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Ws 8 method 1 link 1

*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: Wed, 25 Nov 2009 04:33:04 -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/25/t1259148989zvt14lhz2lw5xux.htm/, Retrieved Wed, 25 Nov 2009 12:36:31 +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/25/t1259148989zvt14lhz2lw5xux.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:

Ws 8 method 1 link 1

Dataseries X:

» Textbox « » Textfile « » CSV «

8.2 8.0 7.5 6.8 6.5 6.6 7.6 8.0 8.1 7.7 7.5 7.6 7.8 7.8 7.8 7.5 7.5 7.1 7.5 7.5 7.6 7.7 7.7 7.9 8.1 8.2 8.2 8.2 7.9 7.3 6.9 6.6 6.7 6.9 7.0 7.1 7.2 7.1 6.9 7.0 6.8 6.4 6.7 6.6 6.4 6.3 6.2 6.5 6.8 6.8 6.4 6.1 5.8 6.1 7.2 7.3 6.9 6.1 5.8 6.2 7.1 7.7 7.9 7.7 7.4 7.5 8.0 8.1

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	0.82377	6.793	0
2	0.528689	4.3597	2.3e-05
3	0.307377	2.5347	0.006781
4	0.271516	2.239	0.014216
5	0.360656	2.974	0.002032
6	0.43306	3.5711	0.000329
7	0.369536	3.0473	0.001643
8	0.232582	1.9179	0.029661
9	0.134221	1.1068	0.136137
10	0.140027	1.1547	0.126129
11	0.213456	1.7602	0.041435
12	0.264686	2.1827	0.016259
13	0.211066	1.7405	0.043148
14	0.119194	0.9829	0.164571
15	0.039276	0.3239	0.373512
16	-0.017418	-0.1436	0.443108
17	-0.057377	-0.4731	0.318813
18	-0.07582	-0.6252	0.266958
19	-0.119877	-0.9885	0.163198
20	-0.166325	-1.3716	0.087356
21	-0.207309	-1.7095	0.045958
22	-0.247609	-2.0418	0.022525
23	-0.265369	-2.1883	0.016044
24	-0.247609	-2.0418	0.022525
25	-0.213798	-1.763	0.041195
26	-0.156421	-1.2899	0.100731
27	-0.120902	-0.997	0.161154
28	-0.157445	-1.2983	0.09928
29	-0.23668	-1.9517	0.027546
30	-0.308402	-2.5431	0.006633
31	-0.354508	-2.9233	0.00235
32	-0.35485	-2.9262	0.002331
33	-0.310451	-2.56	0.006346
34	-0.253415	-2.0897	0.020193
35	-0.195014	-1.6081	0.056221
36	-0.150273	-1.2392	0.109769

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.82377	6.793	0
2	-0.466423	-3.8462	0.000134
3	0.210548	1.7362	0.043527
4	0.323039	2.6638	0.004819
5	0.093398	0.7702	0.22193
6	-0.052066	-0.4293	0.334515
7	-0.185057	-1.526	0.065822
8	0.109753	0.9051	0.184317
9	0.083851	0.6915	0.245818
10	0.02182	0.1799	0.42887
11	-0.002956	-0.0244	0.490311
12	-0.009528	-0.0786	0.468803
13	-0.106595	-0.879	0.191247
14	0.127504	1.0514	0.148394
15	-0.116521	-0.9609	0.170013
16	-0.224998	-1.8554	0.033938
17	-0.062521	-0.5156	0.303915
18	0.098833	0.815	0.208959
19	-0.160055	-1.3198	0.095656
20	-0.077205	-0.6366	0.263245
21	-0.068084	-0.5614	0.288175
22	-0.08081	-0.6664	0.253712
23	0.068396	0.564	0.287303
24	0.015704	0.1295	0.448674
25	-0.008747	-0.0721	0.471354
26	0.109394	0.9021	0.185097
27	-0.006831	-0.0563	0.477622
28	-0.127895	-1.0546	0.14766
29	-0.028957	-0.2388	0.405994
30	-0.102976	-0.8492	0.199385
31	-0.093081	-0.7676	0.222701
32	-0.039033	-0.3219	0.374269
33	0.081534	0.6723	0.251821
34	0.099891	0.8237	0.206489
35	0.092763	0.7649	0.223475
36	-0.020479	-0.1689	0.433198

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259148989zvt14lhz2lw5xux/1k28a1259148782.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259148989zvt14lhz2lw5xux/1k28a1259148782.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259148989zvt14lhz2lw5xux/2nb351259148782.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259148989zvt14lhz2lw5xux/2nb351259148782.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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