W9.2

*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 07:24:14 -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/t1259936712e63mdjvk7spiund.htm/, Retrieved Fri, 04 Dec 2009 15:25:14 +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/t1259936712e63mdjvk7spiund.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 «

474605 470390 461251 454724 455626 516847 525192 522975 518585 509239 512238 519164 517009 509933 509127 500875 506971 569323 579714 577992 565644 547344 554788 562325 560854 555332 543599 536662 542722 593530 610763 612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799 574205 572775 572942 619567 625809 619916 587625 565724 557274 560576 548854 531673 525919 511038 498662 555362 564591 541667 527070 509846 514258 516922 507561 492622 490243 469357 477580 528379 533590 517945 506174 501866 516441 528222 532638

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 0.05444 0.4619 0.322759 2 0.136876 1.1614 0.124651 3 0.149513 1.2687 0.104325 4 0.03169 0.2689 0.394387 5 0.045593 0.3869 0.349997 6 0.091981 0.7805 0.218832 7 0.015192 0.1289 0.448893 8 0.203558 1.7272 0.044205 9 0.02738 0.2323 0.408472 10 -0.079682 -0.6761 0.250565 11 0.190193 1.6138 0.055469 12 -0.180006 -1.5274 0.065521 13 -0.013888 -0.1178 0.45326 14 0.194659 1.6517 0.051471 15 0.021493 0.1824 0.4279 16 0.005917 0.0502 0.480047 17 -0.074964 -0.6361 0.263368 18 0.016319 0.1385 0.445127 19 0.004458 0.0378 0.484967 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.05444 0.4619 0.322759 2 0.134311 1.1397 0.129102 3 0.138655 1.1765 0.12163 4 0.00249 0.0211 0.491603 5 0.00681 0.0578 0.477038 6 0.068126 0.5781 0.28251 7 -0.000643 -0.0055 0.49783 8 0.183971 1.561 0.061449 9 -0.007425 -0.063 0.474971 10 -0.140554 -1.1926 0.118463 11 0.15512 1.3162 0.096134 12 -0.199256 -1.6907 0.047605 13 -0.015101 -0.1281 0.4492 14 0.213506 1.8117 0.037104 15 0.03333 0.2828 0.389066 16 -0.071837 -0.6096 0.272036 17 -0.165311 -1.4027 0.0825 18 0.099752 0.8464 0.20006 19 -0.024497 -0.2079 0.41796

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259936712e63mdjvk7spiund/1aq5n1259936652.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/04/t1259936712e63mdjvk7spiund/1aq5n1259936652.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/04/t1259936712e63mdjvk7spiund/21eii1259936652.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/04/t1259936712e63mdjvk7spiund/21eii1259936652.ps (open in new window)

Parameters (Session):

par1 = Default ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = Default ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; 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')

Copyright

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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