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workshop 9,5

*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, 01 Dec 2009 12:39:16 -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/Dec/01/t1259696416v9t3nvt0cvs78jf.htm/, Retrieved Tue, 01 Dec 2009 20:40:19 +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/Dec/01/t1259696416v9t3nvt0cvs78jf.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:

Dataseries X:

» Textbox « » Textfile « » CSV «

611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528 533 536 537 524 536 587 597 581 564

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.249935	1.936	0.028792
2	-0.25827	-2.0006	0.024986
3	-0.308599	-2.3904	0.009993
4	-0.181872	-1.4088	0.082031
5	0.092939	0.7199	0.237189
6	0.220593	1.7087	0.046337
7	0.083925	0.6501	0.259061
8	-0.223348	-1.73	0.044382
9	-0.283051	-2.1925	0.016116
10	-0.229222	-1.7755	0.040439
11	0.241155	1.868	0.033325
12	0.731052	5.6627	0
13	0.134591	1.0425	0.150673
14	-0.252049	-1.9524	0.027783
15	-0.2827	-2.1898	0.016219
16	-0.173684	-1.3453	0.091788
17	0.053485	0.4143	0.340068
18	0.147614	1.1434	0.128705
19	0.04996	0.387	0.350068
20	-0.223497	-1.7312	0.044278
21	-0.250871	-1.9432	0.028341
22	-0.17043	-1.3201	0.0959
23	0.202691	1.57	0.060832
24	0.515824	3.9956	8.9e-05
25	0.06703	0.5192	0.302762
26	-0.228837	-1.7726	0.040688
27	-0.19629	-1.5205	0.066825
28	-0.096004	-0.7436	0.229996
29	0.04426	0.3428	0.366459
30	0.101043	0.7827	0.218449
31	0.039653	0.3072	0.379896
32	-0.181123	-1.403	0.082889
33	-0.166579	-1.2903	0.100946
34	-0.057038	-0.4418	0.330106
35	0.156998	1.2161	0.114354
36	0.316077	2.4483	0.008647

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.249935	1.936	0.028792
2	-0.342109	-2.65	0.005138
3	-0.164846	-1.2769	0.103281
4	-0.159732	-1.2373	0.110402
5	0.057485	0.4453	0.32886
6	0.059355	0.4598	0.323674
7	-0.016554	-0.1282	0.449198
8	-0.209428	-1.6222	0.055
9	-0.132579	-1.027	0.154283
10	-0.268559	-2.0802	0.020891
11	0.231862	1.796	0.038765
12	0.586995	4.5468	1.3e-05
13	-0.210672	-1.6319	0.053974
14	0.067596	0.5236	0.301243
15	-0.012147	-0.0941	0.462674
16	-0.11956	-0.9261	0.17905
17	-0.07609	-0.5894	0.278906
18	-0.171644	-1.3295	0.094351
19	-0.013946	-0.108	0.457167
20	-0.061655	-0.4776	0.317344
21	-0.054202	-0.4198	0.338049
22	0.024139	0.187	0.426155
23	-0.111058	-0.8603	0.196536
24	-0.047624	-0.3689	0.356752
25	-0.027836	-0.2156	0.415008
26	-0.10763	-0.8337	0.203879
27	0.104098	0.8063	0.211616
28	-0.008611	-0.0667	0.473522
29	-0.02939	-0.2277	0.410343
30	-0.005448	-0.0422	0.483241
31	-0.034029	-0.2636	0.396501
32	0.000282	0.0022	0.499132
33	0.013015	0.1008	0.460016
34	0.045552	0.3528	0.36272
35	-0.081478	-0.6311	0.265178
36	-0.125799	-0.9744	0.166877

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/01/t1259696416v9t3nvt0cvs78jf/1rxsb1259696355.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/01/t1259696416v9t3nvt0cvs78jf/1rxsb1259696355.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/01/t1259696416v9t3nvt0cvs78jf/2pe9b1259696355.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/01/t1259696416v9t3nvt0cvs78jf/2pe9b1259696355.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; 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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