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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: Mon, 03 May 2010 15:07:45 +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/May/03/t1272899338pkxf7948haoebhb.htm/, Retrieved Mon, 03 May 2010 17:09:00 +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/May/03/t1272899338pkxf7948haoebhb.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 «

93.2 96 95.2 77.1 70.9 64.8 70.1 77.3 79.5 100.6 100.7 107.1 95.9 82.8 83.3 80 80.4 67.5 75.7 71.1 89.3 101.1 105.2 114.1 96.3 84.4 91.2 81.9 80.5 70.4 74.8 75.9 86.3 98.7 100.9 113.8 89.8 84.4 87.2 85.6 72 69.2 77.5 78.1 94.3 97.7 100.2 116.4 97.1 93 96 80.5 76.1 69.9 73.6 92.6 94.2 93.5 108.5 109.4 105.1 92.5 97.1 81.4 79.1 72.1 78.7 87.1 91.4 109.9 116.3 113 100 84.8 94.3 87.1 90.3 72.4 84.9 92.7 92.2 114.9 112.5 118.3 106 91.2 96.6 96.3 88.2 70.2 86.5 88.2 102.8 119.1 119.2 125.1 106.1 102.1 105.2 101 84.3 87.5 92.7 94.4 113 113.9 122.9 132.7 106.9 96.6 127.3 98.2 100.2 89.4 95.3 104.2 106.4 116.2 135.9 134 104.6 107.1 123.5 98.8 98.6 90.6 89.1 105.2 114 122.1 138 142.2 116.4 112.6 123.8 103.6 113.9 98.6 95 116 113.9 127.5 131.4 145.9 131.5 131 130.5 118.9 114.3 85.7 104.6 105.1 117.3 142.5 140 159.8 131.2 125.4 126.5 119.4 113.5 98.7 114.5 113. etc...

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	-0.227653	-4.9616	0
2	-0.116247	-2.5336	0.005806
3	0.09011	1.9639	0.025063
4	-0.152634	-3.3266	0.000474
5	0.051248	1.1169	0.132298
6	-0.22773	-4.9633	0
7	-0.125648	-2.7384	0.003203
8	0.017159	0.374	0.354293
9	0.045957	1.0016	0.158521
10	-0.192958	-4.2054	1.6e-05
11	0.109733	2.3916	0.008582
12	0.553555	12.0644	0
13	-0.135928	-2.9625	0.001602
14	0.065338	1.424	0.077549
15	-0.035604	-0.776	0.219077
16	-0.15752	-3.4331	0.000325
17	0.133997	2.9204	0.001831
18	-0.331765	-7.2306	0
19	-0.047081	-1.0261	0.15268
20	0.058668	1.2786	0.100823
21	-0.080625	-1.7572	0.039765
22	-0.104025	-2.2672	0.011914
23	0.126933	2.7664	0.002944
24	0.429748	9.3661	0
25	-0.041158	-0.897	0.18508
26	0.073776	1.6079	0.05426
27	-0.116177	-2.532	0.005831
28	-0.062461	-1.3613	0.087033
29	0.130641	2.8473	0.0023
30	-0.433081	-9.4388	0
31	0.032949	0.7181	0.236523
32	0.085049	1.8536	0.032209
33	-0.19384	-4.2247	1.4e-05
34	0.039494	0.8608	0.194902
35	0.063684	1.388	0.0829
36	0.344687	7.5123	0
37	0.138356	3.0154	0.001352
38	-0.074757	-1.6293	0.051958
39	-0.127082	-2.7697	0.002915
40	0.066022	1.4389	0.075415
41	0.020296	0.4423	0.329221
42	-0.431767	-9.4101	0
43	0.170472	3.7153	0.000114
44	-0.078896	-1.7195	0.043087
45	-0.149368	-3.2554	0.000607
46	0.151594	3.3039	0.000513
47	-0.089546	-1.9516	0.025786
48	0.427739	9.3224	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.227653	-4.9616	0
2	-0.17726	-3.8633	6.4e-05
3	0.020254	0.4414	0.329556
4	-0.157049	-3.4228	0.000337
5	-0.009981	-0.2175	0.413947
6	-0.294186	-6.4116	0
7	-0.288104	-6.2791	0
8	-0.283937	-6.1883	0
9	-0.156524	-3.4114	0.000351
10	-0.533336	-11.6238	0
11	-0.58767	-12.808	0
12	0.006162	0.1343	0.446612
13	-0.094895	-2.0682	0.019581
14	0.05714	1.2453	0.106812
15	0.110661	2.4118	0.008126
16	0.005395	0.1176	0.453229
17	0.103859	2.2636	0.012026
18	-0.024045	-0.524	0.300246
19	0.110746	2.4137	0.008085
20	0.128083	2.7915	0.002729
21	0.178291	3.8858	5.8e-05
22	0.035986	0.7843	0.216627
23	-0.195146	-4.2531	1.3e-05
24	0.01489	0.3245	0.372846
25	-0.024697	-0.5383	0.295324
26	0.033925	0.7394	0.230021
27	0.026129	0.5695	0.284654
28	0.018458	0.4023	0.343828
29	0.168524	3.6729	0.000134
30	-0.060232	-1.3127	0.094953
31	-0.056386	-1.2289	0.109857
32	0.092753	2.0215	0.021893
33	-0.053211	-1.1597	0.123373
34	0.030207	0.6583	0.255317
35	-0.094208	-2.0532	0.0203
36	-0.046617	-1.016	0.155072
37	0.137525	2.9973	0.001433
38	0.01684	0.367	0.356884
39	-0.050609	-1.103	0.135292
40	-0.01892	-0.4124	0.340131
41	0.089317	1.9466	0.026084
42	-0.110194	-2.4016	0.008353
43	0.097052	2.1152	0.017467
44	0.103925	2.265	0.011982
45	-0.066803	-1.4559	0.073034
46	0.058239	1.2693	0.102478
47	-0.038531	-0.8398	0.200733
48	-0.003545	-0.0773	0.469223

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/03/t1272899338pkxf7948haoebhb/1wge61272899263.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272899338pkxf7948haoebhb/1wge61272899263.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272899338pkxf7948haoebhb/27pvq1272899263.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272899338pkxf7948haoebhb/27pvq1272899263.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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