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methode1

*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, 14 Dec 2009 01:48:39 -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/14/t1260780569oa0evzgfbkzb74s.htm/, Retrieved Mon, 14 Dec 2009 09:49:31 +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/14/t1260780569oa0evzgfbkzb74s.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 «

2.7 2.5 2.2 2.9 3.1 3 2.8 2.5 1.9 1.9 1.8 2 2.6 2.5 2.5 1.6 1.4 0.8 1.1 1.3 1.2 1.3 1.1 1.3 1.2 1.6 1.7 1.5 0.9 1.5 1.4 1.6 1.7 1.4 1.8 1.7 1.4 1.2 1 1.7 2.4 2 2.1 2 1.8 2.7 2.3 1.9 2 2.3 2.8 2.4 2.3 2.7 2.7 2.9 3 2.2 2.3 2.8 2.8

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	0.792904	6.1928	0
2	0.614894	4.8025	5e-06
3	0.527655	4.1211	5.8e-05
4	0.4728	3.6927	0.000238
5	0.471484	3.6824	0.000246
6	0.416458	3.2526	0.000933
7	0.341577	2.6678	0.004883
8	0.31401	2.4525	0.008531
9	0.300094	2.3438	0.011181
10	0.246276	1.9235	0.029545
11	0.137341	1.0727	0.143823
12	-0.017914	-0.1399	0.444596
13	-0.012407	-0.0969	0.46156
14	-0.045005	-0.3515	0.363211
15	-0.123205	-0.9623	0.169858
16	-0.19523	-1.5248	0.066239
17	-0.273089	-2.1329	0.018483
18	-0.25246	-1.9718	0.026587
19	-0.204173	-1.5946	0.057981
20	-0.197522	-1.5427	0.064038
21	-0.270265	-2.1108	0.019447
22	-0.342879	-2.678	0.004752
23	-0.381923	-2.9829	0.00205
24	-0.380737	-2.9737	0.002105
25	-0.368735	-2.8799	0.00274
26	-0.336075	-2.6248	0.005471
27	-0.322965	-2.5224	0.00714
28	-0.319697	-2.4969	0.007622
29	-0.298159	-2.3287	0.011603
30	-0.319642	-2.4965	0.00763
31	-0.334126	-2.6096	0.005694
32	-0.366881	-2.8654	0.002853
33	-0.334071	-2.6092	0.0057
34	-0.299159	-2.3365	0.011383
35	-0.271743	-2.1224	0.018937
36	-0.223478	-1.7454	0.042974

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.792904	6.1928	0
2	-0.037172	-0.2903	0.386276
3	0.138767	1.0838	0.141358
4	0.052647	0.4112	0.341188
5	0.162761	1.2712	0.104241
6	-0.093519	-0.7304	0.233968
7	-0.022066	-0.1723	0.431869
8	0.065577	0.5122	0.305189
9	0.028806	0.225	0.411373
10	-0.113413	-0.8858	0.189607
11	-0.174661	-1.3641	0.088767
12	-0.238561	-1.8632	0.033624
13	0.253647	1.981	0.02605
14	-0.244726	-1.9114	0.030329
15	-0.094626	-0.7391	0.231354
16	-0.109437	-0.8547	0.198023
17	0.007556	0.059	0.476568
18	0.088364	0.6901	0.24636
19	0.041805	0.3265	0.372578
20	0.047097	0.3678	0.357133
21	-0.143651	-1.122	0.13314
22	-0.074359	-0.5808	0.28177
23	-0.094624	-0.739	0.231359
24	-0.073831	-0.5766	0.283152
25	0.157457	1.2298	0.111751
26	0.002598	0.0203	0.491939
27	-0.096809	-0.7561	0.226249
28	-0.09831	-0.7678	0.222777
29	-0.056373	-0.4403	0.330642
30	-0.01728	-0.135	0.446545
31	-0.030919	-0.2415	0.404993
32	-0.146483	-1.1441	0.128533
33	0.040525	0.3165	0.376347
34	-0.092253	-0.7205	0.236979
35	0.037693	0.2944	0.384729
36	0.038785	0.3029	0.381492

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/14/t1260780569oa0evzgfbkzb74s/1a9fg1260780517.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/14/t1260780569oa0evzgfbkzb74s/1a9fg1260780517.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/14/t1260780569oa0evzgfbkzb74s/2abgp1260780517.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/14/t1260780569oa0evzgfbkzb74s/2abgp1260780517.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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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