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DSHW-WS8-ACF1.3

*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: Fri, 27 Nov 2009 08:19:54 -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/27/t1259335337ebeyz3nr8oeld4d.htm/, Retrieved Fri, 27 Nov 2009 16:22:20 +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/27/t1259335337ebeyz3nr8oeld4d.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:

SDHW, DSHW

Dataseries X:

» Textbox « » Textfile « » CSV «

7,8 7,8 7,8 7,5 7,5 7,1 7,5 7,5 7,6 7,7 7,7 7,9 8,1 8,2 8,2 8,2 7,9 7,3 6,9 6,6 6,7 6,9 7 7,1 7,2 7,1 6,9 7 6,8 6,4 6,7 6,6 6,4 6,3 6,2 6,5 6,8 6,8 6,4 6,1 5,8 6,1 7,2 7,3 6,9 6,1 5,8 6,2 7,1 7,7 7,9 7,7 7,4 7,5 8 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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.509793	3.3429	0.000862
2	-0.040909	-0.2683	0.394892
3	-0.499775	-3.2772	0.001039
4	-0.491225	-3.2212	0.001217
5	-0.13565	-0.8895	0.189337
6	0.216023	1.4166	0.081909
7	0.330944	2.1701	0.017783
8	0.169969	1.1146	0.135615
9	-0.045328	-0.2972	0.383859
10	-0.172775	-1.133	0.131754
11	-0.097084	-0.6366	0.263872
12	-0.064568	-0.4234	0.337057
13	0.047867	0.3139	0.377564
14	0.091531	0.6002	0.275759
15	0.019477	0.1277	0.449484
16	-0.102225	-0.6703	0.253114
17	-0.157987	-1.036	0.152999
18	-0.062917	-0.4126	0.340985
19	0.087033	0.5707	0.285583
20	0.252717	1.6572	0.052382
21	0.213762	1.4017	0.084086
22	0.052487	0.3442	0.366194
23	-0.224291	-1.4708	0.074316
24	-0.327772	-2.1493	0.018639
25	-0.172292	-1.1298	0.132413
26	0.020489	0.1344	0.446874
27	0.158305	1.0381	0.152519
28	0.134313	0.8808	0.191675
29	0.04198	0.2753	0.39221
30	-0.130057	-0.8528	0.199237
31	-0.154048	-1.0102	0.159034
32	-0.169465	-1.1113	0.136316
33	-0.051371	-0.3369	0.368929
34	0.009228	0.0605	0.476014
35	0.101811	0.6676	0.253971
36	0.114134	0.7484	0.229138

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.509793	3.3429	0.000862
2	-0.406423	-2.6651	0.005398
3	-0.42607	-2.7939	0.003873
4	-0.012574	-0.0825	0.467335
5	0.132582	0.8694	0.194728
6	-0.014867	-0.0975	0.461394
7	-0.048081	-0.3153	0.377033
8	-0.028127	-0.1844	0.427267
9	0.062627	0.4107	0.341677
10	0.011942	0.0783	0.468972
11	0.066194	0.4341	0.333207
12	-0.187365	-1.2286	0.112945
13	0.087053	0.5708	0.285537
14	0.100201	0.6571	0.257321
15	-0.162254	-1.064	0.14664
16	-0.18518	-1.2143	0.115629
17	0.02224	0.1458	0.442365
18	0.124945	0.8193	0.20856
19	0.008332	0.0546	0.478342
20	0.095346	0.6252	0.267564
21	0.008618	0.0565	0.477598
22	0.036539	0.2396	0.405888
23	-0.092108	-0.604	0.274511
24	-0.098336	-0.6448	0.261231
25	0.052513	0.3444	0.36613
26	-0.100141	-0.6567	0.257448
27	-0.123876	-0.8123	0.210544
28	-0.056279	-0.369	0.356953
29	0.058165	0.3814	0.352388
30	-0.139154	-0.9125	0.183299
31	-0.061764	-0.405	0.343739
32	-0.15685	-1.0285	0.154724
33	0.025467	0.167	0.434078
34	-0.044342	-0.2908	0.386313
35	0.024515	0.1608	0.436519
36	-0.073751	-0.4836	0.315556

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259335337ebeyz3nr8oeld4d/1ejj11259335192.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259335337ebeyz3nr8oeld4d/1ejj11259335192.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259335337ebeyz3nr8oeld4d/2v0ol1259335192.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259335337ebeyz3nr8oeld4d/2v0ol1259335192.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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