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SHW WS9

*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: Thu, 03 Dec 2009 09:22:00 -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/03/t125985742567e4zp1qjr5b50q.htm/, Retrieved Thu, 03 Dec 2009 17:23:47 +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/03/t125985742567e4zp1qjr5b50q.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 «

1.59 1.26 1.13 1.92 2.61 2.26 2.41 2.26 2.03 2.86 2.55 2.27 2.26 2.57 3.07 2.76 2.51 2.87 3.14 3.11 3.16 2.47 2.57 2.89 2.63 2.38 1.69 1.96 2.19 1.87 1.6 1.63 1.22 1.21 1.49 1.64 1.66 1.77 1.82 1.78 1.28 1.29 1.37 1.12 1.51 2.24 2.94 3.09 3.46 3.64 4.39 4.15 5.21 5.8 5.91 5.39 5.46 4.72 3.14 2.63

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	0.249131	1.9136	0.030263
2	-0.002321	-0.0178	0.49292
3	0.084606	0.6499	0.25915
4	0.077602	0.5961	0.276702
5	-0.020174	-0.155	0.43869
6	-0.080916	-0.6215	0.268325
7	-0.122438	-0.9405	0.175406
8	-0.053289	-0.4093	0.341894
9	-0.080203	-0.6161	0.270114
10	-0.011694	-0.0898	0.464367
11	0.024668	0.1895	0.425184
12	-0.350261	-2.6904	0.004634
13	-0.223312	-1.7153	0.04577
14	0.058631	0.4504	0.327053
15	0.029758	0.2286	0.409994
16	-0.025916	-0.1991	0.421449
17	-0.050309	-0.3864	0.350283
18	0.037258	0.2862	0.387871
19	0.09043	0.6946	0.245015
20	-0.122472	-0.9407	0.17534
21	-0.091509	-0.7029	0.242444
22	-0.073322	-0.5632	0.287717
23	-0.139223	-1.0694	0.144625
24	-0.066877	-0.5137	0.304692
25	0.076094	0.5845	0.28056
26	-0.063785	-0.4899	0.312997
27	-0.027477	-0.2111	0.416786
28	0.03133	0.2406	0.405331
29	0.016007	0.123	0.45128
30	0.022299	0.1713	0.432293
31	-0.013091	-0.1006	0.460123
32	0.126498	0.9716	0.167596
33	0.099286	0.7626	0.224362
34	0.021841	0.1678	0.433672
35	0.010949	0.0841	0.46663
36	0.044269	0.34	0.367518

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.249131	1.9136	0.030263
2	-0.068647	-0.5273	0.299985
3	0.109613	0.842	0.201607
4	0.029173	0.2241	0.411734
5	-0.043588	-0.3348	0.369479
6	-0.07143	-0.5487	0.292653
7	-0.104634	-0.8037	0.212395
8	-0.001276	-0.0098	0.496108
9	-0.067785	-0.5207	0.302273
10	0.05426	0.4168	0.339175
11	0.02419	0.1858	0.426617
12	-0.396465	-3.0453	0.001736
13	-0.052068	-0.3999	0.345321
14	0.088204	0.6775	0.250367
15	0.027268	0.2094	0.41741
16	0.03491	0.2681	0.394761
17	-0.084321	-0.6477	0.259851
18	-0.002898	-0.0223	0.491156
19	-0.02547	-0.1956	0.422784
20	-0.201442	-1.5473	0.063568
21	-0.034013	-0.2613	0.3974
22	-0.09131	-0.7014	0.242916
23	-0.049978	-0.3839	0.35122
24	-0.145173	-1.1151	0.134666
25	-0.009397	-0.0722	0.471351
26	-0.08662	-0.6653	0.254211
27	0.002865	0.022	0.491259
28	0.002253	0.0173	0.493125
29	-0.136106	-1.0455	0.150039
30	-0.02151	-0.1652	0.434668
31	-0.001442	-0.0111	0.495601
32	0.028584	0.2196	0.413487
33	-0.080142	-0.6156	0.270269
34	-0.0689	-0.5292	0.299315
35	-0.105167	-0.8078	0.211225
36	-0.088528	-0.68	0.249583

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/03/t125985742567e4zp1qjr5b50q/1oppq1259857318.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t125985742567e4zp1qjr5b50q/1oppq1259857318.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t125985742567e4zp1qjr5b50q/2tn8h1259857318.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t125985742567e4zp1qjr5b50q/2tn8h1259857318.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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