*Unverified author*

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 18:46:54 +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/t1272912520kw18ke4b7et0kxo.htm/, Retrieved Mon, 03 May 2010 20:48:43 +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/t1272912520kw18ke4b7et0kxo.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 «

464 675 703 887 1139 1077 1318 1260 1120 963 996 960 530 883 894 1045 1199 1287 1565 1577 1076 918 1008 1063 544 635 804 980 1018 1064 1404 1286 1104 999 996 1015 615 722 832 977 1270 1437 1520 1708 1151 934 1159 1209 699 830 996 1124 1458 1270 1753 2258 1208 1241 1265 1828 809 997 1164 1205 1538 1513 1378 2083 1357 1536 1526 1376 779 1005 1193 1522 1539 1546 2116 2326 1596 1356 1553 1613 814 1150 1225 1691 1759 1754 2100 2062 2012 1897 1964 2186 966 1549 1538 1612 2078 2137 2907 2249 1883 1739 1828 1868 1138 1430 1809 1763 2200 2067 2503 2141 2103 1972 2181 2344 970 1199 1718 1683 2025 2051 2439 2353 2230 1852 2147 2286 1007 1665 1642 1518 1831 2207 2822 2393 2306 1785 2047 2171 1212 1335 2011 1860 1954 2152 2835 2224 2182 1992 2389 2724 891 1247 2017 2257 2255 2255 3057 3330 1896 2096 2374 2535 1041 1728 2201 2455 2204 2660 3670 2665 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 0.705659 9.6497 0 2 0.53662 7.3382 0 3 0.506422 6.9252 0 4 0.451951 6.1803 0 5 0.31378 4.2909 1.4e-05 6 0.190546 2.6057 0.004954 7 0.350658 4.7952 2e-06 8 0.463151 6.3335 0 9 0.482753 6.6015 0 10 0.501499 6.8579 0 11 0.62247 8.5122 0 12 0.781462 10.6863 0 13 0.558073 7.6315 0 14 0.421712 5.7668 0 15 0.405315 5.5426 0 16 0.351214 4.8028 2e-06 17 0.211285 2.8893 0.002159 18 0.109626 1.4991 0.067765 19 0.26843 3.6707 0.000158 20 0.347596 4.7533 2e-06 21 0.376271 5.1454 0 22 0.401018 5.4838 0 23 0.526829 7.2043 0 24 0.642443 8.7853 0 25 0.446593 6.1071 0 26 0.321237 4.3928 9e-06 27 0.291247 3.9827 4.9e-05 28 0.235109 3.2151 0.000768 29 0.116761 1.5967 0.056012 30 0.04995 0.6831 0.24771 31 0.175779 2.4037 0.008602 32 0.237945 3.2538 0.000676 33 0.271133 3.7077 0.000138 34 0.287794 3.9355 5.8e-05 35 0.38531 5.269 0 36 0.51103 6.9882 0 37 0.337303 4.6125 4e-06 38 0.22915 3.1336 0.001003 39 0.190966 2.6114 0.004874 40 0.146886 2.0086 0.023007 41 0.038363 0.5246 0.30024 42 -0.03071 -0.42 0.337501 43 0.087334 1.1943 0.116943 44 0.140877 1.9265 0.027781 45 0.183859 2.5142 0.006386 46 0.212217 2.902 0.002076 47 0.286252 3.9144 6.3e-05 48 0.384607 5.2594 0 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.705659 9.6497 0 2 0.077016 1.0532 0.14681 3 0.205518 2.8104 0.002737 4 0.032645 0.4464 0.327906 5 -0.135586 -1.8541 0.032649 6 -0.110941 -1.5171 0.065466 7 0.441646 6.0394 0 8 0.247495 3.3844 0.000434 9 0.186284 2.5474 0.005829 10 0.060765 0.831 0.203531 11 0.203169 2.7783 0.003011 12 0.435068 5.9495 0 13 -0.286508 -3.9179 6.3e-05 14 -0.090693 -1.2402 0.108227 15 -0.06691 -0.915 0.180691 16 -0.056206 -0.7686 0.221549 17 -0.10045 -1.3736 0.085601 18 -0.121854 -1.6663 0.048661 19 -0.026966 -0.3688 0.356362 20 -0.077685 -1.0623 0.144728 21 0.09795 1.3395 0.091025 22 -0.015645 -0.2139 0.415413 23 0.120909 1.6534 0.049963 24 0.136063 1.8606 0.032183 25 -0.02025 -0.2769 0.391075 26 -0.050592 -0.6918 0.24495 27 -0.060807 -0.8315 0.20337 28 -0.019669 -0.269 0.394125 29 0.0442 0.6044 0.273146 30 0.006838 0.0935 0.462801 31 -0.167463 -2.29 0.011568 32 -0.086188 -1.1786 0.120028 33 -0.004047 -0.0553 0.477964 34 -0.051106 -0.6989 0.242753 35 -0.029146 -0.3986 0.345335 36 0.223741 3.0596 0.001271 37 -0.05089 -0.6959 0.243675 38 0.023602 0.3228 0.37362 39 -0.023409 -0.3201 0.374619 40 0.036732 0.5023 0.308022 41 0.059543 0.8142 0.208271 42 -0.011219 -0.1534 0.439119 43 -0.037958 -0.5191 0.302166 44 -0.104164 -1.4244 0.077996 45 0.012769 0.1746 0.430786 46 0.009519 0.1302 0.448287 47 -0.048617 -0.6648 0.253492 48 -0.040084 -0.5481 0.292126

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/03/t1272912520kw18ke4b7et0kxo/19h4j1272912413.png (open in new window) http://www.freestatistics.org/blog/date/2010/May/03/t1272912520kw18ke4b7et0kxo/19h4j1272912413.ps (open in new window) http://www.freestatistics.org/blog/date/2010/May/03/t1272912520kw18ke4b7et0kxo/229mm1272912413.png (open in new window) http://www.freestatistics.org/blog/date/2010/May/03/t1272912520kw18ke4b7et0kxo/229mm1272912413.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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')

Copyright

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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