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ws8-1

*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: Wed, 02 Dec 2009 10:24:03 -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/02/t12597747076idk2bjs95x0ggv.htm/, Retrieved Wed, 02 Dec 2009 18:25:10 +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/02/t12597747076idk2bjs95x0ggv.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 «

8.9 8.9 8.6 8.3 8.3 8.3 8.4 8.5 8.4 8.6 8.5 8.5 8.4 8.5 8.5 8.5 8.5 8.5 8.5 8.5 8.5 8.6 8.4 8.1 8.0 8.0 8.0 8.0 7.9 7.8 7.8 7.9 8.1 8.0 7.6 7.3 7.0 6.8 7.0 7.1 7.2 7.1 6.9 6.7 6.7 6.6 6.9 7.3 7.5 7.3 7.1 6.9 7.1 7.5 7.7 7.8 7.8 7.7 7.8 7.8 7.9

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.04893	-0.3758	0.354194
2	-0.113894	-0.8748	0.192606
3	-0.324267	-2.4907	0.007791
4	-0.297331	-2.2838	0.012998
5	-0.054067	-0.4153	0.339716
6	0.281006	2.1584	0.017486
7	0.064402	0.4947	0.311332
8	0.248659	1.91	0.0305
9	-0.048575	-0.3731	0.3552
10	-0.178227	-1.369	0.088096
11	-0.145885	-1.1206	0.133507
12	0.059355	0.4559	0.325064
13	-0.146346	-1.1241	0.132761
14	0.199722	1.5341	0.065176
15	0.167651	1.2878	0.10143
16	-0.03246	-0.2493	0.401985
17	-0.032279	-0.2479	0.402522
18	-0.15121	-1.1615	0.125065
19	-0.151303	-1.1622	0.124921
20	0.151334	1.1624	0.124873
21	0.091593	0.7035	0.242244
22	0.048161	0.3699	0.35638
23	0.059521	0.4572	0.324607
24	-0.210593	-1.6176	0.055543
25	-0.048417	-0.3719	0.35565
26	0.130068	0.9991	0.160921
27	0.075641	0.581	0.281724
28	-0.03816	-0.2931	0.385233
29	0.005269	0.0405	0.483926
30	-0.248626	-1.9097	0.030516
31	0.124562	0.9568	0.171291
32	0.037792	0.2903	0.386309
33	0.064453	0.4951	0.311194
34	0.069949	0.5373	0.296544
35	0.015888	0.122	0.45164
36	-0.221789	-1.7036	0.046859

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.04893	-0.3758	0.354194
2	-0.116567	-0.8954	0.187115
3	-0.341642	-2.6242	0.00552
4	-0.414268	-3.182	0.001167
5	-0.347055	-2.6658	0.004947
6	-0.085538	-0.657	0.256858
7	-0.321185	-2.4671	0.008272
8	-0.044694	-0.3433	0.366295
9	-0.04925	-0.3783	0.353283
10	-0.108653	-0.8346	0.20366
11	-0.097687	-0.7504	0.228013
12	0.115539	0.8875	0.189214
13	-0.219967	-1.6896	0.048191
14	-0.091898	-0.7059	0.241519
15	0.158138	1.2147	0.114663
16	-0.048795	-0.3748	0.354577
17	-0.028596	-0.2196	0.413452
18	-0.036504	-0.2804	0.390077
19	-0.051729	-0.3973	0.346275
20	-0.029926	-0.2299	0.409497
21	0.057067	0.4383	0.33137
22	-0.011398	-0.0875	0.465266
23	-0.015778	-0.1212	0.451974
24	-0.181483	-1.394	0.084274
25	0.000634	0.0049	0.498066
26	0.104498	0.8027	0.212696
27	0.11776	0.9045	0.184696
28	0.005561	0.0427	0.483038
29	0.050339	0.3867	0.350199
30	-0.192409	-1.4779	0.072374
31	0.047859	0.3676	0.357238
32	-0.064979	-0.4991	0.309778
33	-0.085383	-0.6558	0.257239
34	-0.029149	-0.2239	0.411805
35	-0.009313	-0.0715	0.471606
36	-0.140193	-1.0768	0.142966

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/02/t12597747076idk2bjs95x0ggv/1xlsh1259774640.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/02/t12597747076idk2bjs95x0ggv/1xlsh1259774640.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/02/t12597747076idk2bjs95x0ggv/2bqzs1259774640.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/02/t12597747076idk2bjs95x0ggv/2bqzs1259774640.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 2 ; 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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