.21 2499.81 5198.24 7225.14 4806.03 5900.88 4951.34 6179.12 4752.15 5496.43 5835.10 12600.08 28541.72 4717.02 5702.63 9957.58 5304.78 6492.43 6630.80 7349.62 8176.62 8573.17 9690.50 15151.84 34061.01 5921.10 5814.58 12421.25 6369.77 7609.12 7224.75 8121.22 7979.25 8093.06 8476.70 17914.66 30114.41 4826.64 6470.23 9638.77 8821.17 8722.37 10209.48 11276.55 12552.22 11637.39 13606.89 21822.11 45060.69 7615.03 9849.69 14558.40 11587.33 9332.56 13082.09 16732.78 19888.61 23933.38 25391.35 36024.80 80721.71 10243.24 11266.88 21826.84 17357.33 15997.79 18601.53 26155.15 28586.52 30505.41 30821.33 46634.38 104660.67

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	-0.232473	-2.1179	0.018586
2	-0.15713	-1.4315	0.078018
3	0.1073	0.9775	0.165569
4	0.006114	0.0557	0.477856
5	0.001618	0.0147	0.494136
6	-0.036806	-0.3353	0.369115
7	-0.021614	-0.1969	0.422189
8	-0.007174	-0.0654	0.474024
9	0.110885	1.0102	0.157664
10	-0.159509	-1.4532	0.074969
11	-0.384755	-3.5053	0.000369
12	0.645278	5.8788	0
13	-0.122238	-1.1136	0.134324
14	-0.111192	-1.013	0.157001
15	0.065876	0.6002	0.275019
16	0.015717	0.1432	0.443245
17	0.001482	0.0135	0.494629
18	-0.018174	-0.1656	0.434449
19	-0.011251	-0.1025	0.459304
20	-0.014313	-0.1304	0.448285
21	0.071279	0.6494	0.258941
22	-0.102031	-0.9295	0.177652
23	-0.240201	-2.1883	0.015728
24	0.431816	3.934	8.6e-05
25	-0.078193	-0.7124	0.239115
26	-0.090973	-0.8288	0.204797
27	0.033933	0.3091	0.378994
28	0.002733	0.0249	0.490099
29	-0.007202	-0.0656	0.473922
30	-0.019255	-0.1754	0.430587
31	0.001921	0.0175	0.493038
32	-0.023239	-0.2117	0.416423
33	0.078745	0.7174	0.23757
34	-0.092068	-0.8388	0.202
35	-0.184211	-1.6782	0.048531
36	0.34845	3.1745	0.001053
37	-0.085998	-0.7835	0.217787
38	-0.063105	-0.5749	0.283453
39	0.023552	0.2146	0.415316
40	-0.002098	-0.0191	0.492397
41	-0.012253	-0.1116	0.455693
42	-0.022076	-0.2011	0.420549
43	0.003385	0.0308	0.487737
44	-0.034188	-0.3115	0.378115
45	0.063976	0.5828	0.280788
46	-0.06494	-0.5916	0.277853
47	-0.169668	-1.5457	0.062985
48	0.278247	2.535	0.006562

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.232473	-2.1179	0.018586
2	-0.223238	-2.0338	0.022583
3	0.011927	0.1087	0.456867
4	0.005085	0.0463	0.481582
5	0.033485	0.3051	0.380541
6	-0.03026	-0.2757	0.391738
7	-0.039795	-0.3626	0.35893
8	-0.043422	-0.3956	0.346711
9	0.102934	0.9378	0.175541
10	-0.117662	-1.072	0.143424
11	-0.47529	-4.3301	2.1e-05
12	0.509813	4.6446	6e-06
13	-0.008187	-0.0746	0.470363
14	0.074206	0.676	0.250445
15	-0.023964	-0.2183	0.413857
16	0.021489	0.1958	0.422634
17	-0.046061	-0.4196	0.337918
18	-0.000736	-0.0067	0.497335
19	0.013484	0.1228	0.451263
20	-0.007689	-0.0701	0.472161
21	-0.150689	-1.3728	0.08675
22	-0.098434	-0.8968	0.186215
23	0.247596	2.2557	0.01336
24	0.082916	0.7554	0.226075
25	0.029498	0.2687	0.394399
26	-0.048728	-0.4439	0.329123
27	-0.021815	-0.1987	0.421476
28	-0.073468	-0.6693	0.252573
29	-0.0146	-0.133	0.447252
30	-0.005226	-0.0476	0.481071
31	-0.007582	-0.0691	0.472547
32	-0.125232	-1.1409	0.128593
33	0.056845	0.5179	0.302958
34	0.1087	0.9903	0.162453
35	0.019912	0.1814	0.428244
36	0.10874	0.9907	0.162363
37	-0.116278	-1.0593	0.146258
38	-0.028179	-0.2567	0.399014
39	-0.080539	-0.7337	0.232586
40	0.007848	0.0715	0.471586
41	-0.022801	-0.2077	0.417975
42	-0.026427	-0.2408	0.405169
43	-0.065245	-0.5944	0.276927
44	0.05446	0.4962	0.310549
45	0.018401	0.1676	0.433636
46	0.06132	0.5587	0.288952
47	-0.003048	-0.0278	0.488956
48	-0.085362	-0.7777	0.219484

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jun/04/t1275671942mmhnivuluftbe98/1jb251275671869.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jun/04/t1275671942mmhnivuluftbe98/1jb251275671869.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jun/04/t1275671942mmhnivuluftbe98/2u2jq1275671869.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jun/04/t1275671942mmhnivuluftbe98/2u2jq1275671869.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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