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ws8 module3

*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 03:02:23 -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/t1259316197j15awg311dg26yo.htm/, Retrieved Fri, 27 Nov 2009 11:03:20 +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/t1259316197j15awg311dg26yo.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 «

29571 30167 30524 30996 31033 31198 30937 31649 33115 34106 33926 33382 32851 32948 36112 36113 35210 35193 34383 35349 37058 38076 36630 36045 35638 35114 35465 35254 35299 35916 36683 37288 38536 38977 36407 34955 34951 32680 34791 34178 35213 34871 35299 35443 37108 36419 34471 33868 34385 33643 34627 32919 35500 36110 37086 37711 40427 39884 38512 38767

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	-0.019582	-0.1342	0.446891
2	0.001004	0.0069	0.497268
3	-0.083324	-0.5712	0.285279
4	-0.044485	-0.305	0.380867
5	-0.032223	-0.2209	0.41306
6	0.103123	0.707	0.241536
7	-0.062495	-0.4284	0.335142
8	0.112026	0.768	0.22316
9	0.163358	1.1199	0.134218
10	0.165554	1.135	0.131069
11	0.074122	0.5082	0.306862
12	-0.313359	-2.1483	0.018438
13	-0.067883	-0.4654	0.321904
14	-0.023786	-0.1631	0.435582
15	-0.014943	-0.1024	0.459421
16	0.131292	0.9001	0.18633
17	0.013363	0.0916	0.463698
18	-0.016112	-0.1105	0.456259
19	0.133695	0.9166	0.182025
20	-0.111763	-0.7662	0.223692
21	-0.12664	-0.8682	0.194848
22	-0.113979	-0.7814	0.219242
23	-0.169564	-1.1625	0.125456
24	0.162382	1.1132	0.135635
25	0.026763	0.1835	0.427606
26	0.007073	0.0485	0.480765
27	-0.140808	-0.9653	0.169659
28	0.012657	0.0868	0.465611
29	0.017896	0.1227	0.451438
30	-0.066891	-0.4586	0.324324
31	-0.156063	-1.0699	0.145061
32	-0.013413	-0.092	0.463563
33	-0.034579	-0.2371	0.406818
34	-0.017818	-0.1222	0.451649
35	0.099001	0.6787	0.250323
36	-0.121286	-0.8315	0.204948
37	-0.110868	-0.7601	0.225503
38	0.067523	0.4629	0.322781
39	0.021645	0.1484	0.441334
40	-0.009108	-0.0624	0.475237
41	-0.005287	-0.0362	0.48562
42	0.03753	0.2573	0.399038
43	-0.027029	-0.1853	0.426896
44	0.021176	0.1452	0.442597
45	0.041175	0.2823	0.389483
46	-0.00907	-0.0622	0.475342
47	NA	NA	NA
48	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.019582	-0.1342	0.446891
2	0.000621	0.0043	0.498311
3	-0.083324	-0.5712	0.285279
4	-0.048094	-0.3297	0.37154
5	-0.034547	-0.2368	0.406904
6	0.095515	0.6548	0.257888
7	-0.067078	-0.4599	0.323866
8	0.104717	0.7179	0.238186
9	0.185285	1.2702	0.105124
10	0.18375	1.2597	0.106994
11	0.119752	0.821	0.207901
12	-0.304165	-2.0852	0.021252
13	-0.045196	-0.3098	0.379023
14	-0.025236	-0.173	0.431694
15	-0.0809	-0.5546	0.290891
16	0.08883	0.609	0.272732
17	-0.045034	-0.3087	0.379444
18	-0.003006	-0.0206	0.491822
19	0.062765	0.4303	0.334473
20	-0.122455	-0.8395	0.202717
21	-0.048516	-0.3326	0.370454
22	-0.036365	-0.2493	0.402107
23	-0.113133	-0.7756	0.220936
24	0.092893	0.6368	0.263658
25	-0.063308	-0.434	0.333132
26	-0.018004	-0.1234	0.451147
27	-0.219554	-1.5052	0.069484
28	0.060095	0.412	0.341111
29	0.119645	0.8202	0.208109
30	-0.108314	-0.7426	0.23072
31	0.026611	0.1824	0.428013
32	-0.049519	-0.3395	0.367879
33	-0.044377	-0.3042	0.381146
34	-0.121272	-0.8314	0.204977
35	-0.058742	-0.4027	0.344492
36	0.038803	0.266	0.395693
37	-0.107919	-0.7399	0.231533
38	0.096099	0.6588	0.256612
39	0.011201	0.0768	0.469558
40	-0.000324	-0.0022	0.499118
41	0.09268	0.6354	0.264131
42	0.041441	0.2841	0.388788
43	-0.031138	-0.2135	0.41594
44	0.001004	0.0069	0.497269
45	0.018648	0.1278	0.44941
46	0.028477	0.1952	0.423027
47	NA	NA	NA
48	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259316197j15awg311dg26yo/15pok1259316138.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259316197j15awg311dg26yo/15pok1259316138.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259316197j15awg311dg26yo/295191259316138.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259316197j15awg311dg26yo/295191259316138.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; 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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