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WS 8 review

*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: Fri, 04 Dec 2009 02:36:56 -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/04/t1259919448kex6yacqfaxcbaq.htm/, Retrieved Fri, 04 Dec 2009 10:37:31 +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/04/t1259919448kex6yacqfaxcbaq.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 «

14.2 13.5 11.9 14.6 15.6 14.1 14.9 14.2 14.6 17.2 15.4 14.3 17.5 14.5 14.4 16.6 16.7 16.6 16.9 15.7 16.4 18.4 16.9 16.5 18.3 15.1 15.7 18.1 16.8 18.9 19 18.1 17.8 21.5 17.1 18.7 19 16.4 16.9 18.6 19.3 19.4 17.6 18.6 18.1 20.4 18.1 19.6 19.9 19.2 17.8 19.2 22 21.1 19.5 22.2 20.9 22.2 23.5 21.5 24.3 22.8 20.3 23.7 23.3 19.6 18 17.3 16.8 18.2 16.5 16 18.4

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	-0.374032	-3.1738	0.001107
2	-0.257557	-2.1854	0.016055
3	0.377249	3.2011	0.001019
4	-0.194689	-1.652	0.051445
5	-0.052555	-0.4459	0.328489
6	0.298901	2.5363	0.006687
7	-0.321533	-2.7283	0.003997
8	0.022569	0.1915	0.424334
9	0.250768	2.1278	0.018388
10	-0.345269	-2.9297	0.002271
11	-0.080092	-0.6796	0.249468
12	0.484581	4.1118	5.1e-05
13	-0.276666	-2.3476	0.010824
14	-0.094496	-0.8018	0.212645
15	0.124336	1.055	0.147471
16	-0.092851	-0.7879	0.216681
17	0.030565	0.2594	0.398051
18	0.064583	0.548	0.292692
19	-0.077411	-0.6569	0.256684
20	0.028069	0.2382	0.406213
21	0.063588	0.5396	0.295582
22	-0.14445	-1.2257	0.112152
23	-0.027436	-0.2328	0.408287
24	0.207217	1.7583	0.041474
25	0.001618	0.0137	0.494543
26	-0.17119	-1.4526	0.07534
27	0.03775	0.3203	0.374826
28	0.068821	0.584	0.280535
29	-0.047722	-0.4049	0.343364
30	-0.007997	-0.0679	0.473044
31	0.119836	1.0168	0.156316
32	-0.096899	-0.8222	0.206835
33	0.020292	0.1722	0.431889
34	0.036828	0.3125	0.377783
35	-0.154593	-1.3118	0.096884
36	0.161118	1.3671	0.087919

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.374032	-3.1738	0.001107
2	-0.462105	-3.9211	1e-04
3	0.093958	0.7973	0.213962
4	-0.112463	-0.9543	0.171566
5	-0.012981	-0.1101	0.456299
6	0.2066	1.7531	0.041925
7	-0.130861	-1.1104	0.135262
8	-0.046325	-0.3931	0.34771
9	0.038524	0.3269	0.372349
10	-0.195511	-1.659	0.050737
11	-0.357962	-3.0374	0.001661
12	0.217922	1.8491	0.034272
13	0.146187	1.2404	0.109421
14	0.03101	0.2631	0.396601
15	-0.217336	-1.8442	0.034637
16	0.00457	0.0388	0.484588
17	-0.086469	-0.7337	0.232754
18	-0.231377	-1.9633	0.026737
19	0.139193	1.1811	0.120727
20	0.103335	0.8768	0.191748
21	-0.033736	-0.2863	0.387751
22	-0.094765	-0.8041	0.211992
23	-0.007813	-0.0663	0.473663
24	-0.106965	-0.9076	0.183551
25	0.050933	0.4322	0.333452
26	0.027421	0.2327	0.408337
27	0.025349	0.2151	0.415152
28	-0.043707	-0.3709	0.355913
29	-0.005256	-0.0446	0.482277
30	-0.078114	-0.6628	0.254783
31	0.067101	0.5694	0.285438
32	0.069269	0.5878	0.279263
33	0.01236	0.1049	0.458382
34	0.08474	0.719	0.237221
35	-0.056205	-0.4769	0.317434
36	-0.04123	-0.3499	0.363736

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259919448kex6yacqfaxcbaq/19mlx1259919414.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259919448kex6yacqfaxcbaq/19mlx1259919414.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259919448kex6yacqfaxcbaq/2n30s1259919414.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259919448kex6yacqfaxcbaq/2n30s1259919414.ps (open in new window)

Parameters (Session):

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