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WS8

*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: Thu, 26 Nov 2009 13:37:24 -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/26/t12592679345z929c1dlid8k61.htm/, Retrieved Thu, 26 Nov 2009 21:38:56 +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/26/t12592679345z929c1dlid8k61.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 «

3922 3759 4138 4634 3995 4308 4143 4429 5219 4929 5755 5592 4163 4962 5208 4755 4491 5732 5731 5040 6102 4904 5369 5578 4619 4731 5011 5299 4146 4625 4736 4219 5116 4205 4121 5103 4300 4578 3809 5526 4247 3830 4394 4826 4409 4569 4106 4794 3914 3793 4405 4022 4100 4788 3163 3585 3903 4178 3863 4187

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	0.386241	2.676	0.005082
2	0.251845	1.7448	0.043707
3	0.459798	3.1856	0.00127
4	0.334124	2.3149	0.012471
5	0.186833	1.2944	0.100857
6	0.160579	1.1125	0.135727
7	0.203151	1.4075	0.082865
8	0.055133	0.382	0.352083
9	-0.065979	-0.4571	0.324824
10	0.070507	0.4885	0.313715
11	-0.135374	-0.9379	0.176497
12	-0.227135	-1.5736	0.06107
13	-0.044469	-0.3081	0.379674
14	-0.189101	-1.3101	0.098193
15	-0.223085	-1.5456	0.064387
16	-0.190423	-1.3193	0.096665
17	-0.140681	-0.9747	0.167306
18	-0.137804	-0.9547	0.172249
19	-0.062809	-0.4352	0.3327
20	-0.09322	-0.6459	0.260726
21	-0.06395	-0.4431	0.329858
22	0.036027	0.2496	0.401979
23	0.050892	0.3526	0.362969
24	-0.084728	-0.587	0.279972
25	0.082874	0.5742	0.284268
26	0.158763	1.0999	0.138421
27	-0.004825	-0.0334	0.486736
28	-0.040117	-0.2779	0.391127
29	0.044376	0.3074	0.379918
30	-0.007269	-0.0504	0.480023
31	-0.123448	-0.8553	0.198325
32	-0.022198	-0.1538	0.43921
33	-0.015045	-0.1042	0.458707
34	-0.101795	-0.7053	0.24203
35	-0.082044	-0.5684	0.2862
36	-0.069945	-0.4846	0.315085

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.386241	2.676	0.005082
2	0.120664	0.836	0.203653
3	0.390798	2.7075	0.004682
4	0.072833	0.5046	0.308075
5	-0.02466	-0.1708	0.43253
6	-0.097162	-0.6732	0.252037
7	0.036157	0.2505	0.401635
8	-0.120571	-0.8353	0.203833
9	-0.139436	-0.966	0.169433
10	0.066684	0.462	0.323084
11	-0.226262	-1.5676	0.061773
12	-0.088139	-0.6106	0.272158
13	0.089345	0.619	0.269422
14	-0.108615	-0.7525	0.22771
15	0.039634	0.2746	0.392403
16	-0.057117	-0.3957	0.347032
17	0.035609	0.2467	0.403095
18	0.048376	0.3352	0.369483
19	0.20226	1.4013	0.083779
20	-0.139326	-0.9653	0.169622
21	0.06856	0.475	0.318472
22	0.087355	0.6052	0.273944
23	-0.047393	-0.3283	0.372038
24	-0.146807	-1.0171	0.1571
25	0.126273	0.8748	0.193007
26	-0.019025	-0.1318	0.447844
27	-0.088483	-0.613	0.271376
28	-0.122747	-0.8504	0.199659
29	-0.101626	-0.7041	0.24239
30	-0.047343	-0.328	0.372168
31	-0.038454	-0.2664	0.39553
32	-0.017109	-0.1185	0.453068
33	0.05868	0.4065	0.343075
34	0.11491	0.7961	0.214942
35	-0.016695	-0.1157	0.454201
36	-0.07621	-0.528	0.299966

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592679345z929c1dlid8k61/14ygt1259267842.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592679345z929c1dlid8k61/14ygt1259267842.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592679345z929c1dlid8k61/2oqtq1259267842.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592679345z929c1dlid8k61/2oqtq1259267842.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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