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WS 9 D=1, d=1

*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: Wed, 09 Dec 2009 09:35:12 -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/09/t12603766042wvo1g4tx0av670.htm/, Retrieved Wed, 09 Dec 2009 17:36:46 +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/09/t12603766042wvo1g4tx0av670.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:

, Review 2WS

Dataseries X:

» Textbox « » Textfile « » CSV «

9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.5 8.2 8.1 7.9 8.6 8.7 8.7 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8 8.2 8.1 8.1 8 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.4 6.1 6.5 7.7 7.9 7.5 6.9 6.6 6.9 7.7 8 8 7.7 7.3 7.4 8.1 8.3

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	0.537962	3.7271	0.000255
2	-0.085563	-0.5928	0.27805
3	-0.485708	-3.3651	0.000756
4	-0.50955	-3.5303	0.000464
5	-0.153206	-1.0614	0.146901
6	0.222651	1.5426	0.064751
7	0.407002	2.8198	0.003482
8	0.281623	1.9511	0.028445
9	-0.032083	-0.2223	0.41252
10	-0.18651	-1.2922	0.10124
11	-0.244434	-1.6935	0.048422
12	-0.24585	-1.7033	0.04749
13	-0.070417	-0.4879	0.313934
14	0.111903	0.7753	0.220986
15	0.139094	0.9637	0.170021
16	0.041085	0.2846	0.388569
17	-0.044297	-0.3069	0.380124
18	-0.083414	-0.5779	0.283013
19	-0.094984	-0.6581	0.256818
20	0.018115	0.1255	0.450325
21	0.111701	0.7739	0.221396
22	0.003098	0.0215	0.491484
23	-0.127491	-0.8833	0.190744
24	-0.154777	-1.0723	0.144468
25	-0.05916	-0.4099	0.341863
26	0.053939	0.3737	0.355136
27	0.072477	0.5021	0.308934
28	0.013494	0.0935	0.462952
29	-0.091666	-0.6351	0.264196
30	-0.151973	-1.0529	0.148829
31	-0.013093	-0.0907	0.46405
32	0.094355	0.6537	0.258209
33	0.104417	0.7234	0.236466
34	0.055323	0.3833	0.3516
35	-0.008163	-0.0566	0.477566
36	-0.019204	-0.133	0.447356

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.537962	3.7271	0.000255
2	-0.527677	-3.6559	0.000317
3	-0.256504	-1.7771	0.040943
4	-0.136209	-0.9437	0.175029
5	0.134531	0.9321	0.177985
6	0.01262	0.0874	0.465345
7	0.100896	0.699	0.243954
8	-0.029849	-0.2068	0.418522
9	-0.037833	-0.2621	0.397177
10	0.164118	1.137	0.130583
11	-0.148237	-1.027	0.15478
12	-0.236182	-1.6363	0.054157
13	0.0683	0.4732	0.319108
14	0.010283	0.0712	0.471751
15	-0.188462	-1.3057	0.098939
16	-0.10169	-0.7045	0.242255
17	0.088833	0.6155	0.270581
18	-0.021907	-0.1518	0.439999
19	-0.035876	-0.2486	0.402381
20	0.1536	1.0642	0.146288
21	-0.045239	-0.3134	0.377657
22	-0.220207	-1.5256	0.066831
23	0.004526	0.0314	0.487557
24	-0.064911	-0.4497	0.327469
25	-0.093859	-0.6503	0.259309
26	-0.030372	-0.2104	0.417113
27	-0.149661	-1.0369	0.152493
28	-0.204262	-1.4152	0.081738
29	0.046108	0.3194	0.375388
30	-0.019449	-0.1347	0.446687
31	-0.015971	-0.1107	0.456176
32	-0.052032	-0.3605	0.360032
33	0.070041	0.4853	0.31485
34	-0.094484	-0.6546	0.257925
35	-0.012003	-0.0832	0.467036
36	0.076036	0.5268	0.300383

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/09/t12603766042wvo1g4tx0av670/1vlh91260376511.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/09/t12603766042wvo1g4tx0av670/1vlh91260376511.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/09/t12603766042wvo1g4tx0av670/2hs171260376511.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/09/t12603766042wvo1g4tx0av670/2hs171260376511.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; 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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