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Workshop 8 ACF 2

*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, 29 Nov 2010 17:56:26 +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/29/t1291053279a3fnusvqvrl8292.htm/, Retrieved Mon, 29 Nov 2010 18:54:39 +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/29/t1291053279a3fnusvqvrl8292.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 «

58608 46865 51378 46235 47206 45382 41227 33795 31295 42625 33625 21538 56421 53152 53536 52408 41454 38271 35306 26414 31917 38030 27534 18387 50556 43901 48572 43899 37532 40357 35489 29027 34485 42598 30306 26451 47460 50104 61465 53726 39477 43895 31481 29896 33842 39120 33702 25094 51442 45594 52518 48564 41745 49585 32747 33379 35645 37034 35681 20972

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	-0.352175	-2.4144	0.009854
2	0.029033	0.199	0.421545
3	-0.055311	-0.3792	0.353125
4	-0.192553	-1.3201	0.096601
5	0.108563	0.7443	0.230209
6	0.047538	0.3259	0.372972
7	-0.083323	-0.5712	0.285281
8	-0.000884	-0.0061	0.497596
9	0.200646	1.3756	0.087739
10	-0.069969	-0.4797	0.316838
11	-0.017199	-0.1179	0.453321
12	-0.189268	-1.2976	0.100387
13	-0.073724	-0.5054	0.307812
14	0.030862	0.2116	0.416674
15	0.229638	1.5743	0.061061
16	-0.241383	-1.6548	0.05231
17	0.109018	0.7474	0.229276
18	0.095349	0.6537	0.258252
19	-0.112103	-0.7685	0.223007
20	0.184435	1.2644	0.106157
21	-0.188797	-1.2943	0.100939
22	-0.091827	-0.6295	0.266024
23	0.10578	0.7252	0.235965
24	0.074474	0.5106	0.306021
25	0.022462	0.154	0.439137
26	0.106939	0.7331	0.233558
27	-0.175479	-1.203	0.117497
28	0.072451	0.4967	0.310858
29	-0.052991	-0.3633	0.35901
30	-0.064573	-0.4427	0.33001
31	-0.010777	-0.0739	0.470707
32	-0.017974	-0.1232	0.451227
33	0.164503	1.1278	0.13257
34	-0.070783	-0.4853	0.314871
35	0.060535	0.415	0.340013
36	-0.121819	-0.8351	0.20393

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.352175	-2.4144	0.009854
2	-0.108445	-0.7435	0.230452
3	-0.09492	-0.6507	0.259192
4	-0.28433	-1.9493	0.028623
5	-0.099159	-0.6798	0.249983
6	0.024393	0.1672	0.433954
7	-0.114644	-0.786	0.217918
8	-0.146644	-1.0053	0.159941
9	0.212897	1.4596	0.075533
10	0.123455	0.8464	0.200819
11	-0.048044	-0.3294	0.371668
12	-0.233512	-1.6009	0.058052
13	-0.168736	-1.1568	0.126601
14	-0.178038	-1.2206	0.114169
15	0.080789	0.5539	0.29115
16	-0.283691	-1.9449	0.028892
17	-0.163068	-1.1179	0.134638
18	0.134704	0.9235	0.180236
19	0.012431	0.0852	0.466224
20	0.046862	0.3213	0.374714
21	0.039732	0.2724	0.393257
22	-0.021757	-0.1492	0.441033
23	-0.05416	-0.3713	0.356041
24	-0.057836	-0.3965	0.346763
25	0.011329	0.0777	0.469212
26	0.132498	0.9084	0.184161
27	-0.064875	-0.4448	0.329267
28	-0.017772	-0.1218	0.451772
29	-0.075477	-0.5174	0.303637
30	-0.040162	-0.2753	0.392131
31	0.019407	0.133	0.447361
32	-0.12068	-0.8273	0.206113
33	0.062668	0.4296	0.334714
34	0.004536	0.0311	0.487663
35	-0.09674	-0.6632	0.255216
36	0.012151	0.0833	0.466981

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/29/t1291053279a3fnusvqvrl8292/12e3l1291053382.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/29/t1291053279a3fnusvqvrl8292/12e3l1291053382.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/29/t1291053279a3fnusvqvrl8292/22e3l1291053382.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/29/t1291053279a3fnusvqvrl8292/22e3l1291053382.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 = 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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