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WS 8

*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 07:22:51 -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/t1259332022638cwrsqvr2mtz5.htm/, Retrieved Fri, 27 Nov 2009 15:27:04 +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/t1259332022638cwrsqvr2mtz5.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:

bhschhwsstws8acf1

Dataseries X:

» Textbox « » Textfile « » CSV «

126.51 131.02 136.51 138.04 132.92 129.61 122.96 124.04 121.29 124.56 118.53 113.14 114.15 122.17 129.23 131.19 129.12 128.28 126.83 138.13 140.52 146.83 135.14 131.84 125.7 128.98 133.25 136.76 133.24 128.54 121.08 120.23 119.08 125.75 126.89 126.6 121.89 123.44 126.46 129.49 127.78 125.29 119.02 119.96 122.86 131.89 132.73 135.01 136.71 142.73 144.43 144.93 138.75 130.22 122.19 128.4 140.43 153.5 149.33 142.97

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	0.787162	6.0973	0
2	0.435319	3.372	0.000656
3	0.101424	0.7856	0.217589
4	0.048306	0.3742	0.354797
5	0.120109	0.9304	0.177957
6	0.211692	1.6398	0.053144
7	0.13655	1.0577	0.147214
8	-0.013308	-0.1031	0.45912
9	-0.157317	-1.2186	0.113888
10	-0.137085	-1.0619	0.146278
11	-0.082418	-0.6384	0.262818
12	-0.04059	-0.3144	0.377149
13	-0.156466	-1.212	0.115136
14	-0.274386	-2.1254	0.01884
15	-0.368689	-2.8558	0.002944
16	-0.288044	-2.2312	0.014709
17	-0.158647	-1.2289	0.111958
18	-0.029149	-0.2258	0.411067
19	-0.032354	-0.2506	0.401484
20	-0.073733	-0.5711	0.285021
21	-0.116884	-0.9054	0.184442
22	-0.050521	-0.3913	0.348469
23	0.029136	0.2257	0.411105
24	0.104901	0.8126	0.209842
25	0.058208	0.4509	0.326852
26	-0.006854	-0.0531	0.478918
27	-0.054585	-0.4228	0.336973
28	0.030915	0.2395	0.405781
29	0.156962	1.2158	0.114407
30	0.270563	2.0958	0.020165
31	0.248937	1.9283	0.029279
32	0.139226	1.0784	0.142578
33	-0.000106	-8e-04	0.499673
34	-0.025802	-0.1999	0.421133
35	0.028682	0.2222	0.412469
36	0.111022	0.86	0.196613

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.787162	6.0973	0
2	-0.484536	-3.7532	0.000198
3	-0.088873	-0.6884	0.246926
4	0.588097	4.5554	1.3e-05
5	-0.30164	-2.3365	0.011412
6	-0.144658	-1.1205	0.13348
7	0.014662	0.1136	0.454979
8	-0.017104	-0.1325	0.447522
9	0.002887	0.0224	0.491118
10	0.144746	1.1212	0.133335
11	-0.40393	-3.1288	0.001354
12	0.019656	0.1523	0.439747
13	-0.057523	-0.4456	0.328756
14	0.002875	0.0223	0.491154
15	-0.112386	-0.8705	0.193738
16	0.099967	0.7743	0.220885
17	-2.2e-05	-2e-04	0.499933
18	-0.093923	-0.7275	0.234868
19	0.088463	0.6852	0.247918
20	0.040846	0.3164	0.376401
21	-0.088947	-0.689	0.246746
22	0.10013	0.7756	0.220514
23	-0.034784	-0.2694	0.394259
24	-0.100704	-0.78	0.219214
25	0.002818	0.0218	0.491329
26	0.005601	0.0434	0.482769
27	0.102574	0.7945	0.215009
28	0.019536	0.1513	0.440114
29	0.078393	0.6072	0.272996
30	0.009176	0.0711	0.471787
31	-0.063447	-0.4915	0.312447
32	-0.073621	-0.5703	0.285313
33	0.102304	0.7924	0.215613
34	0.047115	0.365	0.358215
35	-0.055634	-0.4309	0.334028
36	-0.085334	-0.661	0.255573

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259332022638cwrsqvr2mtz5/13g2x1259331770.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259332022638cwrsqvr2mtz5/13g2x1259331770.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259332022638cwrsqvr2mtz5/27y1n1259331770.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259332022638cwrsqvr2mtz5/27y1n1259331770.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; 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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