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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, 17 Nov 2010 17:44:34 +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/Nov/17/t1290015922429vn44j7bq8sxg.htm/, Retrieved Wed, 17 Nov 2010 18:45:24 +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/Nov/17/t1290015922429vn44j7bq8sxg.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:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

95,05 96,84 96,92 97,44 97,78 97,69 96,67 98,29 98,2 98,71 98,54 98,2 96,92 99,06 99,65 99,82 99,99 100,33 99,31 101,1 101,1 100,93 100,85 100,93 99,6 101,88 101,81 102,38 102,74 102,82 101,72 103,47 102,98 102,68 102,9 103,03 101,29 103,69 103,68 104,2 104,08 104,16 103,05 104,66 104,46 104,95 105,85 106,23 104,86 107,44 108,23 108,45 109,39 110,15 109,13 110,28 110,17 109,99 109,26 109,11 107,06 109,53 108,92 109,24 109,12 109 107,23 109,49 109,04 109,02 109,23 109,46

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.932661	7.9139	0
2	0.899455	7.6321	0
3	0.861649	7.3113	0
4	0.825565	7.0052	0
5	0.784001	6.6525	0
6	0.774666	6.5733	0
7	0.707769	6.0056	0
8	0.671656	5.6992	0
9	0.631172	5.3557	0
10	0.595117	5.0497	2e-06
11	0.552289	4.6863	6e-06
12	0.536825	4.5551	1e-05
13	0.464929	3.9451	9.2e-05
14	0.424758	3.6042	0.000287
15	0.382501	3.2456	0.00089
16	0.338257	2.8702	0.002691
17	0.291846	2.4764	0.007811
18	0.271539	2.3041	0.012053
19	0.204221	1.7329	0.043699
20	0.168488	1.4297	0.078568
21	0.134692	1.1429	0.128433
22	0.099949	0.8481	0.199598
23	0.062797	0.5329	0.297888
24	0.054468	0.4622	0.322675
25	-0.001671	-0.0142	0.494363
26	-0.028686	-0.2434	0.404191
27	-0.056089	-0.4759	0.317783
28	-0.078127	-0.6629	0.254747
29	-0.102066	-0.8661	0.194668
30	-0.102692	-0.8714	0.193225
31	-0.143059	-1.2139	0.114378
32	-0.158935	-1.3486	0.090845
33	-0.180336	-1.5302	0.065175
34	-0.202567	-1.7188	0.04497
35	-0.22653	-1.9222	0.02927
36	-0.226106	-1.9186	0.029502
37	-0.268817	-2.281	0.012755
38	-0.287153	-2.4366	0.00865
39	-0.306623	-2.6018	0.005625
40	-0.323974	-2.749	0.003776
41	-0.346382	-2.9391	0.00221
42	-0.349689	-2.9672	0.002038
43	-0.383559	-3.2546	0.000866
44	-0.399452	-3.3895	0.00057
45	-0.416579	-3.5348	0.000359
46	-0.428795	-3.6384	0.000256
47	-0.437752	-3.7144	0.000199
48	-0.427262	-3.6254	0.000267

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.932661	7.9139	0
2	0.227428	1.9298	0.028786
3	0.011631	0.0987	0.460829
4	-0.007182	-0.0609	0.475788
5	-0.05869	-0.498	0.310001
6	0.218105	1.8507	0.034159
7	-0.369816	-3.138	0.001233
8	0.060831	0.5162	0.30366
9	0.000586	0.005	0.498022
10	0.010019	0.085	0.466242
11	-0.018472	-0.1567	0.437943
12	0.046959	0.3985	0.345734
13	-0.271139	-2.3007	0.012154
14	0.029198	0.2478	0.402515
15	0.018179	0.1543	0.43892
16	-0.070548	-0.5986	0.275653
17	0.008612	0.0731	0.470974
18	0.009931	0.0843	0.466539
19	-0.126574	-1.074	0.143201
20	0.024948	0.2117	0.416473
21	0.039099	0.3318	0.370515
22	-0.021675	-0.1839	0.427297
23	-0.002316	-0.0197	0.492188
24	0.056929	0.4831	0.315261
25	-0.12946	-1.0985	0.137823
26	-0.000279	-0.0024	0.499058
27	-0.009504	-0.0806	0.467973
28	0.059412	0.5041	0.307854
29	0.017641	0.1497	0.440714
30	-0.01313	-0.1114	0.455799
31	-0.040731	-0.3456	0.36532
32	-0.038035	-0.3227	0.373916
33	-0.056957	-0.4833	0.315177
34	-0.05162	-0.438	0.331345
35	-0.011307	-0.0959	0.461915
36	0.005155	0.0437	0.482616
37	-0.098226	-0.8335	0.203667
38	-0.043516	-0.3692	0.356514
39	-0.016394	-0.1391	0.444877
40	0.000899	0.0076	0.496968
41	-0.050012	-0.4244	0.336282
42	-0.06173	-0.5238	0.301014
43	0.009243	0.0784	0.468853
44	-0.065828	-0.5586	0.289094
45	-0.024185	-0.2052	0.418991
46	0.01347	0.1143	0.454662
47	0.065258	0.5537	0.29074
48	0.01586	0.1346	0.44666

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/17/t1290015922429vn44j7bq8sxg/1oxy51290015872.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/17/t1290015922429vn44j7bq8sxg/1oxy51290015872.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/17/t1290015922429vn44j7bq8sxg/2oxy51290015872.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/17/t1290015922429vn44j7bq8sxg/2oxy51290015872.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')

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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