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Workshop 8

*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 15:29:45 -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/t1259879656zn00wjz4xqeumiy.htm/, Retrieved Thu, 03 Dec 2009 23:34:19 +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/t1259879656zn00wjz4xqeumiy.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:

bhschhwstvws8

Dataseries X:

» Textbox « » Textfile « » CSV «

100.00 94.97 107.50 124.27 107.06 79.71 163.41 144.83 166.82 154.26 132.60 157.51 104.02 106.03 113.23 117.64 113.34 66.62 185.99 174.57 208.19 163.81 162.46 148.16 113.41 105.63 111.79 132.36 110.75 67.37 178.29 156.38 189.71 152.80 150.80 160.40 127.25 108.47 117.09 147.25 116.19 75.83 181.94 179.12 183.15 197.90 155.42 162.54 125.90 105.50 121.11 137.51 97.20 69.74 152.58 146.59 161.16 152.84 121.95 140.12

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	-0.512617	-3.0327	0.002272
2	0.213605	1.2637	0.107345
3	-0.064657	-0.3825	0.352196
4	-0.080713	-0.4775	0.317986
5	-0.097427	-0.5764	0.284022
6	0.128605	0.7608	0.225926
7	-0.078537	-0.4646	0.322536
8	0.129198	0.7643	0.224892
9	-0.103788	-0.614	0.271588
10	0.122388	0.7241	0.236921
11	-0.019134	-0.1132	0.455261
12	-0.249457	-1.4758	0.074468
13	0.084299	0.4987	0.310549
14	-0.064402	-0.381	0.352751
15	-0.047771	-0.2826	0.389568
16	0.167161	0.9889	0.164741
17	-0.07707	-0.456	0.325621
18	0.079883	0.4726	0.319719
19	-0.053979	-0.3193	0.375682
20	-0.077525	-0.4586	0.324663
21	0.159063	0.941	0.17657
22	-0.252322	-1.4928	0.07223
23	0.252302	1.4926	0.072246
24	-0.104118	-0.616	0.27095
25	0.068919	0.4077	0.342977
26	0.005688	0.0336	0.486674
27	0.112534	0.6658	0.254965
28	-0.219687	-1.2997	0.101102
29	0.143761	0.8505	0.200414
30	-0.097918	-0.5793	0.283051
31	0.003527	0.0209	0.491736
32	0.064786	0.3833	0.351916
33	-0.026656	-0.1577	0.437801
34	-0.00794	-0.047	0.4814
35	NA	NA	NA
36	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.512617	-3.0327	0.002272
2	-0.066698	-0.3946	0.34777
3	0.024461	0.1447	0.442884
4	-0.125471	-0.7423	0.231431
5	-0.277016	-1.6388	0.055102
6	-0.030701	-0.1816	0.42846
7	0.019671	0.1164	0.454011
8	0.090509	0.5355	0.29786
9	-0.071954	-0.4257	0.336472
10	0.045176	0.2673	0.395416
11	0.16241	0.9608	0.171614
12	-0.286171	-1.693	0.049669
13	-0.309132	-1.8289	0.037977
14	-0.131339	-0.777	0.221186
15	-0.102985	-0.6093	0.273142
16	-0.044391	-0.2626	0.397191
17	-0.171942	-1.0172	0.158014
18	-0.018862	-0.1116	0.455892
19	0.020069	0.1187	0.453083
20	-0.169271	-1.0014	0.161748
21	0.062953	0.3724	0.355907
22	-0.122757	-0.7262	0.23626
23	0.1005	0.5946	0.277978
24	-0.110064	-0.6511	0.259602
25	-0.122328	-0.7237	0.23703
26	-0.059332	-0.351	0.363842
27	0.094569	0.5595	0.2897
28	-0.096694	-0.572	0.285472
29	-0.199599	-1.1808	0.122813
30	0.049612	0.2935	0.385433
31	-0.060791	-0.3596	0.360638
32	-0.070811	-0.4189	0.338916
33	-0.083821	-0.4959	0.311534
34	-0.155635	-0.9207	0.181743
35	NA	NA	NA
36	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259879656zn00wjz4xqeumiy/1y0a11259879384.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259879656zn00wjz4xqeumiy/1y0a11259879384.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259879656zn00wjz4xqeumiy/2h8o01259879384.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259879656zn00wjz4xqeumiy/2h8o01259879384.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 2 ; 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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