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Workshop 8: Identifying Integration Processes

*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 06:48:49 -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/t1259329845e62ym5n2uts2tir.htm/, Retrieved Fri, 27 Nov 2009 14:50:47 +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/t1259329845e62ym5n2uts2tir.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:
ETSHWW8(6)
 
Dataseries X:
» Textbox « » Textfile « » CSV «
1.43 1.43 1.43 1.43 1.43 1.43 1.44 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.57 1.58 1.58 1.58 1.58 1.59 1.6 1.6 1.61 1.61 1.61 1.62 1.63 1.63 1.64 1.64 1.64 1.64 1.64 1.65 1.65 1.65 1.65
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.0692470.47470.318588
2-0.046377-0.31790.375968
30.0173350.11880.452952
4-0.040601-0.27830.390984
50.1156080.79260.216006
60.0464790.31860.375705
7-0.091777-0.62920.266135
80.1047760.71830.238061
9-0.00519-0.03560.485885
100.0007120.00490.498063
110.0074740.05120.479675
12-0.437793-3.00140.002147
13-0.044683-0.30630.380351
140.0535920.36740.357482
15-0.004344-0.02980.488183
16-0.004347-0.02980.488176
17-0.056502-0.38740.35012
18-0.253184-1.73570.044581
19-0.027725-0.19010.425035
20-0.056633-0.38830.34979
210.0011750.00810.496803
220.0010490.00720.497145
23-0.023184-0.15890.437197
24-0.028968-0.19860.421718
25-0.006953-0.04770.48109
26-0.024422-0.16740.433875
27-0.007082-0.04850.480742
28-0.001303-0.00890.496454
29-0.02443-0.16750.433854
300.1777811.21880.1145
310.0678160.46490.322068
32-0.018903-0.12960.448721
33-0.007466-0.05120.479697
34-0.001688-0.01160.495408
350.0214340.14690.441903
360.0270890.18570.426734
37-0.018178-0.12460.450677
380.0166290.1140.454861
390.0049410.03390.486561
40-0.000843-0.00580.497707
41-0.000353-0.00240.499039
42-0.00011-8e-040.499701
431e-051e-040.499972
44-0.000115-8e-040.499687
455e-0600.499986
463e-0600.499993
47NANANA
48NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.0692470.47470.318588
2-0.051418-0.35250.363017
30.0244540.16760.433789
4-0.046418-0.31820.375863
50.1254080.85980.197145
60.0234340.16070.436527
7-0.084505-0.57930.282565
80.1179340.80850.211434
9-0.024361-0.1670.434039
100.0078120.05360.478759
11-0.016511-0.11320.45518
12-0.427301-2.92940.002613
130.014720.10090.460024
140.0013050.00890.49645
150.0230450.1580.437572
16-0.041202-0.28250.389412
170.0363610.24930.402115
18-0.26212-1.7970.039381
19-0.068772-0.47150.31974
200.0158420.10860.456987
210.0086690.05940.476429
22-0.014203-0.09740.461423
230.0390670.26780.395
24-0.277312-1.90120.031712
25-0.03774-0.25870.398486
260.0483950.33180.370765
270.0075770.05190.479397
28-0.028403-0.19470.423225
29-0.001944-0.01330.49471
30-0.074838-0.51310.305155
31-0.024055-0.16490.434859
320.0093430.06410.474601
330.0223790.15340.439361
34-0.034412-0.23590.407262
350.0286190.19620.422648
36-0.255184-1.74950.04337
37-0.058002-0.39760.346348
380.0192120.13170.447889
390.0138890.09520.462273
40-0.033929-0.23260.408538
41-0.021816-0.14960.440874
42-0.048914-0.33530.369432
43-0.033768-0.23150.408966
44-0.011784-0.08080.467977
450.0169910.11650.453883
46-0.031982-0.21930.413699
47NANANA
48NANANA
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Nov/27/t1259329845e62ym5n2uts2tir/1yok01259329728.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t1259329845e62ym5n2uts2tir/1yok01259329728.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/27/t1259329845e62ym5n2uts2tir/2pb0o1259329728.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t1259329845e62ym5n2uts2tir/2pb0o1259329728.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')
 




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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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