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WS8(3)

*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 03:38:53 -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/t1259319019gejazh1fikv33ji.htm/, Retrieved Fri, 27 Nov 2009 11:50:21 +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/t1259319019gejazh1fikv33ji.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 «

10.9 10 9.2 9.2 9.5 9.6 9.5 9.1 8.9 9 10.1 10.3 10.2 9.6 9.2 9.3 9.4 9.4 9.2 9 9 9 9.8 10 9.8 9.3 9 9 9.1 9.1 9.1 9.2 8.8 8.3 8.4 8.1 7.7 7.9 7.9 8 7.9 7.6 7.1 6.8 6.5 6.9 8.2 8.7 8.3 7.9 7.5 7.8 8.3 8.4 8.2 7.7 7.2 7.3 8.1 8.5

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	0.612811	4.2012	5.9e-05
2	-0.003271	-0.0224	0.491102
3	-0.491233	-3.3677	0.00076
4	-0.554612	-3.8022	0.000206
5	-0.258447	-1.7718	0.041453
6	0.164018	1.1244	0.133267
7	0.385305	2.6415	0.005586
8	0.393108	2.695	0.004866
9	0.178129	1.2212	0.114053
10	-0.131512	-0.9016	0.185934
11	-0.376879	-2.5838	0.006471
12	-0.45052	-3.0886	0.001686
13	-0.298281	-2.0449	0.023243
14	0.005502	0.0377	0.485035
15	0.192337	1.3186	0.096847
16	0.216513	1.4843	0.072198
17	0.109044	0.7476	0.229222
18	-0.082454	-0.5653	0.287287
19	-0.185346	-1.2707	0.10505
20	-0.154149	-1.0568	0.148005
21	-0.079913	-0.5479	0.293192
22	0.026389	0.1809	0.428608
23	0.07342	0.5033	0.308538
24	0.060812	0.4169	0.339323
25	0.055737	0.3821	0.352051
26	0.077866	0.5338	0.29799
27	0.026512	0.1818	0.428278
28	-0.045167	-0.3097	0.379098
29	-0.115994	-0.7952	0.215244
30	-0.103075	-0.7066	0.241638
31	0.024604	0.1687	0.433388
32	0.118255	0.8107	0.210807
33	0.134074	0.9192	0.181352
34	0.058415	0.4005	0.345312
35	-0.036518	-0.2504	0.401703
36	-0.054044	-0.3705	0.356335

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.612811	4.2012	5.9e-05
2	-0.606615	-4.1587	6.7e-05
3	-0.294605	-2.0197	0.024568
4	0.057559	0.3946	0.34746
5	0.041597	0.2852	0.388381
6	0.0882	0.6047	0.274153
7	-0.053854	-0.3692	0.356817
8	0.213339	1.4626	0.075119
9	-0.002168	-0.0149	0.494102
10	-0.14348	-0.9837	0.165162
11	-0.127254	-0.8724	0.193711
12	-0.19054	-1.3063	0.098908
13	-0.057474	-0.394	0.347673
14	-0.051192	-0.351	0.363596
15	-0.276061	-1.8926	0.032291
16	-0.015556	-0.1066	0.457763
17	0.068318	0.4684	0.320845
18	-0.122606	-0.8405	0.20243
19	0.063207	0.4333	0.333382
20	0.059414	0.4073	0.34281
21	-0.073112	-0.5012	0.309274
22	-0.018573	-0.1273	0.449612
23	-0.173639	-1.1904	0.119932
24	-0.08634	-0.5919	0.278372
25	-0.000835	-0.0057	0.497728
26	0.030241	0.2073	0.418327
27	-0.224337	-1.538	0.06538
28	-0.127475	-0.8739	0.193301
29	0.03198	0.2192	0.413705
30	-0.028716	-0.1969	0.42239
31	0.029275	0.2007	0.420899
32	-0.112709	-0.7727	0.221786
33	0.007538	0.0517	0.479503
34	-0.075012	-0.5143	0.304742
35	-0.02797	-0.1918	0.42438
36	0.007207	0.0494	0.4804

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259319019gejazh1fikv33ji/1mrpc1259318331.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259319019gejazh1fikv33ji/1mrpc1259318331.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259319019gejazh1fikv33ji/28qf01259318331.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259319019gejazh1fikv33ji/28qf01259318331.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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