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PAPER 5

*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: Sat, 19 Dec 2009 18:17:09 -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/20/t1261271890scvu98w6m4uheo3.htm/, Retrieved Sun, 20 Dec 2009 02:18:12 +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/20/t1261271890scvu98w6m4uheo3.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 «

144,63 124,24 135,21 119,80 102,79 109,42 99,61 83,02 95,29 116,18 81,25 71,35 128,63 134,85 167,22 147,01 104,08 111,61 82,63 80,48 93,46 104,55 87,97 63,36 136,50 117,44 133,53 121,53 102,82 124,11 82,47 85,96 90,34 90,80 84,80 49,10 146,65 135,41 158,36 124,67 122,70 108,72 83,33 79,52 83,55 96,35 79,77 42,99 142,84 121,85 140,67 118,67 115,19 118,30 93,70 85,76 93,73 113,70 90,93 58,46 144,86 138,19 137,77 146,55 118,52 123,15 92,73 81,64 94,17 103,34 71,46 52,82 116,78 110,56 127,52 120,22 94,15 104,45 87,32 77,88 91,95 103,19 85,96

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	0.375562	3.4215	0.000484
2	0.152087	1.3856	0.084793
3	-0.030007	-0.2734	0.392622
4	-0.212152	-1.9328	0.028336
5	-0.282185	-2.5708	0.005965
6	-0.481417	-4.3859	1.7e-05
7	-0.296714	-2.7032	0.004164
8	-0.212804	-1.9387	0.027966
9	-0.078918	-0.719	0.237087
10	0.04756	0.4333	0.332964
11	0.260465	2.3729	0.009979
12	0.773744	7.0491	0
13	0.284511	2.592	0.005636
14	0.133395	1.2153	0.113851
15	-0.002179	-0.0199	0.492103
16	-0.179115	-1.6318	0.053254
17	-0.256295	-2.335	0.01098
18	-0.459641	-4.1875	3.5e-05
19	-0.281467	-2.5643	0.00607
20	-0.209089	-1.9049	0.030129
21	-0.112628	-1.0261	0.153916
22	0.037125	0.3382	0.368024
23	0.239758	2.1843	0.015881
24	0.643061	5.8586	0
25	0.272726	2.4847	0.007489
26	0.121143	1.1037	0.136464
27	0.016027	0.146	0.442134
28	-0.125565	-1.1439	0.127967
29	-0.193108	-1.7593	0.041106
30	-0.365606	-3.3308	0.000647
31	-0.214645	-1.9555	0.026944
32	-0.197969	-1.8036	0.037463
33	-0.120503	-1.0978	0.137725
34	0.01435	0.1307	0.44815
35	0.16654	1.5172	0.066502
36	0.48217	4.3928	1.6e-05

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.375562	3.4215	0.000484
2	0.012854	0.1171	0.453531
3	-0.106215	-0.9677	0.168012
4	-0.199076	-1.8137	0.036672
5	-0.154754	-1.4099	0.081156
6	-0.376135	-3.4268	0.000476
7	-0.04898	-0.4462	0.328295
8	-0.152624	-1.3905	0.084052
9	-0.098707	-0.8993	0.185556
10	-0.118007	-1.0751	0.142725
11	0.122132	1.1127	0.134531
12	0.678131	6.1781	0
13	-0.386993	-3.5257	0.000345
14	-0.089537	-0.8157	0.208498
15	0.06974	0.6354	0.263469
16	-0.024033	-0.219	0.413612
17	-0.117164	-1.0674	0.144439
18	-0.035637	-0.3247	0.373123
19	0.010766	0.0981	0.461051
20	-0.105237	-0.9588	0.170234
21	-0.064198	-0.5849	0.28011
22	0.169103	1.5406	0.063609
23	0.006993	0.0637	0.474677
24	-0.11939	-1.0877	0.13994
25	0.095068	0.8661	0.194464
26	-0.093001	-0.8473	0.199639
27	-0.094068	-0.857	0.196957
28	0.101752	0.927	0.178306
29	0.103861	0.9462	0.173392
30	-0.00522	-0.0476	0.481091
31	-0.043434	-0.3957	0.346669
32	-0.033163	-0.3021	0.381656
33	0.07231	0.6588	0.255932
34	-0.085163	-0.7759	0.220016
35	-0.100865	-0.9189	0.1804
36	-0.036128	-0.3291	0.371439

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261271890scvu98w6m4uheo3/1g6241261271827.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261271890scvu98w6m4uheo3/1g6241261271827.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261271890scvu98w6m4uheo3/2on391261271827.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261271890scvu98w6m4uheo3/2on391261271827.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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