Home » date » 2010 » Dec » 03 »

W9 d=1 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: Fri, 03 Dec 2010 09:48:24 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/03/t1291369584k0qvjwgh90zx7q1.htm/, Retrieved Fri, 03 Dec 2010 10:46:26 +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/2010/Dec/03/t1291369584k0qvjwgh90zx7q1.htm/},
    year = {2010},
}
@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 = {2010},
    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 «

17848 19592 21092 20889 25890 24965 22225 20977 22897 22785 22769 19637 20203 20450 23083 21738 26766 25280 22574 22729 21378 22902 24989 21116 15169 15846 20927 18273 22538 15596 14034 11366 14861 15149 13577 13026 13190 13196 15826 14733 16307 15703 14589 12043 15057 14053 12698 10888 10045 11549 13767 12424 13116 14211 12266 12602 15714 13742 12745 10491 10057 10900 11771 11992 11993 14504 11727 11477 13578 11555 11846 11397 10066 10269 14279 13870 13695 14420 11424 9704 12464 14301 13464 9893 11572 12380 16692 16052 16459 14761 13654 13480 18068 16560 14530 10650 11651 13735 13360 17818 20613 16231 13862 12004 17734 15034 12609 12320 10833 11350 13648 14890 16325 18045 15616 11926 16855 15083 12520 12355

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.212943	-2.2027	0.01488
2	-0.26093	-2.6991	0.004041
3	0.003949	0.0408	0.483747
4	0.064523	0.6674	0.252968
5	0.07025	0.7267	0.234506
6	-0.014961	-0.1548	0.438653
7	0.035674	0.369	0.356421
8	-0.162582	-1.6818	0.047765
9	0.044666	0.462	0.3225
10	0.104676	1.0828	0.140671
11	0.052645	0.5446	0.293593
12	-0.321073	-3.3212	0.000613
13	0.018019	0.1864	0.426246
14	0.189619	1.9614	0.026213
15	-0.068069	-0.7041	0.241447
16	0.069979	0.7239	0.235364
17	-0.111047	-1.1487	0.126624
18	0.047094	0.4871	0.313575
19	0.044091	0.4561	0.32463
20	-0.037725	-0.3902	0.34857
21	-0.001708	-0.0177	0.492969
22	0.00241	0.0249	0.490081
23	0.072757	0.7526	0.226672
24	-0.145857	-1.5088	0.067154
25	0.034244	0.3542	0.361933
26	0.012705	0.1314	0.447846
27	-0.047649	-0.4929	0.311553
28	0.007338	0.0759	0.469816
29	0.084465	0.8737	0.192115
30	-0.037029	-0.383	0.351229
31	-0.0969	-1.0023	0.15922
32	0.060605	0.6269	0.26603
33	0.078011	0.8069	0.210743
34	-0.058469	-0.6048	0.273293
35	0.03846	0.3978	0.345771
36	-0.042893	-0.4437	0.329082
37	0.008246	0.0853	0.466093
38	-0.029802	-0.3083	0.379237
39	0.130426	1.3491	0.090071
40	-0.064779	-0.6701	0.252124
41	-0.074655	-0.7722	0.220837
42	0.015748	0.1629	0.435451
43	-0.018385	-0.1902	0.424766
44	0.077371	0.8003	0.212645
45	-0.002401	-0.0248	0.490115
46	-0.008728	-0.0903	0.464117
47	-0.117291	-1.2133	0.11385
48	0.038656	0.3999	0.345029

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.212943	-2.2027	0.01488
2	-0.320823	-3.3186	0.000619
3	-0.160857	-1.6639	0.049527
4	-0.076638	-0.7927	0.21484
5	0.035126	0.3633	0.358532
6	0.030707	0.3176	0.375689
7	0.105214	1.0883	0.139444
8	-0.125766	-1.3009	0.098038
9	-0.012984	-0.1343	0.446705
10	0.024741	0.2559	0.39925
11	0.101466	1.0496	0.14814
12	-0.28609	-2.9593	0.001898
13	-0.112011	-1.1587	0.124589
14	-0.015204	-0.1573	0.437663
15	-0.072463	-0.7496	0.227581
16	0.095013	0.9828	0.163957
17	-0.04024	-0.4163	0.33903
18	0.083969	0.8686	0.193509
19	0.090536	0.9365	0.17556
20	-0.076034	-0.7865	0.216656
21	-0.037101	-0.3838	0.350952
22	0.029927	0.3096	0.378747
23	0.088004	0.9103	0.18235
24	-0.221301	-2.2892	0.012017
25	-0.095531	-0.9882	0.162648
26	-0.020922	-0.2164	0.414539
27	-0.102308	-1.0583	0.146154
28	-0.005916	-0.0612	0.475658
29	0.071487	0.7395	0.230623
30	0.039458	0.4082	0.341985
31	0.042674	0.4414	0.329899
32	-0.081793	-0.8461	0.1997
33	0.060794	0.6289	0.26539
34	-0.009812	-0.1015	0.459673
35	0.125223	1.2953	0.098999
36	-0.181968	-1.8823	0.031257
37	-0.054238	-0.561	0.287971
38	-0.058563	-0.6058	0.27297
39	0.063663	0.6585	0.255806
40	-0.022688	-0.2347	0.407451
41	0.047903	0.4955	0.310628
42	-0.01225	-0.1267	0.4497
43	-0.03766	-0.3896	0.348819
44	-0.03435	-0.3553	0.361524
45	0.086366	0.8934	0.186829
46	0.045824	0.474	0.318231
47	-0.025563	-0.2644	0.395982
48	-0.168502	-1.743	0.042103

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/03/t1291369584k0qvjwgh90zx7q1/1y41m1291369702.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/03/t1291369584k0qvjwgh90zx7q1/1y41m1291369702.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/03/t1291369584k0qvjwgh90zx7q1/2y41m1291369702.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/03/t1291369584k0qvjwgh90zx7q1/2y41m1291369702.ps (open in new window)

Parameters (Session):

par1 = Default ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; 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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