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nsts Q8

*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: Tue, 02 Dec 2008 12:48:42 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/02/t1228247377w2gycht35ndv3m0.htm/, Retrieved Tue, 02 Dec 2008 19:49:39 +0000

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/2008/Dec/02/t1228247377w2gycht35ndv3m0.htm/},
    year = {2008},
}
@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 = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
test

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

109.57 107.08 110.33 110.36 106.5 104.3 107.21 109.34 108.2 109.86 108.68 113.38 117.12 116.23 114.75 115.81 115.86 117.8 117.11 116.31 118.38 121.57 121.65 124.2 126.12 128.6 128.16 130.12 135.83 138.05 134.99 132.38 128.94 128.12 127.84 132.43 134.13 134.78 133.13 129.08 134.48 132.86 134.08 134.54 134.51 135.97 136.09 139.14 135.63 136.55 138.83 138.84 135.37 132.22 134.75 135.98 136.06 138.05 139.59 140.58

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	0.046538	0.3575	0.361009
2	-0.187322	-1.4388	0.077739
3	-0.147004	-1.1292	0.1317
4	0.001986	0.0153	0.493941
5	0.071549	0.5496	0.292342
6	-0.136628	-1.0495	0.149123
7	0.051543	0.3959	0.346799
8	-0.091914	-0.706	0.241482
9	0.064266	0.4936	0.311697
10	-0.06536	-0.502	0.308755
11	-0.09732	-0.7475	0.228856
12	0.083426	0.6408	0.262065
13	-0.046323	-0.3558	0.361624
14	0.126987	0.9754	0.166671
15	0.022377	0.1719	0.43206
16	-0.040631	-0.3121	0.378035
17	0.036762	0.2824	0.389322
18	-0.016215	-0.1246	0.45065
19	-0.006553	-0.0503	0.480013
20	-0.107151	-0.823	0.206899
21	-0.004312	-0.0331	0.486845
22	0.125122	0.9611	0.170218
23	-0.019571	-0.1503	0.44051
24	-0.19213	-1.4758	0.07266
25	-0.074166	-0.5697	0.285529
26	0.080047	0.6149	0.270509
27	-0.106908	-0.8212	0.207426
28	-0.043998	-0.338	0.368298
29	0.137279	1.0545	0.147986
30	-0.01081	-0.083	0.467052
31	-0.03112	-0.239	0.405951
32	-0.132588	-1.0184	0.156317
33	0.072884	0.5598	0.288856
34	0.142134	1.0918	0.13969
35	0.027899	0.2143	0.415527
36	-0.076294	-0.586	0.280046

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.046538	0.3575	0.361009
2	-0.189899	-1.4586	0.074984
3	-0.132862	-1.0205	0.155821
4	-0.022853	-0.1755	0.430628
5	0.021551	0.1655	0.434545
6	-0.172119	-1.3221	0.095624
7	0.081228	0.6239	0.267542
8	-0.153955	-1.1826	0.120866
9	0.066341	0.5096	0.306124
10	-0.123734	-0.9504	0.172889
11	-0.083987	-0.6451	0.260676
12	0.038635	0.2968	0.383845
13	-0.090641	-0.6962	0.244511
14	0.094231	0.7238	0.236023
15	0.040572	0.3116	0.378208
16	-0.067793	-0.5207	0.302253
17	0.094934	0.7292	0.234381
18	-0.024608	-0.189	0.425363
19	-0.047123	-0.362	0.359339
20	-0.034089	-0.2618	0.397178
21	-0.06374	-0.4896	0.313118
22	0.13515	1.0381	0.151728
23	-0.064258	-0.4936	0.31172
24	-0.211262	-1.6227	0.054989
25	0.049629	0.3812	0.352209
26	-0.081385	-0.6251	0.267148
27	-0.223247	-1.7148	0.045816
28	0.015634	0.1201	0.452411
29	0.023772	0.1826	0.42787
30	-0.128399	-0.9863	0.164018
31	-0.036781	-0.2825	0.389267
32	-0.201717	-1.5494	0.063315
33	0.088723	0.6815	0.249112
34	0.023639	0.1816	0.428269
35	-0.071473	-0.549	0.292541
36	-0.017317	-0.133	0.447318

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228247377w2gycht35ndv3m0/144eh1228247321.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228247377w2gycht35ndv3m0/144eh1228247321.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228247377w2gycht35ndv3m0/299om1228247321.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228247377w2gycht35ndv3m0/299om1228247321.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

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 (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='lags',ylab='ACF')

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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