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ws9

*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: Sat, 04 Dec 2010 14:09:54 +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/04/t1291471663lc7gx0usj13x4df.htm/, Retrieved Sat, 04 Dec 2010 15:07:45 +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/04/t1291471663lc7gx0usj13x4df.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 «

7945 7833 7889 7957 8038 8106 8180 7951 7908 7895 7988 7982 7964 8007 7976 7951 7982 7995 7933 8050 8119 8224 8143 8174 8211 8261 8162 8156 8168 8218 8267 8267 8162 8162 8249 8404 8391 8354 8360 8360 8391 8459 8428 8478 8540 8633 8552 8664 8627 8559 8472 8311 8304 8339 8413 8413 8357 8370 8376 8351 8351 8370 8391 8335 8348 8342 8413 8379 8397 8459 8391 8540 8596 8590 8608 8559 8583 8577 8515 8509 8596 8664 8689 8676 8608 8577 8435 8416 8335 8335 8335 8280 8255 8292 8342 8267 8211 8286 8335 8311 8205 8280 8193 8311 8329 8187 8057 7951 7926 7976 8026 8050 8057 8106 8032 8044 8069 8106 8038 8026 8057 8149 8162 8261 8261 8249 8050 8088 8106 8125 8088 8094 7995 8038 8044 7920 7815 7821 7747 7709 7697 7672 7722 7722 7734 7691 7654 7635 7635 7635 7722 7883 7864 7939 7982 7914 7815 7796 7815 7815 7815 7840 7815 7784 7740 7685 7685 7747 7802 7784 7802 etc...

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	7 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.072019	-3.9288	4.4e-05
2	-0.021804	-1.1895	0.117173
3	-0.062469	-3.4079	0.000332
4	0.052199	2.8476	0.002218
5	0.000784	0.0428	0.48294
6	-0.001332	-0.0727	0.471042
7	-0.038882	-2.1211	0.016996
8	0.037977	2.0717	0.019189
9	0.046399	2.5312	0.00571
10	0.009001	0.491	0.31173
11	-0.007544	-0.4115	0.340354
12	-0.037511	-2.0463	0.020406
13	0.007886	0.4302	0.333546
14	0.041225	2.2489	0.012295
15	0.031886	1.7395	0.041026
16	0.039582	2.1593	0.015453
17	0.005891	0.3214	0.373978
18	-0.024315	-1.3265	0.092393
19	-0.026661	-1.4545	0.072963
20	-0.001261	-0.0688	0.47259
21	-0.014184	-0.7738	0.219562
22	-0.023629	-1.289	0.098742
23	-0.040575	-2.2135	0.013469
24	0.004684	0.2555	0.399177
25	0.012186	0.6648	0.253128
26	0.013515	0.7373	0.230498
27	-0.064075	-3.4955	0.00024
28	-0.037645	-2.0537	0.020048
29	-0.012338	-0.6731	0.250469
30	0.041801	2.2803	0.011329
31	-0.039222	-2.1397	0.016231
32	0.023541	1.2842	0.099583
33	-0.024749	-1.3501	0.088541
34	0.008014	0.4372	0.330998

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.072019	-3.9288	4.4e-05
2	-0.027132	-1.4801	0.069475
3	-0.066429	-3.6239	0.000148
4	0.042419	2.3141	0.010365
5	0.004405	0.2403	0.405046
6	-0.002408	-0.1313	0.447754
7	-0.033477	-1.8262	0.033957
8	0.031117	1.6975	0.044853
9	0.04961	2.7064	0.00342
10	0.0139	0.7583	0.224164
11	0.004194	0.2288	0.409521
12	-0.034953	-1.9068	0.028321
13	-0.000872	-0.0476	0.481027
14	0.038035	2.0749	0.019041
15	0.037082	2.0229	0.021586
16	0.053457	2.9162	0.001785
17	0.016619	0.9066	0.182348
18	-0.023788	-1.2977	0.097248
19	-0.031709	-1.7298	0.041885
20	-0.006894	-0.3761	0.353436
21	-0.014261	-0.778	0.218327
22	-0.027746	-1.5136	0.065115
23	-0.047932	-2.6148	0.004487
24	-0.013778	-0.7516	0.226171
25	0.000351	0.0192	0.492358
26	0.013297	0.7254	0.234134
27	-0.053004	-2.8915	0.001931
28	-0.042759	-2.3326	0.009868
29	-0.02489	-1.3578	0.087309
30	0.022972	1.2532	0.105117
31	-0.03501	-1.9099	0.028123
32	0.026874	1.466	0.071372
33	-0.014477	-0.7897	0.214873
34	-0.00366	-0.1997	0.420871

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/04/t1291471663lc7gx0usj13x4df/1pn451291471786.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/04/t1291471663lc7gx0usj13x4df/1pn451291471786.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/04/t1291471663lc7gx0usj13x4df/20w381291471786.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/04/t1291471663lc7gx0usj13x4df/20w381291471786.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = Default ; par2 = 1 ; par3 = 1 ; par4 = 0 ; 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 <- 7

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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