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Workshop 9; Coffee Price, ACF

*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: Tue, 07 Dec 2010 09:31:16 +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/07/t1291714162xmignqy7ydt7ome.htm/, Retrieved Tue, 07 Dec 2010 10:29:24 +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/07/t1291714162xmignqy7ydt7ome.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 «

168,67 164,83 184,38 180,81 190,54 181,41 155,67 135,99 125,88 126,09 114,86 127,98 127,98 125,11 125,93 128,2 125,93 111,94 120,01 124,09 126,02 136,41 143,79 141,67 143,9 155 144,83 141,4 137 141,02 131,11 132,83 136,73 141,18 137,86 133,79 128,53 125,87 124,27 123,96 128,15 126,4 127,86 129,31 132,56 141,28 145,55 146,54 143,14 145,72 148,21 150,4 149,94 146,66 143,37 145,29 140,24 136,12 140,25 140,64 145,58 143,73 141,27 140,66 141,94 141,16 134,31 132,93 133,07 140,48 154,85 196,77 235,3 226,52 237,62 224,07 208,74 174,54 170,63 172,23 198,36 175,91 154,63 134,31 121,75 119,6 102,04 106,3 116,38 103,72 98,56 100,9 110 118,26 124,77 125,22 126,38 137,14 134,74 134,3 136,39 141,83 139,24 128,89 134,83 130,43 132,09 144,95 149,5 137,57 139,38 143,06 138,65 123,21 85,91 77,4 77,84 67,76 70,72 72,55 75,83 84,01 93,96 93,73 92,02 88,26 86,48 94,42 94,92 91,41 84,84 89,89 86,32 8 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	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.951405	18.2759	0
2	0.891691	17.1288	0
3	0.820965	15.7702	0
4	0.752497	14.455	0
5	0.690338	13.261	0
6	0.643125	12.354	0
7	0.605337	11.6281	0
8	0.569747	10.9445	0
9	0.53577	10.2918	0
10	0.497577	9.5581	0
11	0.461033	8.8562	0
12	0.420451	8.0766	0
13	0.383925	7.375	0
14	0.350709	6.7369	0
15	0.326667	6.2751	0
16	0.307812	5.9129	0
17	0.295755	5.6813	0
18	0.298732	5.7385	0
19	0.306444	5.8866	0
20	0.312314	5.9993	0
21	0.317843	6.1056	0
22	0.319578	6.1389	0
23	0.317777	6.1043	0
24	0.31649	6.0796	0
25	0.310978	5.9737	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.951405	18.2759	0
2	-0.14215	-2.7306	0.003312
3	-0.137186	-2.6353	0.004381
4	0.008276	0.159	0.436891
5	0.034575	0.6642	0.253499
6	0.105588	2.0283	0.021625
7	0.030884	0.5933	0.276682
8	-0.047135	-0.9054	0.182912
9	-0.015944	-0.3063	0.379784
10	-0.054819	-1.053	0.146506
11	0.024146	0.4638	0.321523
12	-0.046511	-0.8934	0.186101
13	0.020021	0.3846	0.350383
14	0.008806	0.1692	0.432885
15	0.053045	1.019	0.154445
16	0.014578	0.28	0.389803
17	0.030183	0.5798	0.281205
18	0.143687	2.7601	0.003033
19	0.031209	0.5995	0.274603
20	-0.03849	-0.7394	0.230074
21	0.023431	0.4501	0.326453
22	-0.010821	-0.2079	0.417726
23	0.016376	0.3146	0.376629
24	0.035836	0.6884	0.245822
25	-0.049191	-0.9449	0.172654

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/07/t1291714162xmignqy7ydt7ome/1qjni1291714274.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/07/t1291714162xmignqy7ydt7ome/1qjni1291714274.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/07/t1291714162xmignqy7ydt7ome/2qjni1291714274.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/07/t1291714162xmignqy7ydt7ome/2qjni1291714274.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 = Default ; par2 = 1 ; par3 = 0 ; 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 <- 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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