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ws 8

*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: Wed, 25 Nov 2009 10:07:43 -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/25/t1259168931f00oiocfu9go3m7.htm/, Retrieved Wed, 25 Nov 2009 18:08:53 +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/2009/Nov/25/t1259168931f00oiocfu9go3m7.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 «

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 8 8 7.7 7.3 7.4 8.1

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	0.001374	0.0105	0.495844
2	-0.271214	-2.0655	0.021677
3	-0.309052	-2.3537	0.011
4	-0.274427	-2.09	0.020507
5	0.057442	0.4375	0.331699
6	0.409353	3.1175	0.001418
7	0.195354	1.4878	0.071114
8	-0.052852	-0.4025	0.344395
9	-0.199539	-1.5196	0.067017
10	-0.229858	-1.7505	0.042656
11	-0.096706	-0.7365	0.2322
12	0.437722	3.3336	0.000749
13	-0.081808	-0.623	0.267853
14	-0.04332	-0.3299	0.371326
15	0.022146	0.1687	0.433325
16	-0.077852	-0.5929	0.277774
17	-0.018076	-0.1377	0.445491
18	0.109011	0.8302	0.204913
19	-0.006792	-0.0517	0.479461
20	-0.046416	-0.3535	0.362499
21	-0.004418	-0.0336	0.486636
22	-0.058684	-0.4469	0.328297
23	-0.012304	-0.0937	0.462833
24	0.271381	2.0668	0.021615
25	-0.148022	-1.1273	0.132128
26	-0.07485	-0.57	0.285425
27	-0.019893	-0.1515	0.440054
28	-0.030315	-0.2309	0.409112
29	0.039243	0.2989	0.383056
30	0.09796	0.746	0.229329
31	0.056217	0.4281	0.335068
32	-0.077946	-0.5936	0.277537
33	-0.172213	-1.3115	0.097423
34	-0.001365	-0.0104	0.495871
35	0.083562	0.6364	0.263513
36	0.234742	1.7877	0.039521

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.001374	0.0105	0.495844
2	-0.271217	-2.0655	0.021676
3	-0.332677	-2.5336	0.007007
4	-0.454803	-3.4637	0.000504
5	-0.352812	-2.6869	0.004696
6	-0.027616	-0.2103	0.417079
7	-0.034912	-0.2659	0.395636
8	-0.002753	-0.021	0.491672
9	0.025815	0.1966	0.422413
10	0.008501	0.0647	0.474302
11	-0.108008	-0.8226	0.207061
12	0.362819	2.7632	0.003829
13	-0.282408	-2.1508	0.017837
14	-0.119161	-0.9075	0.183948
15	0.000348	0.0026	0.498948
16	0.053226	0.4054	0.343354
17	0.015749	0.1199	0.452472
18	-0.00162	-0.0123	0.495099
19	0.091769	0.6989	0.243706
20	0.070349	0.5358	0.297087
21	0.096559	0.7354	0.232539
22	-0.080865	-0.6159	0.270201
23	-0.049744	-0.3788	0.353096
24	0.108308	0.8248	0.206419
25	0.007451	0.0567	0.477473
26	-0.007844	-0.0597	0.476284
27	-0.091668	-0.6981	0.243946
28	0.04701	0.358	0.360815
29	0.023387	0.1781	0.429629
30	-0.062709	-0.4776	0.317372
31	0.048171	0.3669	0.357531
32	-0.040076	-0.3052	0.38065
33	-0.244559	-1.8625	0.033799
34	0.007866	0.0599	0.476219
35	0.020256	0.1543	0.438969
36	0.009758	0.0743	0.470508

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259168931f00oiocfu9go3m7/1h9wa1259168862.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259168931f00oiocfu9go3m7/1h9wa1259168862.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259168931f00oiocfu9go3m7/2ivyr1259168862.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259168931f00oiocfu9go3m7/2ivyr1259168862.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 2 ; 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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