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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 13:40:39 -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/t1259268102iog0uahmm81lkqb.htm/, Retrieved Thu, 26 Nov 2009 21:41:44 +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/t1259268102iog0uahmm81lkqb.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	-0.4023	-2.758	0.004129
2	-0.283584	-1.9442	0.028938
3	0.28441	1.9498	0.028589
4	0.001611	0.011	0.495617
5	-0.11238	-0.7704	0.222447
6	-0.027384	-0.1877	0.425945
7	0.152371	1.0446	0.150774
8	-0.046572	-0.3193	0.375463
9	-0.170663	-1.17	0.123948
10	0.266215	1.8251	0.037174
11	-0.093095	-0.6382	0.263212
12	-0.231322	-1.5859	0.059738
13	0.282338	1.9356	0.029472
14	-0.085947	-0.5892	0.279266
15	-0.080273	-0.5503	0.292351
16	0.016083	0.1103	0.456335
17	0.034325	0.2353	0.407491
18	-0.067438	-0.4623	0.322989
19	0.098107	0.6726	0.252251
20	-0.044895	-0.3078	0.379803
21	-0.08297	-0.5688	0.286095
22	0.092393	0.6334	0.264767
23	0.11216	0.7689	0.222891
24	-0.254424	-1.7442	0.043827
25	0.06151	0.4217	0.337587
26	0.218045	1.4948	0.07082
27	-0.128128	-0.8784	0.192098
28	-0.095631	-0.6556	0.257634
29	0.120101	0.8234	0.207228
30	0.045365	0.311	0.378586
31	-0.180486	-1.2373	0.111052
32	0.1067	0.7315	0.234053
33	0.053074	0.3639	0.358797
34	-0.084175	-0.5771	0.283322
35	0.019895	0.1364	0.446047
36	0.078723	0.5397	0.295978

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.4023	-2.758	0.004129
2	-0.53144	-3.6434	0.000335
3	-0.173093	-1.1867	0.120661
4	-0.081568	-0.5592	0.28934
5	-0.022807	-0.1564	0.438211
6	-0.128583	-0.8815	0.19126
7	0.038726	0.2655	0.395895
8	0.046185	0.3166	0.376465
9	-0.115699	-0.7932	0.215826
10	0.148556	1.0184	0.15684
11	0.031124	0.2134	0.415979
12	-0.178955	-1.2269	0.112994
13	0.016566	0.1136	0.455031
14	-0.123151	-0.8443	0.201395
15	-0.041695	-0.2858	0.388127
16	-0.127825	-0.8763	0.192655
17	-0.143179	-0.9816	0.165666
18	-0.26515	-1.8178	0.037738
19	0.0573	0.3928	0.34811
20	-0.098872	-0.6778	0.250601
21	-0.159876	-1.0961	0.139319
22	-0.007967	-0.0546	0.478336
23	0.115451	0.7915	0.216317
24	-0.165919	-1.1375	0.13055
25	-0.073241	-0.5021	0.308965
26	0.027518	0.1887	0.425589
27	0.053335	0.3656	0.358134
28	0.01538	0.1054	0.458236
29	-0.042116	-0.2887	0.387029
30	-0.041331	-0.2834	0.389076
31	-0.062586	-0.4291	0.334916
32	-0.104285	-0.7149	0.239091
33	-0.201443	-1.381	0.086901
34	-0.039151	-0.2684	0.39478
35	0.023441	0.1607	0.436508
36	-0.09161	-0.628	0.266507

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259268102iog0uahmm81lkqb/1si201259268037.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259268102iog0uahmm81lkqb/1si201259268037.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259268102iog0uahmm81lkqb/2z1281259268037.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259268102iog0uahmm81lkqb/2z1281259268037.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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