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WS8

*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: Sun, 13 Dec 2009 08:08:56 -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/13/t1260717030vj5r978htlutado.htm/, Retrieved Sun, 13 Dec 2009 16:10:32 +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/13/t1260717030vj5r978htlutado.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 «

181.10 191.20 206.20 212.00 224.70 231.30 229.30 227.40 253.90 265.90 277.70 292.10 282.90 292.80 311.00 330.90 350.00 348.50 360.90 345.90 308.80 320.00 322.00 322.90 343.30 354.70 376.60 383.20 392.50 388.20 407.40 412.50 419.80 418.10 389.20 391.60 412.90 385.90 385.50 350.20 336.30 318.50 345.40 377.40 359.50 315.60 307.80 277.40 186.90 160.00 149.10 148.90 137.90 134.00 157.50 175.10 181.00 182.20 207.80 219.40

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	0.381402	2.9296	0.00241
2	0.138455	1.0635	0.145946
3	0.193717	1.488	0.071042
4	0.109258	0.8392	0.202366
5	-0.033563	-0.2578	0.398728
6	-0.099437	-0.7638	0.224019
7	0.048832	0.3751	0.354471
8	0.092841	0.7131	0.239289
9	-0.039878	-0.3063	0.380224
10	-0.060752	-0.4666	0.321236
11	0.066423	0.5102	0.305906
12	0.018811	0.1445	0.442803
13	-0.010037	-0.0771	0.469404
14	0.090001	0.6913	0.246041
15	0.009439	0.0725	0.471225
16	-0.016822	-0.1292	0.448814
17	-0.019542	-0.1501	0.440596
18	-0.084983	-0.6528	0.25822
19	-0.040132	-0.3083	0.379484
20	-0.05798	-0.4454	0.328848
21	-0.101003	-0.7758	0.220478
22	-0.074668	-0.5735	0.284231
23	-0.174448	-1.34	0.092699
24	-0.141075	-1.0836	0.141471
25	0.017308	0.1329	0.447344
26	-0.031893	-0.245	0.403662
27	0.047746	0.3667	0.35756
28	0.201539	1.5481	0.063479
29	0.042286	0.3248	0.373238
30	-0.061815	-0.4748	0.318339
31	-0.085381	-0.6558	0.257244
32	-0.065354	-0.502	0.30877
33	-0.066574	-0.5114	0.305502
34	-0.093037	-0.7146	0.238828
35	-0.105716	-0.812	0.210023
36	-0.089363	-0.6864	0.247571

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.381402	2.9296	0.00241
2	-0.008206	-0.063	0.474977
3	0.168064	1.2909	0.100882
4	-0.023504	-0.1805	0.428675
5	-0.09312	-0.7153	0.238632
6	-0.096402	-0.7405	0.230975
7	0.131631	1.0111	0.158054
8	0.070335	0.5403	0.295528
9	-0.07788	-0.5982	0.275996
10	-0.056833	-0.4365	0.332019
11	0.07639	0.5868	0.2798
12	-0.024918	-0.1914	0.424434
13	0.048838	0.3751	0.354454
14	0.092978	0.7142	0.238966
15	-0.122452	-0.9406	0.17538
16	-0.005009	-0.0385	0.48472
17	0.001988	0.0153	0.493934
18	-0.087404	-0.6714	0.252305
19	0.031795	0.2442	0.403954
20	-0.021688	-0.1666	0.434133
21	-0.088156	-0.6771	0.250483
22	-0.031159	-0.2393	0.405837
23	-0.139138	-1.0687	0.144771
24	-0.007484	-0.0575	0.477176
25	0.126831	0.9742	0.166966
26	-0.026966	-0.2071	0.41831
27	0.093898	0.7212	0.236805
28	0.143649	1.1034	0.13717
29	-0.143054	-1.0988	0.138156
30	-0.082571	-0.6342	0.264188
31	-0.052152	-0.4006	0.345087
32	-0.008022	-0.0616	0.475538
33	-0.009263	-0.0712	0.471759
34	0.031307	0.2405	0.4054
35	-0.126058	-0.9683	0.16843
36	-0.119291	-0.9163	0.181623

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260717030vj5r978htlutado/12oah1260716935.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260717030vj5r978htlutado/12oah1260716935.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260717030vj5r978htlutado/2lqt71260716935.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260717030vj5r978htlutado/2lqt71260716935.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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