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SHWWS8methode1b

*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 09:52:01 -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/t1259081566rfj1i2jh6bvxbq5.htm/, Retrieved Tue, 24 Nov 2009 17:52:48 +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/t1259081566rfj1i2jh6bvxbq5.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	0.905625	6.2744	0
2	0.817126	5.6612	0
3	0.70074	4.8549	7e-06
4	0.584811	4.0517	9.3e-05
5	0.46379	3.2132	0.001173
6	0.357156	2.4745	0.008465
7	0.272558	1.8883	0.032516
8	0.197938	1.3714	0.088321
9	0.131626	0.9119	0.18318
10	0.062453	0.4327	0.333591
11	0.018125	0.1256	0.450296
12	-0.055	-0.381	0.352424
13	-0.100872	-0.6989	0.244006
14	-0.157711	-1.0927	0.14
15	-0.224808	-1.5575	0.062959
16	-0.273796	-1.8969	0.031933
17	-0.321213	-2.2254	0.015392
18	-0.36901	-2.5566	0.006895
19	-0.410323	-2.8428	0.003275
20	-0.430918	-2.9855	0.002223
21	-0.455793	-3.1578	0.001374
22	-0.439814	-3.0471	0.001875
23	-0.419808	-2.9085	0.002743
24	-0.35872	-2.4853	0.008241
25	-0.317895	-2.2024	0.016235
26	-0.275803	-1.9108	0.031005
27	-0.240777	-1.6682	0.050898
28	-0.208513	-1.4446	0.077531
29	-0.187164	-1.2967	0.100465
30	-0.15918	-1.1028	0.137799
31	-0.123699	-0.857	0.197849
32	-0.107897	-0.7475	0.229194
33	-0.050912	-0.3527	0.362917
34	-0.004945	-0.0343	0.486405
35	0.039325	0.2725	0.393222
36	0.061129	0.4235	0.336906

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.905625	6.2744	0
2	-0.016851	-0.1167	0.453773
3	-0.202889	-1.4057	0.083133
4	-0.076882	-0.5327	0.298365
5	-0.082459	-0.5713	0.285234
6	0.00028	0.0019	0.49923
7	0.061977	0.4294	0.334782
8	-0.020547	-0.1424	0.443697
9	-0.050343	-0.3488	0.364388
10	-0.100801	-0.6984	0.244158
11	0.061235	0.4242	0.33664
12	-0.197259	-1.3666	0.089052
13	0.05654	0.3917	0.3485
14	-0.073021	-0.5059	0.307619
15	-0.181753	-1.2592	0.10702
16	0.047445	0.3287	0.371904
17	-0.049859	-0.3454	0.36564
18	-0.12537	-0.8686	0.194698
19	-0.034611	-0.2398	0.405757
20	0.017708	0.1227	0.451434
21	-0.112636	-0.7804	0.219504
22	0.126305	0.8751	0.192947
23	0.045861	0.3177	0.376031
24	0.090416	0.6264	0.267003
25	-0.13343	-0.9244	0.179943
26	-0.029609	-0.2051	0.419165
27	-0.089197	-0.618	0.269757
28	0.015797	0.1094	0.456653
29	-0.002111	-0.0146	0.494194
30	0.025405	0.176	0.430513
31	0.009375	0.065	0.47424
32	-0.095114	-0.659	0.256532
33	0.158004	1.0947	0.139559
34	0.022952	0.159	0.437162
35	-0.114053	-0.7902	0.216654
36	-0.09756	-0.6759	0.251169

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259081566rfj1i2jh6bvxbq5/1gnrn1259081519.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259081566rfj1i2jh6bvxbq5/1gnrn1259081519.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259081566rfj1i2jh6bvxbq5/20sj61259081520.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259081566rfj1i2jh6bvxbq5/20sj61259081520.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; 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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