Workshop 9

*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: Thu, 10 Dec 2009 15:43:42 -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/10/t1260485077g8aiigdaq32pgsf.htm/, Retrieved Thu, 10 Dec 2009 23:44:40 +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/10/t1260485077g8aiigdaq32pgsf.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:

verbetering 3

Dataseries X:

» Textbox « » Textfile « » CSV «

1.43 1.43 1.43 1.43 1.43 1.43 1.44 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.57 1.58 1.58 1.58 1.58 1.59 1.6 1.6 1.61 1.61 1.61 1.62 1.63 1.63 1.64 1.64 1.64 1.64 1.64 1.65 1.65 1.65 1.65

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 6 seconds R Server 'Gwilym Jenkins' @ 72.249.127.135 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.947211 7.3371 0 2 0.889916 6.8933 0 3 0.832021 6.4448 0 4 0.773224 5.9894 0 5 0.717526 5.5579 0 6 0.658223 5.0986 2e-06 7 0.598225 4.6338 1e-05 8 0.548961 4.2522 3.8e-05 9 0.496392 3.845 0.000147 10 0.447223 3.4642 0.000494 11 0.397753 3.081 0.001556 12 0.348679 2.7009 0.004488 13 0.300601 2.3284 0.011638 14 0.251923 1.9514 0.027842 15 0.20024 1.5511 0.063074 16 0.152257 1.1794 0.121451 17 0.104275 0.8077 0.211225 18 0.059992 0.4647 0.321916 19 0.019108 0.148 0.441415 20 -0.024479 -0.1896 0.425127 21 -0.068066 -0.5272 0.299988 22 -0.111653 -0.8649 0.195281 23 -0.15154 -1.1738 0.122553 24 -0.158128 -1.2249 0.112708 25 -0.164717 -1.2759 0.103455 26 -0.171306 -1.3269 0.09478 27 -0.177894 -1.378 0.086666 28 -0.184483 -1.429 0.079095 29 -0.191072 -1.48 0.072048 30 -0.19766 -1.5311 0.065504 31 -0.215063 -1.6659 0.050476 32 -0.236371 -1.8309 0.036039 33 -0.257979 -1.9983 0.025111 34 -0.279588 -2.1657 0.017161 35 -0.301196 -2.3331 0.011508 36 -0.324006 -2.5097 0.007399 37 -0.348318 -2.6981 0.004522 38 -0.346751 -2.6859 0.004671 39 -0.343476 -2.6606 0.004996 40 -0.340503 -2.6375 0.00531 41 -0.337529 -2.6145 0.005641 42 -0.335757 -2.6008 0.005848 43 -0.332578 -2.5761 0.006235 44 -0.32679 -2.5313 0.007001 45 -0.322204 -2.4958 0.007667 46 -0.31501 -2.4401 0.008828 47 -0.307816 -2.3843 0.010145 48 -0.300621 -2.3286 0.011634 49 -0.290518 -2.2503 0.014053 50 -0.278708 -2.1589 0.017435 51 -0.267198 -2.0697 0.021397 52 -0.252779 -1.958 0.027441 53 -0.23836 -1.8463 0.034889 54 -0.209142 -1.62 0.055237 55 -0.176225 -1.365 0.08867 56 -0.143307 -1.11 0.135704 57 -0.10748 -0.8325 0.204204 58 -0.071653 -0.555 0.290471 59 -0.035827 -0.2775 0.39117 60 NA NA NA Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.947211 7.3371 0 2 -0.070945 -0.5495 0.292337 3 -0.03442 -0.2666 0.395341 4 -0.040033 -0.3101 0.378781 5 -0.002078 -0.0161 0.493606 6 -0.070172 -0.5436 0.294382 7 -0.039873 -0.3089 0.379251 8 0.068544 0.5309 0.29871 9 -0.072054 -0.5581 0.289417 10 -0.001621 -0.0126 0.495012 11 -0.040693 -0.3152 0.376849 12 -0.024561 -0.1902 0.424879 13 -0.037411 -0.2898 0.38649 14 -0.041371 -0.3205 0.374866 15 -0.0604 -0.4679 0.32079 16 -0.01095 -0.0848 0.466344 17 -0.037162 -0.2879 0.387226 18 -0.010848 -0.084 0.466656 19 -0.01062 -0.0823 0.467356 20 -0.06868 -0.532 0.298347 21 -0.046728 -0.362 0.359329 22 -0.052043 -0.4031 0.344145 23 -0.004943 -0.0383 0.484793 24 0.277356 2.1484 0.017864 25 -0.04622 -0.358 0.360792 26 -0.027012 -0.2092 0.417486 27 -0.037089 -0.2873 0.387439 28 -0.010218 -0.0791 0.468589 29 -0.054265 -0.4203 0.337872 30 -0.025111 -0.1945 0.423217 31 -0.08186 -0.6341 0.264219 32 -0.095676 -0.7411 0.230761 33 -0.020671 -0.1601 0.436664 34 -0.042725 -0.3309 0.370918 35 -0.0387 -0.2998 0.382696 36 -0.059292 -0.4593 0.32385 37 -0.067794 -0.5251 0.300714 38 0.207935 1.6107 0.056252 39 -0.018454 -0.1429 0.443408 40 -0.028255 -0.2189 0.41375 41 -0.018945 -0.1467 0.441913 42 -0.01657 -0.1284 0.44915 43 -0.053918 -0.4176 0.338849 44 -0.012278 -0.0951 0.462274 45 -0.00112 -0.0087 0.496555 46 -0.007327 -0.0568 0.477465 47 0.08917 0.6907 0.246207 48 -0.047973 -0.3716 0.35575 49 0.004959 0.0384 0.484744 50 -0.008059 -0.0624 0.475216 51 -0.0263 -0.2037 0.419633 52 0.00303 0.0235 0.490675 53 -0.009186 -0.0712 0.471755 54 0.116429 0.9019 0.185369 55 -0.00523 -0.0405 0.48391 56 0.018952 0.1468 0.441892 57 0.006493 0.0503 0.480026 58 -0.00315 -0.0244 0.490308 59 -0.020626 -0.1598 0.4368 60 NA NA NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/10/t1260485077g8aiigdaq32pgsf/1r36o1260485015.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/10/t1260485077g8aiigdaq32pgsf/1r36o1260485015.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/10/t1260485077g8aiigdaq32pgsf/293lf1260485015.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/10/t1260485077g8aiigdaq32pgsf/293lf1260485015.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; 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')

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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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