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WS8 5

*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: Thu, 25 Nov 2010 18:02:52 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Nov/25/t1290708053bk2d5bskl2exmaw.htm/, Retrieved Thu, 25 Nov 2010 19:00:53 +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/2010/Nov/25/t1290708053bk2d5bskl2exmaw.htm/},
    year = {2010},
}
@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 = {2010},
    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 «

0.6923 0.6886 0.6855 0.6745 0.6769 0.6758 0.6896 0.6843 0.6818 0.6774 0.6821 0.6885 0.6829 0.6796 0.6976 0.6924 0.6849 0.6921 0.6839 0.6727 0.6776 0.6692 0.6738 0.6740 0.6635 0.6737 0.6788 0.6828 0.6795 0.6740 0.6744 0.6764 0.6987 0.6967 0.7116 0.7357 0.7455 0.7639 0.7958 0.7864 0.7853 0.7903 0.7866 0.8039 0.7916 0.7903 0.8242 0.9567 0.8850 0.8865 0.9258 0.8948 0.8762 0.8527 0.8536 0.8805 0.9155 0.8961 0.9127 0.8857

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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.937746	7.2638	0
2	0.878736	6.8067	0
3	0.835109	6.4687	0
4	0.772608	5.9846	0
5	0.721038	5.5851	0
6	0.683066	5.291	1e-06
7	0.64734	5.0143	3e-06
8	0.611877	4.7396	7e-06
9	0.565683	4.3818	2.4e-05
10	0.484037	3.7493	0.000201
11	0.42118	3.2624	0.000912
12	0.350725	2.7167	0.004302
13	0.254599	1.9721	0.026606
14	0.198408	1.5369	0.064792
15	0.159548	1.2359	0.110665
16	0.111578	0.8643	0.195438
17	0.065739	0.5092	0.306235
18	0.028567	0.2213	0.412814
19	-0.013486	-0.1045	0.458576
20	-0.05167	-0.4002	0.345203
21	-0.093928	-0.7276	0.234854
22	-0.143171	-1.109	0.135927
23	-0.181604	-1.4067	0.082338
24	-0.211801	-1.6406	0.053056
25	-0.244912	-1.8971	0.031317
26	-0.26814	-2.077	0.021045
27	-0.283117	-2.193	0.016097
28	-0.298401	-2.3114	0.012131
29	-0.303323	-2.3495	0.011053
30	-0.308591	-2.3903	0.009995
31	-0.31764	-2.4604	0.008387
32	-0.32316	-2.5032	0.007524
33	-0.327724	-2.5385	0.006872
34	-0.338458	-2.6217	0.005536
35	-0.339468	-2.6295	0.005423
36	-0.333383	-2.5824	0.006135

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.937746	7.2638	0
2	-0.005241	-0.0406	0.483878
3	0.096773	0.7496	0.228213
4	-0.175916	-1.3626	0.089044
5	0.069469	0.5381	0.296248
6	0.049956	0.387	0.350077
7	0.043599	0.3377	0.368378
8	-0.024906	-0.1929	0.423837
9	-0.125265	-0.9703	0.167897
10	-0.339255	-2.6279	0.005447
11	0.105093	0.8141	0.209418
12	-0.156979	-1.216	0.114382
13	-0.179902	-1.3935	0.084303
14	0.173394	1.3431	0.092148
15	0.05855	0.4535	0.325902
16	-0.032899	-0.2548	0.39986
17	-0.074733	-0.5789	0.28242
18	0.051578	0.3995	0.345463
19	0.036916	0.286	0.387949
20	0.00886	0.0686	0.472757
21	-0.009297	-0.072	0.471415
22	-0.07867	-0.6094	0.272287
23	-0.189547	-1.4682	0.073634
24	0.094356	0.7309	0.233849
25	-0.036222	-0.2806	0.390002
26	-0.079121	-0.6129	0.271141
27	0.00081	0.0063	0.497507
28	0.0733	0.5678	0.286151
29	0.068503	0.5306	0.298819
30	-0.055207	-0.4276	0.335225
31	0.00644	0.0499	0.48019
32	0.014505	0.1124	0.45546
33	-0.030305	-0.2347	0.407603
34	-0.040977	-0.3174	0.37602
35	0.008229	0.0637	0.474693
36	-0.099599	-0.7715	0.221722

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/25/t1290708053bk2d5bskl2exmaw/1hpwj1290708168.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/25/t1290708053bk2d5bskl2exmaw/1hpwj1290708168.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/25/t1290708053bk2d5bskl2exmaw/2hpwj1290708168.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/25/t1290708053bk2d5bskl2exmaw/2hpwj1290708168.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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