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Workshop8 ACF d=0 D=1 L=1

*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: Fri, 27 Nov 2009 02:07:06 -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/27/t1259312957j6zx1gm6ay348vj.htm/, Retrieved Fri, 27 Nov 2009 10:09:19 +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/27/t1259312957j6zx1gm6ay348vj.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 «

562325 560854 555332 543599 536662 542722 593530 610763 612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799 574205 572775 572942 619567 625809 619916 587625 565742 557274 560576 548854 531673 525919 511038 498662 555362 564591 541657 527070 509846 514258 516922 507561 492622 490243 469357 477580 528379 533590 517945 506174 501866 516141 528222 532638 536322 536535 523597 536214 586570 596594 580523

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	0.936236	7.0684	0
2	0.864964	6.5303	0
3	0.784333	5.9216	0
4	0.686975	5.1866	1e-06
5	0.582077	4.3946	2.4e-05
6	0.480952	3.6311	0.000303
7	0.373447	2.8195	0.003302
8	0.284725	2.1496	0.017921
9	0.201802	1.5236	0.066573
10	0.13128	0.9911	0.162902
11	0.072626	0.5483	0.292808
12	0.009907	0.0748	0.470318
13	-0.048216	-0.364	0.358594
14	-0.098365	-0.7426	0.230375
15	-0.15828	-1.195	0.118521
16	-0.228713	-1.7267	0.044815
17	-0.283873	-2.1432	0.01819
18	-0.34702	-2.6199	0.005626
19	-0.400865	-3.0265	0.001855
20	-0.454079	-3.4282	0.000567
21	-0.50084	-3.7813	0.000188
22	-0.53185	-4.0154	8.8e-05
23	-0.547708	-4.1351	5.9e-05
24	-0.549922	-4.1518	5.6e-05
25	-0.5298	-3.9999	9.2e-05
26	-0.515573	-3.8925	0.000131
27	-0.486367	-3.672	0.000266
28	-0.438482	-3.3105	0.00081
29	-0.38676	-2.92	0.002503
30	-0.335231	-2.5309	0.00708
31	-0.282831	-2.1353	0.018522
32	-0.237188	-1.7907	0.039323
33	-0.18388	-1.3883	0.08523
34	-0.132956	-1.0038	0.159859
35	-0.091291	-0.6892	0.246738
36	-0.060071	-0.4535	0.325945

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.936236	7.0684	0
2	-0.093749	-0.7078	0.240979
3	-0.111339	-0.8406	0.202044
4	-0.17614	-1.3298	0.094436
5	-0.108018	-0.8155	0.209086
6	-0.017216	-0.13	0.44852
7	-0.105086	-0.7934	0.215422
8	0.094209	0.7113	0.23991
9	-0.030841	-0.2328	0.408358
10	0.027756	0.2096	0.417381
11	-0.002622	-0.0198	0.492137
12	-0.142159	-1.0733	0.143834
13	-0.046346	-0.3499	0.363851
14	-0.042128	-0.3181	0.375802
15	-0.131773	-0.9949	0.162004
16	-0.171495	-1.2948	0.100312
17	0.052601	0.3971	0.346377
18	-0.114029	-0.8609	0.196451
19	0.002581	0.0195	0.492261
20	-0.107565	-0.8121	0.210057
21	-0.049665	-0.375	0.354539
22	0.018601	0.1404	0.444407
23	-0.020306	-0.1533	0.439349
24	0.042167	0.3184	0.37569
25	0.027563	0.2081	0.417947
26	-0.132558	-1.0008	0.16058
27	0.03958	0.2988	0.383081
28	0.050198	0.379	0.353052
29	0.016892	0.1275	0.449483
30	-0.014499	-0.1095	0.45661
31	-0.04091	-0.3089	0.379276
32	-0.045561	-0.344	0.366063
33	0.066967	0.5056	0.307547
34	-0.020444	-0.1543	0.438941
35	-0.034817	-0.2629	0.396801
36	-0.136334	-1.0293	0.153844

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259312957j6zx1gm6ay348vj/1l6c51259312825.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259312957j6zx1gm6ay348vj/1l6c51259312825.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259312957j6zx1gm6ay348vj/20e3o1259312825.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259312957j6zx1gm6ay348vj/20e3o1259312825.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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