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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: Sun, 06 Dec 2009 07:38:30 -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/06/t1260110355sy73ij1akajmavl.htm/, Retrieved Sun, 06 Dec 2009 15:39:17 +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/06/t1260110355sy73ij1akajmavl.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 «

10414.9 12476.8 12384.6 12266.7 12919.9 11497.3 12142 13919.4 12656.8 12034.1 13199.7 10881.3 11301.2 13643.9 12517 13981.1 14275.7 13435 13565.7 16216.3 12970 14079.9 14235 12213.4 12581 14130.4 14210.8 14378.5 13142.8 13714.7 13621.9 15379.8 13306.3 14391.2 14909.9 14025.4 12951.2 14344.3 16093.4 15413.6 14705.7 15972.8 16241.4 16626.4 17136.2 15622.9 18003.9 16136.1 14423.7 16789.4 16782.2 14133.8 12607 12004.5 12175.4 13268 12299.3 11800.6 13873.3 12269.6

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	-0.330662	-2.5399	0.006872
2	-0.268057	-2.059	0.021959
3	0.317082	2.4356	0.008955
4	-0.099045	-0.7608	0.224908
5	-0.109677	-0.8424	0.201472
6	0.27124	2.0834	0.020777
7	-0.248284	-1.9071	0.03069
8	0.031962	0.2455	0.403459
9	0.244141	1.8753	0.032853
10	-0.379244	-2.913	0.002524
11	-0.085137	-0.6539	0.257844
12	0.497771	3.8234	0.00016
13	-0.204128	-1.5679	0.061122
14	-0.170971	-1.3133	0.097091
15	0.122451	0.9406	0.175381
16	0.007982	0.0613	0.47566
17	-0.049639	-0.3813	0.35218
18	0.053008	0.4072	0.342681
19	-0.018313	-0.1407	0.444307
20	0.006591	0.0506	0.479897
21	-0.004653	-0.0357	0.485806
22	-0.085263	-0.6549	0.257534
23	-0.076098	-0.5845	0.280548
24	0.171783	1.3195	0.096052
25	0.145074	1.1143	0.134827
26	-0.29991	-2.3037	0.012392
27	0.101845	0.7823	0.218588
28	0.093935	0.7215	0.236717
29	-0.118385	-0.9093	0.183437
30	0.036958	0.2839	0.388749
31	0.158768	1.2195	0.113751
32	-0.161443	-1.2401	0.10993
33	0.030696	0.2358	0.407209
34	0.06817	0.5236	0.30125
35	-0.217979	-1.6743	0.04968
36	0.165476	1.271	0.10435

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.330662	-2.5399	0.006872
2	-0.423723	-3.2547	0.000941
3	0.06949	0.5338	0.297755
4	-0.056302	-0.4325	0.333491
5	-0.039574	-0.304	0.381108
6	0.194116	1.491	0.07064
7	-0.140581	-1.0798	0.142308
8	0.048923	0.3758	0.354211
9	0.127786	0.9815	0.165166
10	-0.246886	-1.8964	0.031406
11	-0.300343	-2.307	0.012292
12	0.210901	1.62	0.055287
13	0.183202	1.4072	0.082307
14	-0.00657	-0.0505	0.479962
15	-0.19783	-1.5196	0.066982
16	0.097393	0.7481	0.228688
17	0.00675	0.0518	0.479413
18	-0.152271	-1.1696	0.123429
19	0.146	1.1214	0.133321
20	0.031388	0.2411	0.405157
21	-0.260382	-2	0.025053
22	-0.003834	-0.0295	0.488301
23	0.074343	0.571	0.285071
24	-0.129451	-0.9943	0.162061
25	0.162558	1.2486	0.108365
26	0.033379	0.2564	0.399273
27	0.111605	0.8573	0.197386
28	-0.20112	-1.5448	0.063867
29	0.061209	0.4702	0.319988
30	0.106065	0.8147	0.209259
31	-0.040755	-0.313	0.377675
32	-0.026357	-0.2024	0.420131
33	0.07371	0.5662	0.28671
34	0.053003	0.4071	0.342696
35	-0.162133	-1.2454	0.10896
36	0.012732	0.0978	0.461212

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/06/t1260110355sy73ij1akajmavl/13upl1260110308.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/06/t1260110355sy73ij1akajmavl/13upl1260110308.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/06/t1260110355sy73ij1akajmavl/2w6381260110308.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/06/t1260110355sy73ij1akajmavl/2w6381260110308.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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