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ws8 ACF 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: Thu, 26 Nov 2009 08:30:55 -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/26/t1259249542zqh0xg6krfc1z1h.htm/, Retrieved Thu, 26 Nov 2009 16:32:25 +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/26/t1259249542zqh0xg6krfc1z1h.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 «

89 88 86 89 84 86 85 86 85 83 85 84 88 84 84 86 85 88 87 88 87 89 90 94 95 95 96 97 97 97 96 100 97 98 96 94 95 93 95 96 96 98 95 96 98 94 93 94 92 92 93 95 92 94 96 97 95 94 96 93

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	0.901451	6.9826	0
2	0.878232	6.8028	0
3	0.824832	6.3891	0
4	0.766442	5.9368	0
5	0.704685	5.4585	0
6	0.616613	4.7763	6e-06
7	0.577555	4.4737	1.7e-05
8	0.495219	3.836	0.000151
9	0.434335	3.3643	0.000671
10	0.37395	2.8966	0.002629
11	0.312692	2.4221	0.009234
12	0.253056	1.9602	0.027313
13	0.184439	1.4287	0.079144
14	0.130664	1.0121	0.157772
15	0.053567	0.4149	0.339837
16	-0.004074	-0.0316	0.487464
17	-0.076307	-0.5911	0.278345
18	-0.138314	-1.0714	0.144146
19	-0.1871	-1.4493	0.076235
20	-0.226781	-1.7566	0.042041
21	-0.260352	-2.0167	0.024106
22	-0.287312	-2.2255	0.014908
23	-0.298433	-2.3116	0.012124
24	-0.288601	-2.2355	0.014559
25	-0.299721	-2.3216	0.011833
26	-0.279662	-2.1663	0.017137
27	-0.277189	-2.1471	0.017918
28	-0.264987	-2.0526	0.022241
29	-0.267378	-2.0711	0.021329
30	-0.263283	-2.0394	0.022912
31	-0.255446	-1.9787	0.026224
32	-0.245863	-1.9045	0.030825
33	-0.253866	-1.9664	0.026939
34	-0.258128	-1.9994	0.025047
35	-0.262015	-2.0296	0.023422
36	-0.261911	-2.0288	0.023464

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.901451	6.9826	0
2	0.350178	2.7125	0.004351
3	-0.032175	-0.2492	0.402017
4	-0.128528	-0.9956	0.161727
5	-0.102335	-0.7927	0.215544
6	-0.217042	-1.6812	0.048962
7	0.14278	1.106	0.136577
8	-0.078329	-0.6067	0.273158
9	-0.042765	-0.3313	0.370804
10	0.004658	0.0361	0.485668
11	-0.026887	-0.2083	0.417862
12	-0.081296	-0.6297	0.265635
13	-0.052953	-0.4102	0.34157
14	-0.051546	-0.3993	0.345553
15	-0.141868	-1.0989	0.138099
16	-0.014599	-0.1131	0.455172
17	-0.09109	-0.7056	0.241589
18	-0.049429	-0.3829	0.351584
19	0.056279	0.4359	0.332224
20	0.103394	0.8009	0.213178
21	-0.011321	-0.0877	0.465208
22	0.037901	0.2936	0.385047
23	0.016073	0.1245	0.450669
24	0.134091	1.0387	0.151564
25	-0.065464	-0.5071	0.306977
26	0.070577	0.5467	0.29331
27	-0.078379	-0.6071	0.273032
28	-0.030759	-0.2383	0.406247
29	-0.105026	-0.8135	0.209565
30	-0.016688	-0.1293	0.448791
31	-0.051029	-0.3953	0.347022
32	0.093331	0.7229	0.236264
33	-0.174075	-1.3484	0.091302
34	-0.113863	-0.882	0.190653
35	-0.107243	-0.8307	0.204718
36	-0.002166	-0.0168	0.493335

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259249542zqh0xg6krfc1z1h/1qa5l1259249453.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259249542zqh0xg6krfc1z1h/1qa5l1259249453.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259249542zqh0xg6krfc1z1h/2zrq01259249453.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259249542zqh0xg6krfc1z1h/2zrq01259249453.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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