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paper diff2ACF WLH

*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, 27 Dec 2009 07:59:10 -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/27/t12619261444s1es6cspwgrvl6.htm/, Retrieved Sun, 27 Dec 2009 16:02:27 +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/27/t12619261444s1es6cspwgrvl6.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 «

401 394 372 334 320 334 400 427 423 395 373 377 391 398 393 375 371 364 400 406 407 397 389 394 399 401 396 392 384 370 380 376 378 376 373 374 379 376 371 375 360 338 352 344 330 334 333 343 350 341 320 302 287 304 370 385 365 333 313 330 367

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	0.325217	2.2296	0.015296
2	-0.232004	-1.5905	0.059209
3	-0.617769	-4.2352	5.3e-05
4	-0.412806	-2.8301	0.003413
5	0.024236	0.1662	0.434374
6	0.370699	2.5414	0.0072
7	0.304067	2.0846	0.021284
8	-0.01122	-0.0769	0.469507
9	-0.162491	-1.114	0.135475
10	-0.19513	-1.3377	0.093709
11	0.076734	0.5261	0.300659
12	0.059318	0.4067	0.34305
13	0.088467	0.6065	0.273552
14	0.021132	0.1449	0.442716
15	-0.060435	-0.4143	0.340262
16	-0.015541	-0.1065	0.457801
17	-0.046026	-0.3155	0.376874
18	-0.002408	-0.0165	0.493451
19	-0.055421	-0.3799	0.352849
20	0.087374	0.599	0.276023
21	0.112853	0.7737	0.221497
22	0.040289	0.2762	0.391799
23	-0.109259	-0.749	0.228783
24	-0.182173	-1.2489	0.10894
25	-0.057875	-0.3968	0.346665
26	0.126118	0.8646	0.195818
27	0.252302	1.7297	0.045124
28	-0.00625	-0.0429	0.483001
29	-0.121588	-0.8336	0.204372
30	-0.23486	-1.6101	0.057035
31	-0.025384	-0.174	0.431297
32	0.170436	1.1684	0.124259
33	0.270569	1.8549	0.034943
34	0.078586	0.5388	0.296299
35	-0.199824	-1.3699	0.08861
36	-0.314486	-2.156	0.018117
37	-0.148426	-1.0176	0.157049
38	0.139546	0.9567	0.171813
39	0.236188	1.6192	0.056046
40	0.160603	1.101	0.138244
41	-0.035259	-0.2417	0.405022
42	-0.116421	-0.7981	0.214401
43	-0.087468	-0.5996	0.27581
44	-0.010525	-0.0722	0.471392
45	0.011108	0.0762	0.469809
46	0.005209	0.0357	0.485831
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.325217	2.2296	0.015296
2	-0.37772	-2.5895	0.006377
3	-0.509979	-3.4962	0.000521
4	-0.2182	-1.4959	0.070682
5	-0.116575	-0.7992	0.214099
6	-0.059295	-0.4065	0.343107
7	-0.147716	-1.0127	0.158196
8	-0.19981	-1.3698	0.088625
9	0.021596	0.1481	0.441467
10	-0.089551	-0.6139	0.271112
11	0.147804	1.0133	0.158055
12	-0.155462	-1.0658	0.14598
13	0.051989	0.3564	0.36156
14	0.164689	1.129	0.132304
15	-0.023743	-0.1628	0.435698
16	0.151234	1.0368	0.152565
17	-0.05979	-0.4099	0.34187
18	0.062452	0.4281	0.33525
19	-0.044403	-0.3044	0.381078
20	0.098942	0.6783	0.250451
21	0.155116	1.0634	0.146512
22	-0.138064	-0.9465	0.174362
23	0.013383	0.0917	0.463644
24	-0.10858	-0.7444	0.230175
25	-0.006342	-0.0435	0.482753
26	0.09451	0.6479	0.260092
27	-0.045827	-0.3142	0.377391
28	-0.166111	-1.1388	0.130279
29	-0.005322	-0.0365	0.485525
30	-0.053247	-0.365	0.358358
31	0.01878	0.1287	0.449053
32	-0.025773	-0.1767	0.430255
33	0.190418	1.3054	0.099048
34	0.033886	0.2323	0.408653
35	0.005589	0.0383	0.4848
36	-0.039646	-0.2718	0.393483
37	-0.025815	-0.177	0.430143
38	-0.028547	-0.1957	0.42284
39	-0.055848	-0.3829	0.35177
40	-0.131728	-0.9031	0.185544
41	-0.022306	-0.1529	0.439557
42	0.024269	0.1664	0.434286
43	-0.012551	-0.086	0.465899
44	-0.031425	-0.2154	0.41518
45	-0.044728	-0.3066	0.380235
46	0.0695	0.4765	0.317974
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/27/t12619261444s1es6cspwgrvl6/1e0ij1261925947.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/27/t12619261444s1es6cspwgrvl6/1e0ij1261925947.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/27/t12619261444s1es6cspwgrvl6/2wkmk1261925947.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/27/t12619261444s1es6cspwgrvl6/2wkmk1261925947.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; 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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