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WS9-ACF2

*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 05:34:59 -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/t1259930221e91ka92dlmlpxf2.htm/, Retrieved Fri, 04 Dec 2009 13:37:03 +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/t1259930221e91ka92dlmlpxf2.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 «

10.9 10 9.2 9.2 9.5 9.6 9.5 9.1 8.9 9 10.1 10.3 10.2 9.6 9.2 9.3 9.4 9.4 9.2 9 9 9 9.8 10 9.8 9.3 9 9 9.1 9.1 9.1 9.2 8.8 8.3 8.4 8.1 7.7 7.9 7.9 8 7.9 7.6 7.1 6.8 6.5 6.9 8.2 8.7 8.3 7.9 7.5 7.8 8.3 8.4 8.2 7.7 7.2 7.3 8.1 8.5

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	0.414377	3.1829	0.001164
2	-0.249016	-1.9127	0.03032
3	-0.510345	-3.92	0.000117
4	-0.344392	-2.6453	0.005222
5	0.092968	0.7141	0.23899
6	0.388229	2.982	0.002079
7	0.246584	1.894	0.031562
8	-0.125756	-0.966	0.169005
9	-0.336133	-2.5819	0.006165
10	-0.249552	-1.9168	0.030052
11	0.058101	0.4463	0.328514
12	0.376795	2.8942	0.00266
13	0.104458	0.8024	0.212784
14	-0.109888	-0.8441	0.201021
15	-0.102212	-0.7851	0.217766
16	-0.060246	-0.4628	0.322621
17	0.056907	0.4371	0.331813
18	0.093003	0.7144	0.238908
19	0.0112	0.086	0.465868
20	-0.14207	-1.0913	0.139797
21	-0.191835	-1.4735	0.072965
22	-0.088925	-0.683	0.248625
23	0.108083	0.8302	0.204885
24	0.234309	1.7998	0.038506
25	0.012991	0.0998	0.460425
26	-0.159559	-1.2256	0.112611
27	-0.100647	-0.7731	0.221279
28	-0.036632	-0.2814	0.389705
29	0.097616	0.7498	0.228176
30	0.157479	1.2096	0.115625
31	0.08705	0.6686	0.253165
32	-0.155949	-1.1979	0.117879
33	-0.242673	-1.864	0.033649
34	-0.066879	-0.5137	0.304688
35	0.16839	1.2934	0.100453
36	0.292647	2.2479	0.014168

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.414377	3.1829	0.001164
2	-0.507943	-3.9016	0.000124
3	-0.234736	-1.803	0.038245
4	-0.136108	-1.0455	0.150037
5	0.108282	0.8317	0.204457
6	0.096096	0.7381	0.23168
7	-0.07692	-0.5908	0.278444
8	-0.114486	-0.8794	0.19138
9	-0.058426	-0.4488	0.327619
10	-0.057642	-0.4428	0.32978
11	0.028024	0.2153	0.415154
12	0.182302	1.4003	0.083332
13	-0.397019	-3.0496	0.001715
14	0.269919	2.0733	0.021261
15	0.102017	0.7836	0.218203
16	-0.07569	-0.5814	0.281599
17	0.019435	0.1493	0.440919
18	-0.0981	-0.7535	0.227066
19	0.066819	0.5132	0.304848
20	-0.145226	-1.1155	0.13458
21	-0.145012	-1.1139	0.134928
22	-0.034675	-0.2663	0.395451
23	0.088188	0.6774	0.250405
24	-0.06941	-0.5331	0.297967
25	-0.024856	-0.1909	0.424621
26	-0.11087	-0.8516	0.198937
27	0.072162	0.5543	0.290739
28	-0.017887	-0.1374	0.445595
29	-0.045945	-0.3529	0.362708
30	0.032551	0.25	0.401718
31	-0.015547	-0.1194	0.452674
32	-0.175763	-1.3501	0.091077
33	0.040803	0.3134	0.377536
34	0.069521	0.534	0.297675
35	-0.012847	-0.0987	0.460863
36	0.132229	1.0157	0.156967

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259930221e91ka92dlmlpxf2/130ou1259930097.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259930221e91ka92dlmlpxf2/130ou1259930097.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259930221e91ka92dlmlpxf2/276tj1259930097.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259930221e91ka92dlmlpxf2/276tj1259930097.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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