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workshop8, step2, ACF D=1

*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, 07 Dec 2008 09:22:50 -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/07/t1228667029n6gwqkh6yhym26h.htm/, Retrieved Sun, 07 Dec 2008 16:23:49 +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/07/t1228667029n6gwqkh6yhym26h.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 «

7.5 7.2 6.9 6.7 6.4 6.3 6.8 7.3 7.1 7.1 6.8 6.5 6.3 6.1 6.1 6.3 6.3 6 6.2 6.4 6.8 7.5 7.5 7.6 7.6 7.4 7.3 7.1 6.9 6.8 7.5 7.6 7.8 8 8.1 8.2 8.3 8.2 8 7.9 7.6 7.6 8.2 8.3 8.4 8.4 8.4 8.6 8.9 8.8 8.3 7.5 7.2 7.5 8.8 9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.6 8.2 8.1 8 8.6 8.7 8.8 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8.1 8.2 8.1 8.1 7.9 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.6 6.2 6.2 6.8 6.9 6.8 6.7

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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.471505	4.547	8e-06
2	-0.079734	-0.7689	0.221941
3	-0.483994	-4.6675	5e-06
4	-0.479357	-4.6227	6e-06
5	-0.116715	-1.1256	0.131625
6	0.161944	1.5617	0.060874
7	0.276743	2.6688	0.004491
8	0.268144	2.5859	0.005633
9	0.159688	1.54	0.063481
10	-0.042511	-0.41	0.341389
11	-0.159931	-1.5423	0.063196
12	-0.244093	-2.354	0.01034
13	-0.063365	-0.6111	0.271322
14	0.10752	1.0369	0.151239
15	0.130252	1.2561	0.106112
16	0.084793	0.8177	0.207805
17	-0.055581	-0.536	0.296619
18	-0.013539	-0.1306	0.448201
19	-0.0355	-0.3423	0.366432
20	0.027863	0.2687	0.394379
21	-0.015628	-0.1507	0.440266
22	-0.044207	-0.4263	0.335433
23	-0.014479	-0.1396	0.444626
24	-0.029822	-0.2876	0.38715
25	0.032744	0.3158	0.37644
26	0.045466	0.4385	0.331036
27	-0.006611	-0.0638	0.47465
28	-0.108659	-1.0479	0.148707
29	-0.170999	-1.6491	0.051256
30	-0.188142	-1.8144	0.036422
31	0.061531	0.5934	0.277181
32	0.309278	2.9826	0.001825
33	0.347844	3.3545	0.000576
34	0.149038	1.4373	0.076999
35	-0.245588	-2.3684	0.009968
36	-0.42144	-4.0642	5e-05
37	-0.343166	-3.3094	0.000666
38	0.04222	0.4072	0.342414
39	0.278448	2.6853	0.004291
40	0.323004	3.1149	0.001223
41	0.207301	1.9991	0.024256
42	-0.033098	-0.3192	0.375149
43	-0.19052	-1.8373	0.034679
44	-0.287416	-2.7717	0.003367
45	-0.185351	-1.7875	0.03856
46	-0.008225	-0.0793	0.468476
47	0.183687	1.7714	0.039883
48	0.206294	1.9894	0.024796
49	0.135661	1.3083	0.097003
50	-0.039144	-0.3775	0.353336
51	-0.108269	-1.0441	0.149572
52	-0.083777	-0.8079	0.2106
53	-0.041065	-0.396	0.3465
54	0.038549	0.3718	0.355461
55	0.017677	0.1705	0.432503
56	-0.01375	-0.1326	0.4474
57	-0.06922	-0.6675	0.253044
58	-0.077567	-0.748	0.228165
59	-0.004739	-0.0457	0.481825
60	0.026287	0.2535	0.400219

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.471505	4.547	8e-06
2	-0.388399	-3.7456	0.000156
3	-0.376556	-3.6314	0.000231
4	-0.118342	-1.1413	0.128348
5	0.106283	1.025	0.154021
6	-0.092036	-0.8876	0.188532
7	-0.011908	-0.1148	0.454412
8	0.184003	1.7745	0.03963
9	0.14988	1.4454	0.075855
10	-0.07731	-0.7455	0.228911
11	0.051505	0.4967	0.310289
12	-0.050655	-0.4885	0.313172
13	0.155161	1.4963	0.068978
14	-0.027566	-0.2658	0.395475
15	-0.125709	-1.2123	0.114235
16	0.014008	0.1351	0.446418
17	-0.028693	-0.2767	0.39131
18	0.122415	1.1805	0.120401
19	-0.156481	-1.509	0.067339
20	0.11906	1.1482	0.126921
21	-0.042023	-0.4053	0.343109
22	-0.034126	-0.3291	0.371411
23	0.014926	0.1439	0.442927
24	-0.095296	-0.919	0.180236
25	0.11136	1.0739	0.142819
26	-0.00409	-0.0394	0.484313
27	-0.154625	-1.4912	0.069653
28	-0.129042	-1.2444	0.108233
29	-0.120235	-1.1595	0.12461
30	-0.082376	-0.7944	0.214491
31	0.129729	1.2511	0.107025
32	0.223802	2.1583	0.016741
33	0.105497	1.0174	0.155807
34	-0.026228	-0.2529	0.400438
35	-0.030229	-0.2915	0.385653
36	-0.095365	-0.9197	0.180063
37	-0.052498	-0.5063	0.306932
38	0.173262	1.6709	0.049054
39	-0.141284	-1.3625	0.088167
40	-0.057589	-0.5554	0.289987
41	0.084037	0.8104	0.209883
42	-0.025916	-0.2499	0.401598
43	-0.008549	-0.0824	0.467235
44	-0.013746	-0.1326	0.447411
45	0.085149	0.8211	0.206831
46	-0.092839	-0.8953	0.186467
47	-0.050671	-0.4886	0.31312
48	-0.008972	-0.0865	0.465617
49	0.037549	0.3621	0.359047
50	0.070618	0.681	0.248778
51	-0.012597	-0.1215	0.451785
52	-0.095128	-0.9174	0.180658
53	0.089951	0.8675	0.193962
54	-0.037894	-0.3654	0.357809
55	0.005648	0.0545	0.478342
56	-0.086967	-0.8387	0.2019
57	-0.061593	-0.594	0.276984
58	-0.086318	-0.8324	0.203653
59	-0.02142	-0.2066	0.418399
60	-0.05282	-0.5094	0.305846

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228667029n6gwqkh6yhym26h/1gowd1228666965.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228667029n6gwqkh6yhym26h/1gowd1228666965.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228667029n6gwqkh6yhym26h/2ua3j1228666965.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228667029n6gwqkh6yhym26h/2ua3j1228666965.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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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