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WS8

*The author of this computation has been verified*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 13 Dec 2009 08:12:12 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/13/t1260717189dvp7p8s4lup65sc.htm/, Retrieved Wed, 22 May 2013 11:46:36 +0000

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

System-generated keywords (parent):

t1259182122kdokoop46mjanl0 (pk = 59636)

Estimated Impact

Dataseries X:

» Textfile « » CSV « » Stem and Leaf « » Histogram « » Kernel Density « » Harrell-Davis Quantiles « » Central Tendency « » Variability «

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	0.253837	1.7402	0.044183
2	-0.002747	-0.0188	0.492526
3	0.085656	0.5872	0.27993
4	-0.081299	-0.5574	0.289965
5	-0.113699	-0.7795	0.219802
6	0.014004	0.096	0.461961
7	0.083562	0.5729	0.284732
8	0.075704	0.519	0.303097
9	-0.143121	-0.9812	0.165761
10	-0.038312	-0.2627	0.396984
11	0.003192	0.0219	0.491317
12	-0.231046	-1.584	0.059954
13	-0.126059	-0.8642	0.195929
14	0.063709	0.4368	0.332141
15	-0.038356	-0.263	0.396868
16	-0.127609	-0.8748	0.193053
17	-0.031707	-0.2174	0.414429
18	-0.073917	-0.5068	0.307349
19	-0.030025	-0.2058	0.418903
20	-0.051209	-0.3511	0.363553
21	-0.013681	-0.0938	0.462836
22	-0.060947	-0.4178	0.338985
23	-0.16309	-1.1181	0.134606
24	-0.105815	-0.7254	0.235892
25	0.132512	0.9085	0.184136
26	0.031421	0.2154	0.415189
27	0.160436	1.0999	0.13849
28	0.240171	1.6465	0.053163
29	-0.00667	-0.0457	0.481862
30	-0.066866	-0.4584	0.324385
31	-0.065528	-0.4492	0.327664
32	-0.034948	-0.2396	0.405843
33	-0.012162	-0.0834	0.466954
34	-0.008139	-0.0558	0.477869
35	0.046101	0.3161	0.37668
36	-0.038846	-0.2663	0.395581

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.253837	1.7402	0.044183
2	-0.071807	-0.4923	0.312404
3	0.112417	0.7707	0.222374
4	-0.145934	-1.0005	0.161102
5	-0.046781	-0.3207	0.374923
6	0.04105	0.2814	0.38981
7	0.088663	0.6078	0.27311
8	0.045912	0.3148	0.377171
9	-0.215712	-1.4789	0.072926
10	0.051888	0.3557	0.361819
11	-0.010662	-0.0731	0.47102
12	-0.188459	-1.292	0.101335
13	-0.039779	-0.2727	0.393135
14	0.053864	0.3693	0.35679
15	-0.035085	-0.2405	0.405482
16	-0.133439	-0.9148	0.182481
17	-0.009213	-0.0632	0.474952
18	-0.09734	-0.6673	0.253913
19	0.082302	0.5642	0.287639
20	-0.068697	-0.471	0.319923
21	-0.072656	-0.4981	0.310366
22	-0.119294	-0.8178	0.208788
23	-0.094847	-0.6502	0.259352
24	-0.0816	-0.5594	0.289265
25	0.123621	0.8475	0.200504
26	-0.026606	-0.1824	0.428025
27	0.152968	1.0487	0.14984
28	0.07623	0.5226	0.30185
29	-0.117135	-0.803	0.212999
30	-0.047697	-0.327	0.372562
31	-0.073583	-0.5045	0.308147
32	0.018577	0.1274	0.449601
33	-0.090567	-0.6209	0.268833
34	-0.035738	-0.245	0.403759
35	-0.072875	-0.4996	0.309841
36	-0.121949	-0.836	0.203681

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260717189dvp7p8s4lup65sc/1mdjo1260717131.png (opens in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260717189dvp7p8s4lup65sc/1mdjo1260717131.ps (opens in new window)

Click here to open pdf file.

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260717189dvp7p8s4lup65sc/2cle41260717131.png (opens in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260717189dvp7p8s4lup65sc/2cle41260717131.ps (opens in new window)

Click here to open pdf file.

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; 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')