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SHW 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: Tue, 24 Nov 2009 04:55:31 -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/Nov/24/t1259063794gkhkq1wqsjgzn3d.htm/, Retrieved Tue, 24 Nov 2009 12:56:36 +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/Nov/24/t1259063794gkhkq1wqsjgzn3d.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 «

8.6 8.5 8.3 7.8 7.8 8 8.6 8.9 8.9 8.6 8.3 8.3 8.3 8.4 8.5 8.4 8.6 8.5 8.5 8.5 8.5 8.5 8.5 8.5 8.5 8.5 8.5 8.5 8.6 8.4 8.1 8 8 8 8 7.9 7.8 7.8 7.9 8.1 8 7.6 7.3 7 6.8 7 7.1 7.2 7.1 6.9 6.7 6.7 6.6 6.9 7.3 7.5 7.3 7.1 6.9 7.1

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	0.878311	6.0851	0
2	0.620389	4.2982	4.2e-05
3	0.367254	2.5444	0.007109
4	0.221115	1.5319	0.066052
5	0.204218	1.4149	0.081781
6	0.250768	1.7374	0.044367
7	0.279814	1.9386	0.029221
8	0.265592	1.8401	0.035972
9	0.201062	1.393	0.085019
10	0.126631	0.8773	0.19234
11	0.061491	0.426	0.335998
12	0.007708	0.0534	0.478816
13	-0.035563	-0.2464	0.403216
14	-0.065084	-0.4509	0.327041
15	-0.093197	-0.6457	0.260778
16	-0.117227	-0.8122	0.21035
17	-0.152849	-1.059	0.147457
18	-0.200813	-1.3913	0.085279
19	-0.243286	-1.6855	0.049188
20	-0.266566	-1.8468	0.035471
21	-0.27999	-1.9398	0.029144
22	-0.282997	-1.9607	0.027868
23	-0.282671	-1.9584	0.028004
24	-0.281266	-1.9487	0.028597
25	-0.27911	-1.9337	0.029527
26	-0.278034	-1.9263	0.030001
27	-0.284044	-1.9679	0.027435
28	-0.276444	-1.9153	0.030714
29	-0.233648	-1.6188	0.056026
30	-0.155985	-1.0807	0.142617
31	-0.07405	-0.513	0.30514
32	-0.032334	-0.224	0.411848
33	-0.063122	-0.4373	0.33192
34	-0.140041	-0.9702	0.168398
35	-0.210859	-1.4609	0.075283
36	-0.211331	-1.4641	0.074837
37	-0.1217	-0.8432	0.201659
38	0.009884	0.0685	0.472844
39	0.119413	0.8273	0.206076
40	0.16601	1.1501	0.12789
41	0.151037	1.0464	0.150306
42	0.110253	0.7639	0.224347
43	0.067451	0.4673	0.321195
44	0.034035	0.2358	0.407295
45	0.01404	0.0973	0.461457
46	0.004933	0.0342	0.486438
47	0.000801	0.0055	0.497798
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	0.878311	6.0851	0
2	-0.660814	-4.5783	1.7e-05
3	0.331512	2.2968	0.013018
4	0.207172	1.4353	0.078839
5	0.08794	0.6093	0.27261
6	-0.139544	-0.9668	0.169247
7	-0.02381	-0.165	0.434835
8	0.162145	1.1234	0.133434
9	-0.195685	-1.3557	0.090763
10	0.122315	0.8474	0.200482
11	-0.193399	-1.3399	0.093293
12	0.003556	0.0246	0.490224
13	-0.04217	-0.2922	0.385711
14	0.03557	0.2464	0.403197
15	-0.156292	-1.0828	0.142148
16	-0.005525	-0.0383	0.484812
17	-0.11883	-0.8233	0.207211
18	-0.035662	-0.2471	0.402952
19	0.050839	0.3522	0.363106
20	-0.092744	-0.6426	0.261786
21	-0.137529	-0.9528	0.172725
22	0.040956	0.2838	0.38891
23	0.051706	0.3582	0.360871
24	-0.123859	-0.8581	0.197545
25	-0.014098	-0.0977	0.4613
26	-0.045349	-0.3142	0.377371
27	-0.059409	-0.4116	0.341232
28	0.156182	1.0821	0.142316
29	0.152298	1.0552	0.148319
30	-0.126302	-0.875	0.192953
31	-0.057639	-0.3993	0.34571
32	-0.032398	-0.2245	0.411677
33	-0.151509	-1.0497	0.14956
34	0.043567	0.3018	0.382039
35	-0.009509	-0.0659	0.473875
36	0.093139	0.6453	0.260906
37	0.030409	0.2107	0.417014
38	0.00755	0.0523	0.47925
39	-0.003381	-0.0234	0.490704
40	-0.039183	-0.2715	0.393598
41	0.131917	0.9139	0.182657
42	-0.175825	-1.2182	0.11456
43	-0.063827	-0.4422	0.330162
44	-0.017909	-0.1241	0.450885
45	-0.054513	-0.3777	0.353669
46	-0.076614	-0.5308	0.299003
47	-0.027141	-0.188	0.42582
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/Nov/24/t1259063794gkhkq1wqsjgzn3d/1t3ti1259063730.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259063794gkhkq1wqsjgzn3d/1t3ti1259063730.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259063794gkhkq1wqsjgzn3d/2zu2q1259063730.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259063794gkhkq1wqsjgzn3d/2zu2q1259063730.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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