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WS8.5

*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 11:27:37 -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/t1259173729daucsalwzpj70nq.htm/, Retrieved Wed, 25 Nov 2009 19:28:51 +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/t1259173729daucsalwzpj70nq.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 «

8.2 8 7.5 6.8 6.5 6.6 7.6 8 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 7.1 7.2 7.1 6.9 7 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 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	0.443785	2.9101	0.002851
2	0.044736	0.2934	0.385331
3	-0.323836	-2.1235	0.019751
4	-0.350684	-2.2996	0.013195
5	-0.132414	-0.8683	0.195026
6	0.040561	0.266	0.395765
7	0.127654	0.8371	0.203587
8	0.028437	0.1865	0.426474
9	-0.067328	-0.4415	0.330533
10	-0.085225	-0.5589	0.28958
11	0.072561	0.4758	0.318307
12	-0.032425	-0.2126	0.416311
13	0.072964	0.4785	0.317375
14	0.004174	0.0274	0.489145
15	-0.057786	-0.3789	0.353304
16	-0.165189	-1.0832	0.142375
17	-0.172483	-1.131	0.132152
18	0.015064	0.0988	0.460886
19	0.109283	0.7166	0.238742
20	0.257699	1.6898	0.049148
21	0.198452	1.3013	0.100036
22	0.039219	0.2572	0.399134
23	-0.227839	-1.494	0.071233
24	-0.26709	-1.7514	0.043502
25	-0.180292	-1.1823	0.121801
26	-0.091349	-0.599	0.276152
27	-0.024426	-0.1602	0.436749
28	-0.013079	-0.0858	0.466025
29	0.04265	0.2797	0.390534
30	0.006729	0.0441	0.482506
31	0.070767	0.4641	0.322475
32	0.037879	0.2484	0.402509
33	0.044047	0.2888	0.387047
34	-0.066093	-0.4334	0.333445
35	-0.065374	-0.4287	0.335146
36	-0.062805	-0.4118	0.34125

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.443785	2.9101	0.002851
2	-0.189538	-1.2429	0.110323
3	-0.340141	-2.2305	0.015494
4	-0.071882	-0.4714	0.319882
5	0.093515	0.6132	0.271482
6	-0.043839	-0.2875	0.387567
7	-0.033735	-0.2212	0.412985
8	-0.092628	-0.6074	0.273388
9	-0.038392	-0.2518	0.401215
10	0.013851	0.0908	0.464027
11	0.156965	1.0293	0.15455
12	-0.26913	-1.7648	0.042349
13	0.154131	1.0107	0.158906
14	0.003058	0.0201	0.492048
15	-0.11153	-0.7314	0.234265
16	-0.189041	-1.2396	0.110918
17	0.007167	0.047	0.481365
18	0.119746	0.7852	0.218314
19	-0.020967	-0.1375	0.445642
20	0.126976	0.8326	0.204826
21	0.024963	0.1637	0.43537
22	-0.074459	-0.4883	0.313923
23	-0.090013	-0.5903	0.279054
24	-0.073741	-0.4836	0.315578
25	-0.029334	-0.1924	0.424185
26	-0.193433	-1.2684	0.105736
27	-0.069783	-0.4576	0.324772
28	-0.078354	-0.5138	0.305011
29	0.007748	0.0508	0.479858
30	-0.026972	-0.1769	0.430222
31	-0.040908	-0.2683	0.394894
32	-0.067265	-0.4411	0.330681
33	0.026229	0.172	0.432123
34	-0.082815	-0.5431	0.294949
35	-0.048415	-0.3175	0.37621
36	-0.060725	-0.3982	0.346227

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259173729daucsalwzpj70nq/102kj1259173656.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259173729daucsalwzpj70nq/102kj1259173656.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259173729daucsalwzpj70nq/2n8cd1259173656.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259173729daucsalwzpj70nq/2n8cd1259173656.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 2 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 2 ; 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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