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WS8: acf 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 09:21:39 -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/t1259338923lmaza9l93vtdm5g.htm/, Retrieved Fri, 27 Nov 2009 17:22:05 +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/t1259338923lmaza9l93vtdm5g.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 «

13.4 14 14.7 16.1 16.3 16.1 16.5 19 18.7 17.7 17.2 16.6 17.4 15.5 12.4 11.1 11.1 13.7 12.1 11.3 9.9 10.9 13.2 14.2 16.8 17 19.6 18.3 20.6 17.7 19.6 17.4 17.6 19 17.8 17 15.7 16 17.1 17 15.7 15.6 16.1 17.4 16 15 14.3 14.5 14.3 16.2 14.8 16.3 14 15.4 13.4 12.9 14.3 11.9 8.6 5.5 0.8

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	-0.647655	-4.9747	3e-06
2	0.368968	2.8341	0.003141
3	-0.366769	-2.8172	0.00329
4	0.172686	1.3264	0.094905
5	0.066357	0.5097	0.306083
6	-0.016915	-0.1299	0.448533
7	-0.014357	-0.1103	0.45628
8	-0.104037	-0.7991	0.213713
9	0.098011	0.7528	0.227271
10	-0.026068	-0.2002	0.420994
11	0.086307	0.6629	0.254977
12	-0.182053	-1.3984	0.083617
13	0.107077	0.8225	0.207059
14	-0.05273	-0.405	0.343461
15	0.015537	0.1193	0.452705
16	0.060048	0.4612	0.323163
17	-0.037182	-0.2856	0.388092
18	0.002601	0.02	0.492064
19	0.035668	0.274	0.392531
20	-0.189444	-1.4551	0.075465
21	0.339983	2.6115	0.005707
22	-0.36059	-2.7697	0.003744
23	0.349112	2.6816	0.004744
24	-0.353246	-2.7133	0.004359
25	0.199706	1.534	0.065191
26	-0.016158	-0.1241	0.450826
27	0.056153	0.4313	0.333904
28	-0.09207	-0.7072	0.241113
29	-0.021525	-0.1653	0.434623
30	0.038956	0.2992	0.382908
31	0.00564	0.0433	0.482796
32	0.089731	0.6892	0.246689
33	-0.137965	-1.0597	0.146794
34	0.104172	0.8002	0.213413
35	-0.075643	-0.581	0.281719
36	0.062693	0.4816	0.315952

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.647655	-4.9747	3e-06
2	-0.086968	-0.668	0.253365
3	-0.283516	-2.1777	0.016718
4	-0.325466	-2.5	0.00761
5	0.105818	0.8128	0.209799
6	0.153061	1.1757	0.122221
7	0.017163	0.1318	0.447782
8	-0.061238	-0.4704	0.319909
9	0.016902	0.1298	0.448573
10	-0.017253	-0.1325	0.447511
11	0.037924	0.2913	0.385921
12	-0.139673	-1.0728	0.143854
13	-0.095018	-0.7298	0.234186
14	0.00735	0.0565	0.477585
15	-0.182652	-1.403	0.082932
16	-0.037049	-0.2846	0.388482
17	0.193405	1.4856	0.071358
18	0.060791	0.4669	0.321129
19	0.139838	1.0741	0.143571
20	-0.218183	-1.6759	0.049525
21	0.171653	1.3185	0.096217
22	-0.092426	-0.7099	0.240269
23	-0.0718	-0.5515	0.291684
24	-0.088836	-0.6824	0.248839
25	-0.164352	-1.2624	0.105884
26	0.078176	0.6005	0.275243
27	0.160401	1.2321	0.111407
28	-0.042618	-0.3274	0.372279
29	0.066148	0.5081	0.306642
30	0.114191	0.8771	0.19199
31	-0.034155	-0.2623	0.396983
32	-0.058304	-0.4478	0.327953
33	0.066274	0.5091	0.306306
34	0.014637	0.1124	0.455434
35	0.073859	0.5673	0.286324
36	-0.047878	-0.3678	0.357185

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259338923lmaza9l93vtdm5g/1ggov1259338898.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259338923lmaza9l93vtdm5g/1ggov1259338898.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259338923lmaza9l93vtdm5g/2s8pp1259338898.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259338923lmaza9l93vtdm5g/2s8pp1259338898.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 = 2 ; 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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