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rev 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: Mon, 07 Dec 2009 15:15:45 -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/t1260224181qxl9p3sndixj0c4.htm/, Retrieved Mon, 07 Dec 2009 23:16:23 +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/t1260224181qxl9p3sndixj0c4.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 «

9.0 9.1 8.7 8.2 7.9 7.9 9.1 9.4 9.4 9.1 9.0 9.3 9.9 9.8 9.3 8.3 8.0 8.5 10.4 11.1 10.9 10.0 9.2 9.2 9.5 9.6 9.5 9.1 8.9 9.0 10.1 10.3 10.2 9.6 9.2 9.3 9.4 9.4 9.2 9.0 9.0 9.0 9.8 10.0 9.8 9.3 9.0 9.0 9.1 9.1 9.1 9.2 8.8 8.3 8.4 8.1 7.7 7.9 7.9 8.0

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	0.219921	1.4916	0.071319
2	-0.131482	-0.8918	0.188583
3	-0.485833	-3.2951	0.00095
4	-0.400081	-2.7135	0.004669
5	-0.150919	-1.0236	0.155693
6	0.20829	1.4127	0.082238
7	0.218726	1.4835	0.072385
8	0.134473	0.912	0.183251
9	0.091135	0.6181	0.269777
10	-0.088994	-0.6036	0.274543
11	-0.038135	-0.2586	0.398531
12	-0.095808	-0.6498	0.259526
13	-0.116539	-0.7904	0.216673
14	0.089047	0.6039	0.274423
15	-0.020598	-0.1397	0.444753
16	0.080389	0.5452	0.294115
17	0.065187	0.4421	0.330237
18	0.053998	0.3662	0.357934
19	-0.115195	-0.7813	0.219317
20	-0.079163	-0.5369	0.29696
21	-0.086215	-0.5847	0.280791
22	0.011373	0.0771	0.469425
23	0.154298	1.0465	0.150399
24	0.089991	0.6103	0.272318
25	0.072659	0.4928	0.312251
26	-0.015403	-0.1045	0.458627
27	-0.171531	-1.1634	0.125337
28	-0.116537	-0.7904	0.216678
29	-0.082511	-0.5596	0.289228
30	0.064305	0.4361	0.332389
31	0.076747	0.5205	0.302597
32	0.193174	1.3102	0.098321
33	0.050233	0.3407	0.367441
34	0.059645	0.4045	0.343849
35	-0.156278	-1.0599	0.147355
36	-0.207153	-1.405	0.083373

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.219921	1.4916	0.071319
2	-0.188987	-1.2818	0.103172
3	-0.446676	-3.0295	0.002005
4	-0.306735	-2.0804	0.021544
5	-0.247735	-1.6802	0.049847
6	-0.096512	-0.6546	0.258
7	-0.241445	-1.6376	0.054168
8	-0.255137	-1.7304	0.04513
9	-0.034126	-0.2315	0.408994
10	-0.171218	-1.1613	0.125764
11	-0.019213	-0.1303	0.448445
12	-0.09926	-0.6732	0.252089
13	-0.195748	-1.3276	0.095426
14	0.148401	1.0065	0.15972
15	-0.213878	-1.4506	0.076839
16	-0.01061	-0.072	0.471472
17	0.040753	0.2764	0.391738
18	0.008078	0.0548	0.478272
19	-0.052256	-0.3544	0.362324
20	-0.133217	-0.9035	0.185478
21	-0.041089	-0.2787	0.390871
22	-0.090841	-0.6161	0.270429
23	-0.059724	-0.4051	0.343652
24	-0.045664	-0.3097	0.379092
25	-0.026152	-0.1774	0.429997
26	0.134736	0.9138	0.182788
27	-0.092309	-0.6261	0.267182
28	-0.006974	-0.0473	0.481241
29	-0.028398	-0.1926	0.424058
30	-0.022947	-0.1556	0.4385
31	-0.110654	-0.7505	0.22839
32	-0.036632	-0.2484	0.402446
33	0.044169	0.2996	0.382927
34	0.11	0.7461	0.229714
35	-0.060669	-0.4115	0.341316
36	-0.067303	-0.4565	0.325099

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260224181qxl9p3sndixj0c4/1mrfo1260224144.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260224181qxl9p3sndixj0c4/1mrfo1260224144.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260224181qxl9p3sndixj0c4/2k9cw1260224144.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260224181qxl9p3sndixj0c4/2k9cw1260224144.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 2 ; 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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