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nsts Q8 (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: Tue, 02 Dec 2008 10:02:13 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/02/t1228237414mezxphnmwwovner.htm/, Retrieved Tue, 02 Dec 2008 17:03:36 +0000

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/2008/Dec/02/t1228237414mezxphnmwwovner.htm/},
    year = {2008},
}
@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 = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
test

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

78.4 114.6 113.3 117.0 99.6 99.4 101.9 115.2 108.5 113.8 121.0 92.2 90.2 101.5 126.6 93.9 89.8 93.4 101.5 110.4 105.9 108.4 113.9 86.1 69.4 101.2 100.5 98.0 106.6 90.1 96.9 125.9 112.0 100.0 123.9 79.8 83.4 113.6 112.9 104.0 109.9 99.0 106.3 128.9 111.1 102.9 130.0 87.0 87.5 117.6 103.4 110.8 112.6 102.5 112.4 135.6 105.1 127.7 137.0 91.0 90.5 122.4 123.3 124.3 120.0 118.1 119.0 142.7 123.6 129.6 151.6 110.4 99.2 130.5 136.2 129.7 128.0 121.6 135.8 143.8 147.5 136.2 156.6 123.3 100.4

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	-0.6069	-5.1497	1e-06
2	0.116186	0.9859	0.163748
3	0.07374	0.6257	0.266743
4	-0.06646	-0.5639	0.287278
5	-0.051965	-0.4409	0.33029
6	0.127943	1.0856	0.140632
7	-0.101574	-0.8619	0.195806
8	-0.050482	-0.4284	0.334835
9	0.166498	1.4128	0.081014
10	-0.147351	-1.2503	0.107616
11	0.264823	2.2471	0.01385
12	-0.303152	-2.5723	0.006082
13	0.114161	0.9687	0.167971
14	-0.00479	-0.0406	0.483847
15	-0.022389	-0.19	0.424931
16	-0.050663	-0.4299	0.33428
17	0.097237	0.8251	0.206025
18	-0.033848	-0.2872	0.387387
19	-0.076809	-0.6517	0.258319
20	0.120357	1.0213	0.155275
21	-0.001273	-0.0108	0.495707
22	-0.144865	-1.2292	0.111496
23	0.118904	1.0089	0.158193
24	-0.037373	-0.3171	0.376034
25	-0.079849	-0.6775	0.250117
26	0.162864	1.3819	0.085631
27	-0.060358	-0.5122	0.305057
28	-0.078239	-0.6639	0.254443
29	0.093679	0.7949	0.214645
30	-0.007318	-0.0621	0.47533
31	-0.051099	-0.4336	0.33294
32	0.076302	0.6474	0.259703
33	-0.136971	-1.1622	0.124489
34	0.120413	1.0217	0.155162
35	0.03484	0.2956	0.384182
36	-0.143124	-1.2144	0.114273

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.6069	-5.1497	1e-06
2	-0.399165	-3.387	0.000574
3	-0.131544	-1.1162	0.134027
4	-0.039187	-0.3325	0.370235
5	-0.148699	-1.2618	0.105555
6	-0.016315	-0.1384	0.44514
7	-0.014761	-0.1253	0.450337
8	-0.176808	-1.5003	0.068959
9	-0.008598	-0.073	0.471021
10	-0.028129	-0.2387	0.406015
11	0.40153	3.4071	0.000539
12	0.120854	1.0255	0.154284
13	-0.086221	-0.7316	0.23339
14	-0.144131	-1.223	0.11266
15	-0.111697	-0.9478	0.173205
16	-0.155212	-1.317	0.096005
17	-0.104189	-0.8841	0.1898
18	0.098727	0.8377	0.202479
19	-0.018892	-0.1603	0.436546
20	-0.213426	-1.811	0.037158
21	-0.009302	-0.0789	0.468653
22	-0.14744	-1.2511	0.10748
23	0.050035	0.4246	0.336212
24	0.055419	0.4702	0.319802
25	-0.047095	-0.3996	0.345311
26	0.093592	0.7942	0.214857
27	0.125537	1.0652	0.145168
28	-0.041773	-0.3545	0.362018
29	-0.108546	-0.921	0.180052
30	0.050906	0.432	0.333534
31	0.060641	0.5146	0.304218
32	-0.004369	-0.0371	0.485264
33	-0.069128	-0.5866	0.279665
34	-0.069472	-0.5895	0.278688
35	0.137651	1.168	0.123329
36	-0.07883	-0.6689	0.252851

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228237414mezxphnmwwovner/1ymlb1228237331.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228237414mezxphnmwwovner/1ymlb1228237331.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228237414mezxphnmwwovner/2o39g1228237331.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228237414mezxphnmwwovner/2o39g1228237331.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

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 (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='lags',ylab='ACF')

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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