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SHWWS8methode1a

*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 09:42:45 -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/t12590810321dcnlt5kaerso15.htm/, Retrieved Tue, 24 Nov 2009 17:43:55 +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/t12590810321dcnlt5kaerso15.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 «

161 149 139 135 130 127 122 117 112 113 149 157 157 147 137 132 125 123 117 114 111 112 144 150 149 134 123 116 117 111 105 102 95 93 124 130 124 115 106 105 105 101 95 93 84 87 116 120 117 109 105 107 109 109 108 107 99 103 131 137

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	0.77807	6.0269	0
2	0.480086	3.7187	0.000221
3	0.268207	2.0775	0.02102
4	0.154658	1.198	0.117819
5	0.120124	0.9305	0.177927
6	0.105185	0.8148	0.209216
7	0.088793	0.6878	0.247118
8	0.098169	0.7604	0.224994
9	0.206498	1.5995	0.057478
10	0.413637	3.204	0.001086
11	0.584965	4.5311	1.4e-05
12	0.641523	4.9692	3e-06
13	0.431549	3.3428	0.000716
14	0.16997	1.3166	0.096493
15	-0.009478	-0.0734	0.47086
16	-0.106195	-0.8226	0.207001
17	-0.136721	-1.059	0.146915
18	-0.157948	-1.2235	0.11297
19	-0.184574	-1.4297	0.078995
20	-0.187027	-1.4487	0.076313
21	-0.108521	-0.8406	0.201955
22	0.050875	0.3941	0.34746
23	0.172986	1.3399	0.092658
24	0.203698	1.5778	0.05993
25	0.035969	0.2786	0.390748
26	-0.1446	-1.1201	0.133574
27	-0.246467	-1.9091	0.030516
28	-0.290821	-2.2527	0.013974
29	-0.311022	-2.4092	0.009537
30	-0.324202	-2.5113	0.00737
31	-0.335182	-2.5963	0.005916
32	-0.330237	-2.558	0.006535
33	-0.25141	-1.9474	0.028085
34	-0.109512	-0.8483	0.199827
35	-0.017223	-0.1334	0.447159
36	-0.00018	-0.0014	0.499447

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.77807	6.0269	0
2	-0.317548	-2.4597	0.008402
3	0.065173	0.5048	0.307764
4	0.022564	0.1748	0.430921
5	0.061876	0.4793	0.316738
6	-0.019723	-0.1528	0.439546
7	0.009441	0.0731	0.470972
8	0.082286	0.6374	0.26315
9	0.276686	2.1432	0.018081
10	0.332357	2.5744	0.006263
11	0.164447	1.2738	0.103823
12	0.126617	0.9808	0.165321
13	-0.478228	-3.7043	0.000232
14	-0.056326	-0.4363	0.332093
15	-0.163035	-1.2629	0.105762
16	-0.094941	-0.7354	0.232476
17	-0.045502	-0.3525	0.362866
18	-0.068552	-0.531	0.298688
19	-0.101931	-0.7896	0.216448
20	-0.174252	-1.3497	0.091084
21	-0.145798	-1.1293	0.131624
22	-0.111617	-0.8646	0.195356
23	0.044494	0.3446	0.365783
24	0.098937	0.7664	0.223233
25	-0.081968	-0.6349	0.263946
26	0.171981	1.3322	0.093923
27	0.006546	0.0507	0.479865
28	0.060483	0.4685	0.320561
29	-0.056669	-0.439	0.331135
30	0.086187	0.6676	0.253475
31	0.052684	0.4081	0.342331
32	0.001416	0.011	0.495644
33	0.035514	0.2751	0.392096
34	-0.085126	-0.6594	0.256087
35	-0.02587	-0.2004	0.420928
36	-0.108637	-0.8415	0.201705

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/24/t12590810321dcnlt5kaerso15/1iwrm1259080963.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t12590810321dcnlt5kaerso15/1iwrm1259080963.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t12590810321dcnlt5kaerso15/2j2rw1259080963.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t12590810321dcnlt5kaerso15/2j2rw1259080963.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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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