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Shwws9_v1

*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, 11 Dec 2009 08:41:35 -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/11/t126054620529w9podnsn79s35.htm/, Retrieved Fri, 11 Dec 2009 16:43:27 +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/11/t126054620529w9podnsn79s35.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 «

102.1 102.86 102.99 103.73 105.02 104.43 104.63 104.93 105.87 105.66 106.76 106 107.22 107.33 107.11 108.86 107.72 107.88 108.38 107.72 108.41 109.9 111.45 112.18 113.34 113.46 114.06 115.54 116.39 115.94 116.97 115.94 115.91 116.43 116.26 116.35 117.9 117.7 117.53 117.86 117.65 116.51 115.93 115.31 115

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	-0.060604	-0.402	0.344814
2	0.142324	0.9441	0.175145
3	0.285472	1.8936	0.032432
4	-0.151165	-1.0027	0.160741
5	-0.054911	-0.3642	0.358713
6	0.16509	1.0951	0.139719
7	-0.096678	-0.6413	0.26233
8	-0.083369	-0.553	0.291529
9	0.136427	0.905	0.185209
10	-0.100963	-0.6697	0.253269
11	-0.050238	-0.3332	0.370267
12	0.178851	1.1864	0.120922
13	-0.071804	-0.4763	0.31811
14	-0.026201	-0.1738	0.43141
15	0.056268	0.3732	0.355382
16	-0.200462	-1.3297	0.095233
17	-0.171741	-1.1392	0.130392
18	0.08701	0.5772	0.283387
19	-0.211533	-1.4032	0.083795
20	-0.072986	-0.4841	0.315346
21	-0.028901	-0.1917	0.424428
22	-0.083222	-0.552	0.29186
23	-0.002312	-0.0153	0.493916
24	0.149531	0.9919	0.16334
25	-0.02824	-0.1873	0.426135
26	0.090058	0.5974	0.276659
27	-0.001606	-0.0107	0.495774
28	-0.042	-0.2786	0.390929
29	-0.001004	-0.0067	0.497358
30	-0.015617	-0.1036	0.458983
31	-0.089136	-0.5913	0.278685
32	0.072377	0.4801	0.31677
33	-0.011332	-0.0752	0.470211
34	-0.059271	-0.3932	0.34805
35	0.029525	0.1958	0.422815
36	0.011745	0.0779	0.469128

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.060604	-0.402	0.344814
2	0.139162	0.9231	0.180496
3	0.308415	2.0458	0.023391
4	-0.144129	-0.956	0.172137
5	-0.18938	-1.2562	0.107835
6	0.135099	0.8961	0.187525
7	0.067582	0.4483	0.328071
8	-0.131878	-0.8748	0.193222
9	0.015453	0.1025	0.459411
10	0.017932	0.1189	0.45293
11	-0.018645	-0.1237	0.451068
12	0.100373	0.6658	0.254507
13	0.005385	0.0357	0.485833
14	-0.05603	-0.3717	0.355964
15	-0.073507	-0.4876	0.314131
16	-0.14893	-0.9879	0.164305
17	-0.161208	-1.0693	0.145375
18	0.105466	0.6996	0.243934
19	-0.042015	-0.2787	0.390892
20	-0.094851	-0.6292	0.266246
21	-0.165755	-1.0995	0.138767
22	0.078138	0.5183	0.303419
23	0.132923	0.8817	0.191362
24	0.109275	0.7248	0.236191
25	-0.071888	-0.4769	0.317914
26	0.033041	0.2192	0.413766
27	-0.088966	-0.5901	0.27906
28	0.017685	0.1173	0.453575
29	0.041512	0.2754	0.392164
30	-0.020493	-0.1359	0.446245
31	-0.131995	-0.8756	0.193012
32	0.034122	0.2263	0.410993
33	0.038001	0.2521	0.40108
34	-0.016354	-0.1085	0.457055
35	-0.08459	-0.5611	0.288785
36	-0.068506	-0.4544	0.325881

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/11/t126054620529w9podnsn79s35/1ohbe1260546094.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t126054620529w9podnsn79s35/1ohbe1260546094.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t126054620529w9podnsn79s35/2qz0l1260546094.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t126054620529w9podnsn79s35/2qz0l1260546094.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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