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ws 8 review 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: Mon, 30 Nov 2009 13:04:41 -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/30/t1259611702q00wklpiayzm774.htm/, Retrieved Mon, 30 Nov 2009 21:08:24 +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/30/t1259611702q00wklpiayzm774.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 «

114 116 153 162 161 149 139 135 130 127 122 117 112 113 149 157 157 147 137 132 125 123 117 114 111 112 144 150 149 134 123 116 117 111 105 102 95 93 124 130 124 115 106 105 105 101 95 93 84 87 116 120 117 109 105 107 109 109 108 107

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	-0.269146	-1.5923	0.060156
2	0.205129	1.2136	0.116521
3	-0.148186	-0.8767	0.193319
4	0.148484	0.8784	0.192847
5	-0.245426	-1.452	0.077709
6	0.002436	0.0144	0.494292
7	0.252806	1.4956	0.071858
8	-0.109814	-0.6497	0.260075
9	0.255507	1.5116	0.069806
10	-0.131679	-0.779	0.2206
11	0.372506	2.2038	0.017105
12	-0.49869	-2.9503	0.002815
13	0.055067	0.3258	0.373265
14	-0.165635	-0.9799	0.166929
15	0.088297	0.5224	0.302352
16	-0.093046	-0.5505	0.292747
17	0.122616	0.7254	0.236512
18	0.01116	0.066	0.473867
19	-0.11407	-0.6748	0.252104
20	0.06456	0.3819	0.352407
21	-0.150872	-0.8926	0.189091
22	0.022742	0.1345	0.446872
23	-0.154894	-0.9164	0.182874
24	0.071635	0.4238	0.337153
25	-0.020741	-0.1227	0.451521
26	0.052532	0.3108	0.378905
27	-0.005719	-0.0338	0.4866
28	-0.035078	-0.2075	0.418402
29	-0.032746	-0.1937	0.423755
30	-0.024017	-0.1421	0.443913
31	-0.012163	-0.072	0.471522
32	-0.018226	-0.1078	0.457374
33	0.004966	0.0294	0.488363
34	-0.000297	-0.0018	0.499304
35	NA	NA	NA
36	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.269146	-1.5923	0.060156
2	0.143052	0.8463	0.201565
3	-0.068648	-0.4061	0.343561
4	0.078722	0.4657	0.322148
5	-0.182897	-1.082	0.143319
6	-0.143471	-0.8488	0.200885
7	0.351702	2.0807	0.022423
8	-0.024397	-0.1443	0.443032
9	0.211854	1.2533	0.109194
10	-0.034364	-0.2033	0.420038
11	0.259098	1.5328	0.067152
12	-0.29499	-1.7452	0.044864
13	-0.297048	-1.7574	0.043801
14	-0.048076	-0.2844	0.388882
15	-0.019554	-0.1157	0.454283
16	0.051034	0.3019	0.382249
17	-0.019848	-0.1174	0.453599
18	-0.258953	-1.532	0.067258
19	0.068386	0.4046	0.344125
20	0.010034	0.0594	0.476501
21	0.079037	0.4676	0.321488
22	-0.066387	-0.3927	0.348444
23	0.113098	0.6691	0.253912
24	-0.05202	-0.3078	0.380047
25	-0.039702	-0.2349	0.407835
26	-0.109208	-0.6461	0.261219
27	0.021282	0.1259	0.450263
28	-0.044158	-0.2612	0.397719
29	0.046642	0.2759	0.392109
30	-0.063324	-0.3746	0.355099
31	-0.091459	-0.5411	0.29594
32	0.000701	0.0041	0.498357
33	0.015303	0.0905	0.464189
34	-0.090874	-0.5376	0.297122
35	NA	NA	NA
36	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/30/t1259611702q00wklpiayzm774/1ztij1259611480.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/30/t1259611702q00wklpiayzm774/1ztij1259611480.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/30/t1259611702q00wklpiayzm774/2laag1259611480.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/30/t1259611702q00wklpiayzm774/2laag1259611480.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 = 1 ; par4 = 2 ; 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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