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workshop 9,6

*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 12:42:15 -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/t1259696651cr4dseiwdvrndta.htm/, Retrieved Tue, 01 Dec 2009 20:44:13 +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/t1259696651cr4dseiwdvrndta.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	0.135493	0.9387	0.176286
2	0.241363	1.6722	0.050495
3	0.336485	2.3312	0.011994
4	0.224692	1.5567	0.063054
5	0.062552	0.4334	0.333344
6	0.184283	1.2767	0.103917
7	0.019864	0.1376	0.445558
8	0.142617	0.9881	0.164033
9	0.014084	0.0976	0.461338
10	-0.084988	-0.5888	0.279374
11	0.288659	1.9999	0.025594
12	-0.155738	-1.079	0.142993
13	-0.072996	-0.5057	0.307679
14	0.094327	0.6535	0.258271
15	0.07519	0.5209	0.302405
16	-0.100569	-0.6968	0.244657
17	0.076049	0.5269	0.300351
18	-0.153771	-1.0654	0.146022
19	-0.023571	-0.1633	0.435482
20	-0.149395	-1.035	0.152918
21	-0.206858	-1.4332	0.079148
22	-0.083081	-0.5756	0.283786
23	-0.197099	-1.3655	0.089224
24	-0.200626	-1.39	0.085474
25	-0.091042	-0.6308	0.265595
26	-0.114055	-0.7902	0.21665
27	-0.240902	-1.669	0.050812
28	-0.108316	-0.7504	0.228329
29	-0.128206	-0.8882	0.189421
30	-0.087863	-0.6087	0.272786
31	-0.051844	-0.3592	0.360515
32	-0.062118	-0.4304	0.334429
33	-0.041512	-0.2876	0.387445
34	0.000787	0.0055	0.497835
35	-0.007871	-0.0545	0.478368
36	-0.0058	-0.0402	0.484057

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.135493	0.9387	0.176286
2	0.227175	1.5739	0.061038
3	0.301221	2.0869	0.021115
4	0.147017	1.0186	0.156758
5	-0.10038	-0.6955	0.245062
6	0.015617	0.1082	0.457144
7	-0.108582	-0.7523	0.227778
8	0.10638	0.737	0.232348
9	-0.031195	-0.2161	0.414904
10	-0.159027	-1.1018	0.138028
11	0.32688	2.2647	0.014043
12	-0.248196	-1.7196	0.045978
13	-0.063647	-0.441	0.33061
14	0.045447	0.3149	0.377115
15	0.130215	0.9022	0.185739
16	0.024059	0.1667	0.434158
17	-0.088836	-0.6155	0.270575
18	-0.176544	-1.2231	0.113626
19	-0.096153	-0.6662	0.254246
20	-0.078127	-0.5413	0.295408
21	-0.069373	-0.4806	0.316481
22	-0.084608	-0.5862	0.28025
23	0.007533	0.0522	0.479297
24	0.036912	0.2557	0.399624
25	-0.051548	-0.3571	0.361278
26	-0.034849	-0.2414	0.40512
27	-0.072938	-0.5053	0.30782
28	-0.079442	-0.5504	0.292301
29	0.105383	0.7301	0.234434
30	-0.050317	-0.3486	0.364455
31	0.097134	0.673	0.252098
32	0.010026	0.0695	0.472455
33	-0.040338	-0.2795	0.390542
34	0.042979	0.2978	0.383583
35	0.044203	0.3062	0.38037
36	0.030233	0.2095	0.417489

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/01/t1259696651cr4dseiwdvrndta/1vfgq1259696533.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/01/t1259696651cr4dseiwdvrndta/1vfgq1259696533.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/01/t1259696651cr4dseiwdvrndta/2z7gp1259696533.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/01/t1259696651cr4dseiwdvrndta/2z7gp1259696533.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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