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WS8 d=1

*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: Sun, 29 Nov 2009 05:13:58 -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/29/t12594968945sdselzbhuj9ked.htm/, Retrieved Sun, 29 Nov 2009 13:14:56 +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/29/t12594968945sdselzbhuj9ked.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 «

6.3 6.1 6.1 6.3 6.3 6 6.2 6.4 6.8 7.5 7.5 7.6 7.6 7.4 7.3 7.1 6.9 6.8 7.5 7.6 7.8 8 8.1 8.2 8.3 8.2 8 7.9 7.6 7.6 8.3 8.4 8.4 8.4 8.4 8.6 8.9 8.8 8.3 7.5 7.2 7.4 8.8 9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.5 8.2 8.1 7.9 8.6 8.7 8.7 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8 8.2 8.1 8.1 8 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.4 6.1 6.5 7.7 7.9 7.5 6.9 6.6 6.9 7.7

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	0.352944	3.4581	0.000406
2	-0.199805	-1.9577	0.026585
3	-0.47784	-4.6819	5e-06
4	-0.381284	-3.7358	0.000159
5	0.037278	0.3653	0.357864
6	0.336902	3.3009	0.000677
7	0.159922	1.5669	0.060213
8	-0.120491	-1.1806	0.120347
9	-0.189022	-1.852	0.033547
10	-0.132033	-1.2937	0.099444
11	0.096902	0.9494	0.17239
12	0.447965	4.3891	1.5e-05
13	0.098247	0.9626	0.169078
14	-0.070675	-0.6925	0.245156
15	-0.151486	-1.4843	0.070509
16	-0.147338	-1.4436	0.076051
17	-0.00185	-0.0181	0.492787
18	0.130639	1.28	0.101815
19	-0.011346	-0.1112	0.455857
20	-0.102021	-0.9996	0.160009
21	-0.072964	-0.7149	0.238203
22	-0.03644	-0.357	0.360922
23	0.060004	0.5879	0.278983
24	0.284902	2.7915	0.003166
25	0.011421	0.1119	0.455565
26	-0.071159	-0.6972	0.243676
27	-0.101526	-0.9947	0.16118
28	-0.081706	-0.8006	0.212683
29	-0.004731	-0.0464	0.481562
30	0.054434	0.5333	0.297516
31	-0.015112	-0.1481	0.4413
32	-0.081892	-0.8024	0.212159
33	-0.019335	-0.1894	0.425073
34	0.017687	0.1733	0.431393
35	0.054081	0.5299	0.298706
36	0.193393	1.8949	0.03056

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.352944	3.4581	0.000406
2	-0.370532	-3.6305	0.000228
3	-0.331567	-3.2487	0.000799
4	-0.199063	-1.9504	0.027022
5	0.073828	0.7234	0.235607
6	0.079738	0.7813	0.218282
7	-0.209957	-2.0572	0.021192
8	-0.136216	-1.3346	0.092576
9	0.055239	0.5412	0.294802
10	-0.055416	-0.543	0.294205
11	0.008281	0.0811	0.467751
12	0.401941	3.9382	7.8e-05
13	-0.270689	-2.6522	0.004679
14	0.250371	2.4531	0.007983
15	0.15261	1.4953	0.069062
16	0.021232	0.208	0.417825
17	-0.015655	-0.1534	0.439207
18	0.052855	0.5179	0.302868
19	-0.062035	-0.6078	0.272372
20	-0.036915	-0.3617	0.359188
21	-0.099009	-0.9701	0.167221
22	-0.005569	-0.0546	0.4783
23	-0.071239	-0.698	0.243433
24	0.077479	0.7591	0.224814
25	-0.105162	-1.0304	0.152711
26	-0.004602	-0.0451	0.482065
27	-0.00184	-0.018	0.492828
28	0.045946	0.4502	0.3268
29	-0.080946	-0.7931	0.214835
30	-0.070119	-0.687	0.246863
31	0.110214	1.0799	0.141453
32	-0.131963	-1.293	0.099563
33	0.017076	0.1673	0.433739
34	0.055658	0.5453	0.293395
35	0.006879	0.0674	0.473201
36	0.011549	0.1132	0.455071

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/29/t12594968945sdselzbhuj9ked/1puy31259496837.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/29/t12594968945sdselzbhuj9ked/1puy31259496837.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/29/t12594968945sdselzbhuj9ked/2ushc1259496837.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/29/t12594968945sdselzbhuj9ked/2ushc1259496837.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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