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ws9-4

*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 13:46:30 -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/t1259959633ru79mnbizj7uj20.htm/, Retrieved Fri, 04 Dec 2009 21:47:15 +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/t1259959633ru79mnbizj7uj20.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 «

2360 2214 2825 2355 2333 3016 2155 2172 2150 2533 2058 2160 2260 2498 2695 2799 2947 2930 2318 2540 2570 2669 2450 2842 3440 2678 2981 2260 2844 2546 2456 2295 2379 2479 2057 2280 2351 2276 2548 2311 2201 2725 2408 2139 1898 2537 2069 2063 2524 2437 2189 2793 2074 2622 2278 2144 2427 2139 1828 2072 1800 1758 2246 1987 1868 2514 2121

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	-0.531855	-4.3208	2.7e-05
2	-0.005718	-0.0465	0.481544
3	0.171228	1.3911	0.084439
4	-0.062148	-0.5049	0.307659
5	-0.072195	-0.5865	0.279766
6	0.00901	0.0732	0.470935
7	-0.048134	-0.391	0.348511
8	0.022401	0.182	0.428075
9	0.073318	0.5956	0.276727
10	-0.073604	-0.598	0.275957
11	-0.04353	-0.3536	0.362368
12	0.185146	1.5041	0.068659
13	-0.163781	-1.3306	0.093956
14	0.037801	0.3071	0.379868
15	0.091942	0.7469	0.228875
16	-0.15447	-1.2549	0.106967
17	0.149797	1.217	0.113977
18	-0.124189	-1.0089	0.15835

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.531855	-4.3208	2.7e-05
2	-0.40242	-3.2693	0.000857
3	-0.078313	-0.6362	0.263418
4	0.044665	0.3629	0.358934
5	-0.035902	-0.2917	0.385728
6	-0.139466	-1.133	0.130651
7	-0.247358	-2.0095	0.024286
8	-0.204638	-1.6625	0.050579
9	0.015038	0.1222	0.451569
10	0.05059	0.411	0.341204
11	-0.125825	-1.0222	0.155207
12	0.008095	0.0658	0.473881
13	-0.081934	-0.6656	0.253982
14	-0.04508	-0.3662	0.357682
15	0.088449	0.7186	0.237472
16	-0.059534	-0.4837	0.315115
17	0.066427	0.5397	0.295624
18	-0.092654	-0.7527	0.227145

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259959633ru79mnbizj7uj20/15ktw1259959589.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259959633ru79mnbizj7uj20/15ktw1259959589.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259959633ru79mnbizj7uj20/2eewg1259959589.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259959633ru79mnbizj7uj20/2eewg1259959589.ps (open in new window)

Parameters (Session):

par1 = Default ; par2 = 0.5 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = Default ; par2 = 0.5 ; par3 = 1 ; par4 = 0 ; 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')

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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