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WS8 ACF link 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: Sat, 28 Nov 2009 08:30:27 -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/28/t1259422299mjvkw9mjm9xj0uy.htm/, Retrieved Sat, 28 Nov 2009 16:31:42 +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/28/t1259422299mjvkw9mjm9xj0uy.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:

katrien.deroover@student.lessius.eu

IsPrivate?

No (this computation is public)

User-defined keywords:

WS8 ACF link 3

Dataseries X:

» Textbox « » Textfile « » CSV «

4.2 4 4.9 4.6 4.3 4.3 4.6 5.1 4.8 4.5 4.9 5.1 5.1 5.2 4.5 4.6 4.9 4.6 4.4 3.7 4 4.2 3.9 3.6 3.6 3.2 3.2 3.5 3.6 3.7 3.8 3.8 3.8 3.3 3.3 3.4 3.1 3.5 4.2 4.9 5.1 5.5 5.6 6.4 6.2 7.2 7.8 7.9 7.4 7.5 6.7 5.1 4.6 4.3 3.9 2.6 2.6 1.6 0.9 0.3

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	0.280497	1.923	0.030276
2	0.264656	1.8144	0.038002
3	0.250242	1.7156	0.046413
4	0.279258	1.9145	0.030828
5	0.151489	1.0386	0.152162
6	0.082756	0.5673	0.286589
7	0.106312	0.7288	0.234858
8	0.136687	0.9371	0.176754
9	-0.005977	-0.041	0.483745
10	-0.095789	-0.6567	0.25729
11	0.042577	0.2919	0.385827
12	-0.336294	-2.3055	0.012799
13	-0.18026	-1.2358	0.111338
14	-0.06923	-0.4746	0.318629
15	-0.067645	-0.4638	0.322483
16	-0.124568	-0.854	0.198721
17	-0.08736	-0.5989	0.276054
18	-0.053562	-0.3672	0.357557
19	-0.013615	-0.0933	0.463014
20	-0.252594	-1.7317	0.044944
21	-0.137452	-0.9423	0.175424
22	-0.024379	-0.1671	0.433991
23	-0.1277	-0.8755	0.192886
24	-0.148817	-1.0202	0.156419
25	-0.009552	-0.0655	0.474032
26	-0.098052	-0.6722	0.252371
27	-0.086875	-0.5956	0.277155
28	-0.058468	-0.4008	0.345178
29	-0.071935	-0.4932	0.312098
30	0.002241	0.0154	0.493903
31	-0.144319	-0.9894	0.163766
32	0.059467	0.4077	0.342679
33	0.03816	0.2616	0.397382
34	-0.039665	-0.2719	0.393434
35	-0.055316	-0.3792	0.353112
36	0.066881	0.4585	0.324347

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.280497	1.923	0.030276
2	0.201859	1.3839	0.086466
3	0.152042	1.0423	0.151292
4	0.166621	1.1423	0.129558
5	-0.010531	-0.0722	0.471376
6	-0.06472	-0.4437	0.329649
7	0.008186	0.0561	0.477742
8	0.063254	0.4336	0.333265
9	-0.092428	-0.6337	0.264689
10	-0.149726	-1.0265	0.154963
11	0.070275	0.4818	0.316098
12	-0.413132	-2.8323	0.003392
13	-0.031385	-0.2152	0.415284
14	0.176363	1.2091	0.116339
15	0.044507	0.3051	0.38081
16	0.03861	0.2647	0.396201
17	0.060822	0.417	0.339299
18	-0.034131	-0.234	0.408004
19	0.008581	0.0588	0.476668
20	-0.200287	-1.3731	0.088119
21	-0.055739	-0.3821	0.352046
22	-0.044683	-0.3063	0.380353
23	-0.032687	-0.2241	0.411828
24	-0.181883	-1.2469	0.109301
25	0.064586	0.4428	0.329979
26	-0.027716	-0.19	0.425059
27	0.034293	0.2351	0.407576
28	0.140306	0.9619	0.170514
29	-0.010983	-0.0753	0.470151
30	0.011532	0.0791	0.46866
31	-0.058557	-0.4014	0.344956
32	-0.018607	-0.1276	0.44952
33	-0.092931	-0.6371	0.263575
34	-0.073222	-0.502	0.309012
35	-0.052082	-0.3571	0.361325
36	-0.081794	-0.5607	0.288816

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259422299mjvkw9mjm9xj0uy/1vqr81259422225.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259422299mjvkw9mjm9xj0uy/1vqr81259422225.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259422299mjvkw9mjm9xj0uy/2w0na1259422225.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259422299mjvkw9mjm9xj0uy/2w0na1259422225.ps (open in new window)

Parameters (Session):

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