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Model1_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: Thu, 26 Nov 2009 11:38:47 -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/t1259260792zo0pd2kyo403i3s.htm/, Retrieved Thu, 26 Nov 2009 19:39:54 +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/t1259260792zo0pd2kyo403i3s.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 «

562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528

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	0.932321	6.5262	0
2	0.8694	6.0858	0
3	0.799624	5.5974	0
4	0.7241	5.0687	3e-06
5	0.639094	4.4737	2.3e-05
6	0.562789	3.9395	0.000129
7	0.474181	3.3193	0.000854
8	0.387023	2.7092	0.004633
9	0.309502	2.1665	0.017582
10	0.245516	1.7186	0.045999
11	0.186983	1.3089	0.09834
12	0.10764	0.7535	0.227383
13	0.037399	0.2618	0.397289
14	-0.031193	-0.2184	0.414031
15	-0.094746	-0.6632	0.255148
16	-0.158321	-1.1082	0.136582
17	-0.208879	-1.4622	0.075042
18	-0.270521	-1.8936	0.032092
19	-0.319234	-2.2346	0.015017
20	-0.357839	-2.5049	0.007812
21	-0.395267	-2.7669	0.003981
22	-0.419314	-2.9352	0.002531
23	-0.438619	-3.0703	0.001741
24	-0.447914	-3.1354	0.00145
25	-0.462548	-3.2378	0.001082
26	-0.456389	-3.1947	0.001224
27	-0.437071	-3.0595	0.001795
28	-0.412625	-2.8884	0.002875
29	-0.376764	-2.6373	0.005582
30	-0.330759	-2.3153	0.012413
31	-0.292114	-2.0448	0.023133
32	-0.264618	-1.8523	0.035004
33	-0.214387	-1.5007	0.069924
34	-0.179899	-1.2593	0.106946
35	-0.143058	-1.0014	0.160774
36	-0.123106	-0.8617	0.196513

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.932321	6.5262	0
2	0.001361	0.0095	0.496217
3	-0.084892	-0.5942	0.277542
4	-0.086553	-0.6059	0.273698
5	-0.118477	-0.8293	0.205468
6	0.013833	0.0968	0.461627
7	-0.131998	-0.924	0.180011
8	-0.055942	-0.3916	0.348528
9	0.02043	0.143	0.443433
10	0.053287	0.373	0.355375
11	0.0096	0.0672	0.473347
12	-0.241225	-1.6886	0.048828
13	-0.028331	-0.1983	0.421808
14	-0.044229	-0.3096	0.379087
15	-0.023792	-0.1665	0.434208
16	-0.067188	-0.4703	0.320108
17	-0.006884	-0.0482	0.480882
18	-0.103529	-0.7247	0.23604
19	0.01533	0.1073	0.457491
20	-0.001354	-0.0095	0.496238
21	-0.109453	-0.7662	0.223625
22	0.035154	0.2461	0.403325
23	-0.018571	-0.13	0.44855
24	0.022709	0.159	0.437177
25	-0.11562	-0.8093	0.211117
26	0.065029	0.4552	0.325488
27	0.094702	0.6629	0.255246
28	-0.02335	-0.1634	0.43542
29	0.104209	0.7295	0.234596
30	-0.002388	-0.0167	0.493366
31	-0.054095	-0.3787	0.353287
32	-0.121936	-0.8535	0.198754
33	0.135272	0.9469	0.174167
34	-0.123915	-0.8674	0.194975
35	0.02718	0.1903	0.424944
36	-0.102926	-0.7205	0.237325

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259260792zo0pd2kyo403i3s/1kpq01259260725.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259260792zo0pd2kyo403i3s/1kpq01259260725.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259260792zo0pd2kyo403i3s/2n5oh1259260725.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259260792zo0pd2kyo403i3s/2n5oh1259260725.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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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