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Paper-ACF3-Yt

*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: Tue, 15 Dec 2009 11:09:38 -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/15/t1260900638yusjb4zaqzeq14y.htm/, Retrieved Tue, 15 Dec 2009 19:10:40 +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/15/t1260900638yusjb4zaqzeq14y.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:

SDHW, DSHW

Dataseries X:

» Textbox « » Textfile « » CSV «

128 502 629.7 595.9 823.7 498.7 766.9 1611.3 329.7 1378.9 1159.4 790.1 -189.6 862.4 426.6 852 834.7 1026.7 1052.8 1280.9 -243.6 976 908.2 416 610.7 728 520.8 905.8 768.9 479.3 1054.2 1411.9 -131 1526.2 1049.5 550.8 168.5 458.2 297 616.3 762.7 693.1 512.7 1169.2 -915.1 1384.2 1368.9 -275.1 -408.9 -37.5 171.5 671.8 -18.5 231.6 747.5 1505.7 -83.6 1173.2 1452.1 777 -52.8 861.2 735.2 1073.6 966.9 1189.8 1093.5 1782.7 -70.4 1471.6 1273.8 900.8 -910.2 299.8 460.2 677.2 937.1 1265.4 1275.6 1582.6 -154.2 1667.7 1083.1 891.7 -26.5 423.4 662.8 711.4 993.3 1133.2 343.9 1415.8 -531.8 1193.6 1201.3 805.6 -164.8

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.381964	3.5215	0.000346
2	0.297407	2.742	0.003723
3	0.250406	2.3086	0.011696
4	0.119968	1.106	0.135913
5	0.20714	1.9097	0.02977
6	0.048807	0.45	0.326937
7	-0.029494	-0.2719	0.39317
8	-0.00631	-0.0582	0.476873
9	-0.062261	-0.574	0.283735
10	-0.039446	-0.3637	0.358502
11	-0.223491	-2.0605	0.021205
12	-0.444959	-4.1023	4.7e-05
13	-0.180209	-1.6614	0.050154
14	-0.249551	-2.3007	0.011927
15	-0.080069	-0.7382	0.231212
16	-0.132901	-1.2253	0.111926
17	-0.141237	-1.3021	0.098193
18	-0.056048	-0.5167	0.303342
19	-0.038117	-0.3514	0.363072
20	-0.004293	-0.0396	0.484261
21	-0.027131	-0.2501	0.401544
22	0.038573	0.3556	0.361502
23	0.046983	0.4332	0.332996
24	0.039907	0.3679	0.356923
25	0.015395	0.1419	0.443734
26	-0.055557	-0.5122	0.304917
27	-0.064667	-0.5962	0.276312
28	0.046022	0.4243	0.336209
29	-0.049333	-0.4548	0.325197
30	0.036266	0.3344	0.369466
31	-0.076807	-0.7081	0.240402
32	-0.011939	-0.1101	0.456307
33	-0.012067	-0.1113	0.455838
34	-0.146005	-1.3461	0.090924
35	-0.053407	-0.4924	0.311856
36	-0.111549	-1.0284	0.153332
37	-0.050636	-0.4668	0.320905
38	0.060605	0.5587	0.288902
39	-0.089293	-0.8232	0.206338
40	-0.068907	-0.6353	0.263472
41	0.011654	0.1074	0.457343
42	-0.068628	-0.6327	0.264308
43	0.09698	0.8941	0.186895
44	-0.008423	-0.0777	0.469143
45	0.013612	0.1255	0.450215
46	0.066088	0.6093	0.271974
47	0.028621	0.2639	0.396258
48	0.032847	0.3028	0.381376
49	0.018814	0.1735	0.431351
50	0.04428	0.4082	0.342061
51	0.098124	0.9047	0.184101
52	0.083369	0.7686	0.222124
53	0.091056	0.8395	0.201774
54	0.082823	0.7636	0.223612
55	-0.068725	-0.6336	0.264017
56	-0.016956	-0.1563	0.438072
57	-0.062425	-0.5755	0.283226
58	-0.041605	-0.3836	0.351123
59	-0.04389	-0.4046	0.343377
60	0.043666	0.4026	0.344133

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.381964	3.5215	0.000346
2	0.177392	1.6355	0.052824
3	0.107832	0.9942	0.161483
4	-0.046221	-0.4261	0.335543
5	0.141045	1.3004	0.098494
6	-0.104186	-0.9605	0.169752
7	-0.097417	-0.8981	0.185825
8	-0.006654	-0.0614	0.475612
9	-0.027216	-0.2509	0.401242
10	-0.013252	-0.1222	0.451522
11	-0.225646	-2.0803	0.020252
12	-0.36782	-3.3911	0.000529
13	0.152493	1.4059	0.081697
14	-0.040202	-0.3706	0.355914
15	0.164106	1.513	0.066996
16	-0.081329	-0.7498	0.227717
17	0.069074	0.6368	0.262973
18	-0.07555	-0.6965	0.243998
19	0.03471	0.32	0.374872
20	-0.019789	-0.1824	0.427834
21	0.00936	0.0863	0.465717
22	0.094998	0.8758	0.191794
23	-0.16004	-1.4755	0.071886
24	-0.174095	-1.6051	0.056093
25	-0.0324	-0.2987	0.382942
26	-0.146269	-1.3485	0.090535
27	0.075694	0.6979	0.243584
28	0.055027	0.5073	0.306621
29	-0.019164	-0.1767	0.430089
30	0.037582	0.3465	0.364915
31	-0.126918	-1.1701	0.12261
32	0.069231	0.6383	0.262505
33	-0.033357	-0.3075	0.379592
34	-0.050825	-0.4686	0.320284
35	-0.061886	-0.5706	0.284903
36	-0.094929	-0.8752	0.191965
37	-0.056796	-0.5236	0.300948
38	-0.013529	-0.1247	0.450515
39	-0.115145	-1.0616	0.145716
40	-0.029227	-0.2695	0.394115
41	0.067197	0.6195	0.268613
42	-0.010181	-0.0939	0.462721
43	0.034932	0.3221	0.3741
44	0.056224	0.5184	0.302778
45	-0.071346	-0.6578	0.25623
46	-0.029036	-0.2677	0.394789
47	-0.047278	-0.4359	0.332013
48	-0.159699	-1.4724	0.07231
49	0.082263	0.7584	0.225146
50	0.02376	0.2191	0.413566
51	-0.043911	-0.4048	0.343305
52	-0.021317	-0.1965	0.422333
53	0.02565	0.2365	0.406813
54	0.008511	0.0785	0.46882
55	-0.108124	-0.9969	0.160832
56	-0.030225	-0.2787	0.39059
57	-0.056369	-0.5197	0.302314
58	0.004251	0.0392	0.484414
59	-0.082205	-0.7579	0.225306
60	0.021573	0.1989	0.42141

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260900638yusjb4zaqzeq14y/1iw351260900575.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260900638yusjb4zaqzeq14y/1iw351260900575.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260900638yusjb4zaqzeq14y/2kvyv1260900575.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260900638yusjb4zaqzeq14y/2kvyv1260900575.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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