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ws 9

*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 10:05:32 -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/t1259860025mo7mb2duu8ftdxo.htm/, Retrieved Thu, 03 Dec 2009 18:07:07 +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/t1259860025mo7mb2duu8ftdxo.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 «

9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.5 8.2 8.1 7.9 8.6 8.7 8.7 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8 8.2 8.1 8.1 8 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 6.4 6.1 6.5 7.7 7.9 7.5 6.9 6.6 6.9 7.7 8 8 7.7 7.3 7.4 8.1

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	0.316151	2.4284	0.009116
2	-0.301956	-2.3194	0.011928
3	-0.51605	-3.9639	0.000101
4	-0.345089	-2.6507	0.005149
5	0.145264	1.1158	0.134518
6	0.528102	4.0564	7.4e-05
7	0.327555	2.516	0.007305
8	-0.069064	-0.5305	0.29888
9	-0.331206	-2.544	0.006798
10	-0.302416	-2.3229	0.011826
11	-0.001361	-0.0105	0.495846
12	0.358557	2.7541	0.003906
13	0.041805	0.3211	0.374631
14	-0.081264	-0.6242	0.267452
15	-0.070773	-0.5436	0.294376
16	-0.077637	-0.5963	0.276613
17	0.004713	0.0362	0.485622
18	0.099771	0.7664	0.223261
19	0.020705	0.159	0.43709
20	-0.061773	-0.4745	0.318452
21	-0.062756	-0.482	0.315781
22	-0.058777	-0.4515	0.326652
23	0.053005	0.4071	0.342689
24	0.170065	1.3063	0.098262
25	-0.119067	-0.9146	0.18207
26	-0.128084	-0.9838	0.164608
27	-0.063377	-0.4868	0.314099
28	-0.018834	-0.1447	0.442734
29	0.086437	0.6639	0.254659
30	0.129746	0.9966	0.161514
31	0.035191	0.2703	0.393935
32	-0.121642	-0.9344	0.176966
33	-0.166917	-1.2821	0.102409
34	0.008402	0.0645	0.47438
35	0.171591	1.318	0.096296
36	0.239081	1.8364	0.035668

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.316151	2.4284	0.009116
2	-0.446539	-3.4299	0.000554
3	-0.328602	-2.524	0.007156
4	-0.265068	-2.036	0.023123
5	0.064279	0.4937	0.311662
6	0.251928	1.9351	0.028888
7	0.031533	0.2422	0.40473
8	0.077109	0.5923	0.277962
9	0.037439	0.2876	0.387342
10	0.008466	0.065	0.474185
11	0.005824	0.0447	0.482235
12	0.149281	1.1466	0.128078
13	-0.473685	-3.6384	0.000289
14	0.101775	0.7817	0.218745
15	0.059733	0.4588	0.324025
16	-0.010508	-0.0807	0.467973
17	-0.071873	-0.5521	0.291493
18	0.011278	0.0866	0.465631
19	0.125719	0.9657	0.169077
20	-0.027574	-0.2118	0.416498
21	-0.020807	-0.1598	0.436784
22	-0.155496	-1.1944	0.118553
23	0.08502	0.6531	0.25813
24	0.038269	0.294	0.384913
25	-0.186049	-1.4291	0.079129
26	-0.08527	-0.655	0.257516
27	-0.104615	-0.8036	0.212439
28	0.081258	0.6242	0.267466
29	-0.009653	-0.0741	0.470573
30	-0.036012	-0.2766	0.391521
31	0.074147	0.5695	0.285578
32	-0.007325	-0.0563	0.477661
33	-0.012871	-0.0989	0.460791
34	0.217945	1.6741	0.049706
35	-0.0228	-0.1751	0.430789
36	0.073453	0.5642	0.287376

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259860025mo7mb2duu8ftdxo/1qfft1259859931.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259860025mo7mb2duu8ftdxo/1qfft1259859931.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259860025mo7mb2duu8ftdxo/2qen51259859931.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259860025mo7mb2duu8ftdxo/2qen51259859931.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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