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workshop 8

*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 04:50:24 -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/t1259149904qti3xfbddygmrry.htm/, Retrieved Wed, 25 Nov 2009 12:51:46 +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/t1259149904qti3xfbddygmrry.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:

workshop 8

Dataseries X:

» Textbox « » Textfile « » CSV «

0.6348 0.634 0.62915 0.62168 0.61328 0.6089 0.60857 0.62672 0.62291 0.62393 0.61838 0.62012 0.61659 0.6116 0.61573 0.61407 0.62823 0.64405 0.6387 0.63633 0.63059 0.62994 0.63709 0.64217 0.65711 0.66977 0.68255 0.68902 0.71322 0.70224 0.70045 0.69919 0.69693 0.69763 0.69278 0.70196 0.69215 0.6769 0.67124 0.66532 0.67157 0.66428 0.66576 0.66942 0.6813 0.69144 0.69862 0.695 0.69867 0.68968 0.69233 0.68293 0.68399 0.66895 0.68756 0.68527 0.6776 0.68137 0.67933 0.67922

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	0 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.349807	2.3982	0.01025
2	0.208361	1.4285	0.079887
3	0.041951	0.2876	0.387458
4	-0.031582	-0.2165	0.414762
5	-0.073071	-0.5009	0.309372
6	-0.091869	-0.6298	0.26593
7	-0.103143	-0.7071	0.241494
8	-0.000488	-0.0033	0.498673
9	-0.027522	-0.1887	0.425578
10	-0.002139	-0.0147	0.494181
11	-0.028198	-0.1933	0.423773
12	-0.406549	-2.7872	0.003824
13	-0.222706	-1.5268	0.066757
14	-0.225006	-1.5426	0.064822
15	-0.127218	-0.8722	0.193777
16	0.017877	0.1226	0.451489
17	0.052707	0.3613	0.359732
18	0.22057	1.5122	0.068595
19	0.16166	1.1083	0.136689
20	0.023377	0.1603	0.43668
21	0.002388	0.0164	0.493505
22	-0.019926	-0.1366	0.445964
23	-0.096496	-0.6615	0.255747
24	0.020964	0.1437	0.443167
25	-0.122745	-0.8415	0.202166
26	0.028853	0.1978	0.422024
27	0.091757	0.6291	0.266179
28	0.081814	0.5609	0.288769
29	0.053915	0.3696	0.356662
30	-0.04297	-0.2946	0.384802
31	-0.09312	-0.6384	0.263156
32	0.019228	0.1318	0.447844
33	-0.008243	-0.0565	0.477586
34	0.01447	0.0992	0.4607
35	-0.059896	-0.4106	0.341607
36	-0.03532	-0.2421	0.404861

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.349807	2.3982	0.01025
2	0.097987	0.6718	0.252512
3	-0.066808	-0.458	0.324528
4	-0.053774	-0.3687	0.357019
5	-0.045379	-0.3111	0.378549
6	-0.04527	-0.3104	0.378831
7	-0.050208	-0.3442	0.366112
8	0.073302	0.5025	0.308819
9	-0.036252	-0.2485	0.402403
10	-0.00744	-0.051	0.479769
11	-0.033994	-0.2331	0.408367
12	-0.464372	-3.1836	0.001291
13	0.04384	0.3006	0.382541
14	-0.050461	-0.3459	0.365464
15	-0.035017	-0.2401	0.405663
16	0.112519	0.7714	0.222168
17	-0.017738	-0.1216	0.451866
18	0.178333	1.2226	0.11379
19	-0.082366	-0.5647	0.28749
20	-0.102901	-0.7055	0.242005
21	-0.032462	-0.2225	0.412425
22	0.030056	0.2061	0.418818
23	-0.021527	-0.1476	0.441651
24	-0.119533	-0.8195	0.208326
25	-0.157509	-1.0798	0.142865
26	0.012253	0.084	0.466705
27	0.066218	0.454	0.32597
28	0.056337	0.3862	0.350535
29	-0.041869	-0.287	0.387672
30	0.100057	0.686	0.248056
31	-0.031967	-0.2192	0.413739
32	0.046614	0.3196	0.375357
33	-0.009665	-0.0663	0.473726
34	-0.035143	-0.2409	0.405328
35	-0.15329	-1.0509	0.149338
36	-0.021742	-0.1491	0.441073

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259149904qti3xfbddygmrry/1gw171259149822.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259149904qti3xfbddygmrry/1gw171259149822.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259149904qti3xfbddygmrry/2nlob1259149822.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259149904qti3xfbddygmrry/2nlob1259149822.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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