Home » date » 2009 » Nov » 25 »

ws 8 d=2 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: Wed, 25 Nov 2009 14:12:55 -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/t12591841849ogxzxfai7b4s2e.htm/, Retrieved Wed, 25 Nov 2009 22:23:06 +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/t12591841849ogxzxfai7b4s2e.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 «

100.01 103.84 104.48 95.43 104.80 108.64 105.65 108.42 115.35 113.64 115.24 100.33 101.29 104.48 99.26 100.11 103.52 101.18 96.39 97.56 96.39 85.10 79.77 79.13 80.84 82.75 92.55 96.60 96.92 95.32 98.52 100.22 104.91 103.10 97.13 103.42 111.72 118.11 111.62 100.22 102.03 105.76 107.68 110.77 105.44 112.26 114.07 117.90 124.72 126.42 134.73 135.79 143.36 140.37 144.74 151.98 150.92 163.38 154.43 146.66 157.95 162.10 180.42 179.57 171.58 185.43 190.64 203.00 202.36 193.41 186.17 192.24 209.60 206.41 209.82 230.37 235.80 232.07 244.64 242.19 217.48 209.39 211.73 221.00 203.11 214.71 224.19 238.04 238.36 246.24 259.87 249.97 266.48 282.98 306.31 301.73 314.62 332.62 355.51 370.32 408.13 433.58 440.51 386.29 342.84 254.97 203.42 170.09 174.03 167.85 177.01 188.19 211.20 240.91 230.26 251.25 241.66

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.321274	-3.2606	0.000754
2	-0.031363	-0.3183	0.375451
3	-0.108156	-1.0977	0.137456
4	0.141022	1.4312	0.077697
5	-0.124603	-1.2646	0.104437
6	-0.089813	-0.9115	0.18208
7	0.149633	1.5186	0.065962
8	0.065825	0.668	0.252798
9	-0.148699	-1.5091	0.067163
10	0.003994	0.0405	0.483873
11	0.204788	2.0784	0.02008
12	-0.279131	-2.8329	0.002775
13	-0.106308	-1.0789	0.141575
14	0.011086	0.1125	0.455319
15	0.259523	2.6339	0.004871
16	-0.168189	-1.7069	0.045424
17	0.030357	0.3081	0.379317
18	-0.027652	-0.2806	0.389775
19	0.092011	0.9338	0.176293
20	-0.15566	-1.5798	0.058612
21	0.131843	1.3381	0.091912
22	0.003098	0.0314	0.487491
23	-0.021554	-0.2188	0.413638
24	-0.123081	-1.2491	0.107224
25	0.13818	1.4024	0.081905
26	0.098516	0.9998	0.159869
27	-0.092048	-0.9342	0.176197
28	-0.016183	-0.1642	0.434933
29	-0.053125	-0.5392	0.29547
30	0.114771	1.1648	0.123396
31	-0.087845	-0.8915	0.18736
32	0.043623	0.4427	0.329447
33	0.006645	0.0674	0.47318
34	-0.084479	-0.8574	0.196615
35	0.068718	0.6974	0.243559
36	-0.010339	-0.1049	0.458317

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.321274	-3.2606	0.000754
2	-0.15007	-1.523	0.065406
3	-0.191604	-1.9446	0.027277
4	0.034895	0.3541	0.361976
5	-0.102922	-1.0445	0.14934
6	-0.192156	-1.9502	0.026937
7	0.055888	0.5672	0.285906
8	0.094796	0.9621	0.169133
9	-0.09795	-0.9941	0.161256
10	-0.033861	-0.3437	0.365904
11	0.187517	1.9031	0.02991
12	-0.231516	-2.3496	0.010349
13	-0.251951	-2.557	0.006007
14	-0.161743	-1.6415	0.05187
15	0.062977	0.6391	0.262072
16	-0.054743	-0.5556	0.289852
17	-0.004126	-0.0419	0.48334
18	-0.150344	-1.5258	0.065059
19	-0.01974	-0.2003	0.420805
20	-0.003526	-0.0358	0.485762
21	0.082074	0.833	0.203397
22	-0.050692	-0.5145	0.304015
23	-0.003331	-0.0338	0.486548
24	-0.13676	-1.388	0.084072
25	-0.069794	-0.7083	0.240171
26	0.031183	0.3165	0.376141
27	0.070369	0.7142	0.238369
28	0.026115	0.265	0.395755
29	-0.119293	-1.2107	0.114391
30	-0.04025	-0.4085	0.341881
31	0.030361	0.3081	0.379303
32	0.005967	0.0606	0.475913
33	0.064791	0.6576	0.256145
34	-0.150575	-1.5282	0.064768
35	0.05711	0.5796	0.281722
36	-0.085526	-0.868	0.193709

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t12591841849ogxzxfai7b4s2e/1jo4u1259183573.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t12591841849ogxzxfai7b4s2e/1jo4u1259183573.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t12591841849ogxzxfai7b4s2e/23ora1259183573.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t12591841849ogxzxfai7b4s2e/23ora1259183573.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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