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lambda = -0,7

*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: Mon, 07 Dec 2009 12:26:08 -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/07/t1260214017sdrmosqggsfi4lx.htm/, Retrieved Mon, 07 Dec 2009 20:26:59 +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/07/t1260214017sdrmosqggsfi4lx.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 «

114 116 153 162 161 149 139 135 130 127 122 117 112 113 149 157 157 147 137 132 125 123 117 114 111 112 144 150 149 134 123 116 117 111 105 102 95 93 124 130 124 115 106 105 105 101 95 93 84 87 116 120 117 109 105 107 109 109 108 107

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	-0.008526	-0.0585	0.476817
2	0.024509	0.168	0.433642
3	0.123585	0.8473	0.200574
4	0.14068	0.9645	0.169877
5	0.016652	0.1142	0.454798
6	0.198373	1.36	0.090163
7	0.07537	0.5167	0.303891
8	0.052323	0.3587	0.360709
9	0.050323	0.345	0.365817
10	-0.1749	-1.1991	0.118258
11	0.363164	2.4897	0.008189
12	-0.127746	-0.8758	0.192801
13	-0.088282	-0.6052	0.273968
14	0.018594	0.1275	0.449553
15	0.134274	0.9205	0.180996
16	-0.090846	-0.6228	0.26821
17	0.120901	0.8289	0.205688
18	-0.0855	-0.5862	0.280287
19	-0.072323	-0.4958	0.311165
20	0.024001	0.1645	0.435005
21	-0.164509	-1.1278	0.132562
22	-0.04145	-0.2842	0.388766
23	-0.133478	-0.9151	0.182411
24	-0.097383	-0.6676	0.253818
25	-0.091395	-0.6266	0.266985
26	0.033266	0.2281	0.410294
27	-0.097618	-0.6692	0.253309
28	-0.106478	-0.73	0.234515
29	-0.109761	-0.7525	0.227756
30	-0.078507	-0.5382	0.296484
31	-0.026955	-0.1848	0.427094
32	-0.046053	-0.3157	0.376805
33	0.01371	0.094	0.462759
34	-0.012804	-0.0878	0.465212
35	-0.003101	-0.0213	0.491564
36	-0.054791	-0.3756	0.354443

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.008526	-0.0585	0.476817
2	0.024438	0.1675	0.433833
3	0.12408	0.8506	0.199639
4	0.144842	0.993	0.1629
5	0.016858	0.1156	0.454242
6	0.184029	1.2616	0.106652
7	0.055366	0.3796	0.352987
8	0.032042	0.2197	0.41354
9	0.006598	0.0452	0.482057
10	-0.257977	-1.7686	0.041725
11	0.359599	2.4653	0.008699
12	-0.246527	-1.6901	0.048816
13	-0.057368	-0.3933	0.347941
14	-0.006303	-0.0432	0.482859
15	0.053741	0.3684	0.357104
16	0.080065	0.5489	0.292837
17	-0.00046	-0.0032	0.498748
18	-0.086806	-0.5951	0.277312
19	-0.0427	-0.2927	0.385505
20	-0.028268	-0.1938	0.423586
21	-0.07087	-0.4859	0.314661
22	-0.254511	-1.7448	0.043775
23	-0.080837	-0.5542	0.291038
24	-0.022987	-0.1576	0.437727
25	0.008422	0.0577	0.477101
26	0.010322	0.0708	0.471943
27	0.099794	0.6842	0.248619
28	-0.140575	-0.9637	0.170057
29	0.082679	0.5668	0.286768
30	-0.042836	-0.2937	0.385153
31	-0.079226	-0.5431	0.294798
32	0.018641	0.1278	0.449426
33	0.050033	0.343	0.36656
34	0.081686	0.56	0.289065
35	0.027062	0.1855	0.426808
36	-0.008514	-0.0584	0.47685

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260214017sdrmosqggsfi4lx/12l821260213967.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260214017sdrmosqggsfi4lx/12l821260213967.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260214017sdrmosqggsfi4lx/21ye21260213967.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260214017sdrmosqggsfi4lx/21ye21260213967.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = -0.7 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = -0.7 ; 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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