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Workshop 8: Method 1 - Part3

*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: Mon, 07 Dec 2009 05:49:27 -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/07/t1260190269ptanz7hcgitgjp8.htm/, Retrieved Mon, 07 Dec 2009 13:51:11 +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/07/t1260190269ptanz7hcgitgjp8.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 «

269645 267037 258113 262813 267413 267366 264777 258863 254844 254868 277267 285351 286602 283042 276687 277915 277128 277103 275037 270150 267140 264993 287259 291186 292300 288186 281477 282656 280190 280408 276836 275216 274352 271311 289802 290726 292300 278506 269826 265861 269034 264176 255198 253353 246057 235372 258556 260993 254663 250643 243422 247105 248541 245039 237080 237085 225554 226839 247934 248333 246969 245098 246263 255765 264319 268347 273046 273963 267430 271993 292710 295881

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	0.121866	0.9361	0.176526
2	0.309216	2.3751	0.010406
3	0.320021	2.4581	0.008461
4	0.227016	1.7437	0.043206
5	0.104571	0.8032	0.212535
6	0.199386	1.5315	0.065494
7	0.098474	0.7564	0.226212
8	0.159152	1.2225	0.113195
9	0.093865	0.721	0.236881
10	-0.070138	-0.5387	0.296048
11	0.340112	2.6125	0.005693
12	-0.130873	-1.0053	0.159441
13	0.030889	0.2373	0.406636
14	0.103561	0.7955	0.214764
15	0.078022	0.5993	0.275635
16	-0.063958	-0.4913	0.312527
17	0.099744	0.7661	0.223322
18	-0.091513	-0.7029	0.242434
19	0.010415	0.08	0.468254
20	-0.09032	-0.6938	0.245278
21	-0.118127	-0.9074	0.183955
22	0.013187	0.1013	0.459831
23	-0.177618	-1.3643	0.088826
24	-0.147704	-1.1345	0.13058
25	-0.121519	-0.9334	0.177207
26	-0.039162	-0.3008	0.382308
27	-0.204088	-1.5676	0.061158
28	-0.120348	-0.9244	0.17952
29	-0.094608	-0.7267	0.235142
30	-0.094369	-0.7249	0.2357
31	-0.084937	-0.6524	0.258334
32	-0.041526	-0.319	0.37544
33	-0.023026	-0.1769	0.430109
34	-0.128088	-0.9839	0.164601
35	-0.009944	-0.0764	0.469686
36	-0.07903	-0.607	0.273076

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.121866	0.9361	0.176526
2	0.298802	2.2951	0.012649
3	0.286654	2.2018	0.0158
4	0.130335	1.0011	0.160428
5	-0.083725	-0.6431	0.261323
6	0.019042	0.1463	0.442105
7	-0.009601	-0.0737	0.470732
8	0.088504	0.6798	0.24964
9	0.020045	0.154	0.439079
10	-0.21896	-1.6819	0.048941
11	0.317488	2.4387	0.008885
12	-0.18785	-1.4429	0.077168
13	-0.058581	-0.45	0.327189
14	0.060993	0.4685	0.320578
15	0.075046	0.5764	0.283256
16	-0.017441	-0.134	0.446941
17	-0.0454	-0.3487	0.364268
18	-0.121256	-0.9314	0.177726
19	-0.020502	-0.1575	0.437703
20	-0.080006	-0.6145	0.27061
21	0.009586	0.0736	0.470777
22	-0.072981	-0.5606	0.288604
23	-0.034578	-0.2656	0.395736
24	-0.065541	-0.5034	0.308268
25	-0.116257	-0.893	0.187746
26	0.119224	0.9158	0.181755
27	0.000685	0.0053	0.497911
28	-0.160801	-1.2351	0.110838
29	0.103021	0.7913	0.215963
30	-0.054378	-0.4177	0.338848
31	0.117282	0.9009	0.185663
32	0.046095	0.3541	0.362276
33	-0.026853	-0.2063	0.418648
34	-0.086292	-0.6628	0.255012
35	0.063553	0.4882	0.313623
36	0.005087	0.0391	0.484483

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260190269ptanz7hcgitgjp8/1q56d1260190166.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260190269ptanz7hcgitgjp8/1q56d1260190166.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260190269ptanz7hcgitgjp8/2knle1260190166.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260190269ptanz7hcgitgjp8/2knle1260190166.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 = 1 ; 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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