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SHWWS9

*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, 01 Dec 2009 12:06:31 -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/01/t1259694444icv4s9043gpxn03.htm/, Retrieved Tue, 01 Dec 2009 20:07:27 +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/2009/Dec/01/t1259694444icv4s9043gpxn03.htm/},
    year = {2009},
}
@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 = {2009},
    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:

Dataseries X:

» Textbox « » Textfile « » CSV «

161 149 139 135 130 127 122 117 112 113 149 157 157 147 137 132 125 123 117 114 111 112 144 150 149 134 123 116 117 111 105 102 95 93 124 130 124 115 106 105 105 101 95 93 84 87 116 120 117 109 105 107 109 109 108 107 99 103 131 137

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	0.30933	2.376	0.010383
2	-0.12174	-0.9351	0.176773
3	-0.2552	-1.9602	0.027348
4	-0.222591	-1.7098	0.046283
5	-0.042904	-0.3295	0.371454
6	0.031089	0.2388	0.406044
7	-0.045659	-0.3507	0.363525
8	-0.254355	-1.9537	0.027739
9	-0.290511	-2.2315	0.014732
10	-0.12641	-0.971	0.167763
11	0.263935	2.0273	0.023577
12	0.769041	5.9071	0
13	0.219554	1.6864	0.048498
14	-0.108686	-0.8348	0.20359
15	-0.207097	-1.5907	0.058506
16	-0.176355	-1.3546	0.090353
17	-0.022245	-0.1709	0.432458
18	0.035444	0.2722	0.393191
19	-0.063693	-0.4892	0.313244
20	-0.219336	-1.6848	0.04866
21	-0.24596	-1.8893	0.031888
22	-0.110262	-0.8469	0.200226
23	0.205725	1.5802	0.059704
24	0.569156	4.3718	2.5e-05
25	0.142614	1.0954	0.138889
26	-0.086595	-0.6652	0.254273
27	-0.132707	-1.0193	0.156102
28	-0.096129	-0.7384	0.231606
29	0.007126	0.0547	0.478266
30	0.014246	0.1094	0.456617
31	-0.043557	-0.3346	0.369569
32	-0.170522	-1.3098	0.09767
33	-0.189157	-1.4529	0.075769
34	-0.071257	-0.5473	0.293106
35	0.145557	1.118	0.134039
36	0.357722	2.7477	0.003974

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.30933	2.376	0.010383
2	-0.240431	-1.8468	0.034897
3	-0.157405	-1.2091	0.115733
4	-0.129439	-0.9942	0.162083
5	0.004873	0.0374	0.485135
6	-0.056315	-0.4326	0.333453
7	-0.131604	-1.0109	0.158104
8	-0.295422	-2.2692	0.013464
9	-0.240339	-1.8461	0.034949
10	-0.183027	-1.4059	0.082506
11	0.133754	1.0274	0.154216
12	0.653042	5.0161	3e-06
13	-0.265082	-2.0361	0.023117
14	0.058731	0.4511	0.326777
15	-0.026045	-0.2001	0.421064
16	-0.012721	-0.0977	0.461245
17	-0.026329	-0.2022	0.420213
18	-0.04229	-0.3248	0.373226
19	-0.075171	-0.5774	0.282934
20	0.119464	0.9176	0.181278
21	0.013346	0.1025	0.459348
22	-0.045375	-0.3485	0.364341
23	-0.062213	-0.4779	0.317256
24	-0.050834	-0.3905	0.3488
25	-0.031706	-0.2435	0.404215
26	0.009343	0.0718	0.471516
27	0.026093	0.2004	0.420918
28	0.047386	0.364	0.358587
29	-0.006159	-0.0473	0.481213
30	-0.067127	-0.5156	0.304027
31	0.100121	0.769	0.222467
32	-0.049631	-0.3812	0.352202
33	0.028871	0.2218	0.412632
34	0.02692	0.2068	0.418447
35	-0.059622	-0.458	0.324331
36	-0.113377	-0.8709	0.193678

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/01/t1259694444icv4s9043gpxn03/1nx0v1259694389.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/01/t1259694444icv4s9043gpxn03/1nx0v1259694389.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/01/t1259694444icv4s9043gpxn03/2u0u01259694389.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/01/t1259694444icv4s9043gpxn03/2u0u01259694389.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; 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')

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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