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Ws8 method 1 link 3

*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 04:51:12 -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/t1259149936ssnf36shvhjb0n1.htm/, Retrieved Wed, 25 Nov 2009 12:52:18 +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/t1259149936ssnf36shvhjb0n1.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:

Ws8 method 1 link 3

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.524351	3.8887	0.000137
2	-0.04633	-0.3436	0.366231
3	-0.517702	-3.8394	0.00016
4	-0.506856	-3.7589	0.000207
5	-0.148877	-1.1041	0.137178
6	0.188959	1.4014	0.083362
7	0.259376	1.9236	0.029795
8	0.100064	0.7421	0.230595
9	-0.090615	-0.672	0.252193
10	-0.127753	-0.9474	0.17378
11	0.034275	0.2542	0.400148
12	0.066378	0.4923	0.312244
13	0.119996	0.8899	0.188694
14	0.018336	0.136	0.446164
15	-0.091256	-0.6768	0.250695
16	-0.183816	-1.3632	0.089184
17	-0.162938	-1.2084	0.116035
18	-0.009284	-0.0688	0.47268
19	0.131176	0.9728	0.167449
20	0.255771	1.8969	0.031552
21	0.196755	1.4592	0.075103
22	-0.016062	-0.1191	0.452808
23	-0.296822	-2.2013	0.015965
24	-0.376551	-2.7926	0.00359
25	-0.177013	-1.3128	0.097357
26	0.113903	0.8447	0.200961
27	0.25877	1.9191	0.030084
28	0.179482	1.3311	0.094328
29	-0.006427	-0.0477	0.481078
30	-0.201694	-1.4958	0.070211
31	-0.140454	-1.0416	0.151069
32	-0.027706	-0.2055	0.418981
33	0.096449	0.7153	0.23873
34	0.017653	0.1309	0.448159
35	-0.074156	-0.55	0.292289
36	-0.136335	-1.0111	0.158201

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.524351	3.8887	0.000137
2	-0.443104	-3.2861	0.000886
3	-0.429557	-3.1857	0.00119
4	0.012871	0.0955	0.46215
5	0.112953	0.8377	0.202918
6	-0.087713	-0.6505	0.259039
7	-0.152186	-1.1286	0.131974
8	-0.031331	-0.2324	0.40856
9	0.02838	0.2105	0.417039
10	0.033195	0.2462	0.403231
11	0.132545	0.983	0.164961
12	-0.207881	-1.5417	0.064442
13	0.164518	1.2201	0.113817
14	0.051193	0.3797	0.352832
15	-0.11138	-0.826	0.206182
16	-0.170882	-1.2673	0.105195
17	-0.010029	-0.0744	0.470491
18	0.130282	0.9662	0.169088
19	-0.048817	-0.362	0.359357
20	0.125513	0.9308	0.178005
21	0.003482	0.0258	0.489746
22	-0.149483	-1.1086	0.136215
23	-0.129278	-0.9587	0.170941
24	-0.091558	-0.679	0.249988
25	0.10475	0.7768	0.220289
26	-0.095431	-0.7077	0.241049
27	-0.127032	-0.9421	0.175133
28	-0.044007	-0.3264	0.372695
29	0.06806	0.5047	0.307876
30	-0.106516	-0.7899	0.216476
31	-0.05331	-0.3954	0.347053
32	-0.092992	-0.6896	0.246657
33	-0.007888	-0.0585	0.476781
34	-0.142056	-1.0535	0.148356
35	-0.016582	-0.123	0.451286
36	-0.121532	-0.9013	0.185678

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259149936ssnf36shvhjb0n1/151b11259149869.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259149936ssnf36shvhjb0n1/151b11259149869.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259149936ssnf36shvhjb0n1/2bctf1259149869.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259149936ssnf36shvhjb0n1/2bctf1259149869.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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