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WS8

*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, 25 Nov 2009 09:14:29 -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/Nov/25/t125916571921pbyfmdd3aajw1.htm/, Retrieved Wed, 25 Nov 2009 17:15:22 +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/Nov/25/t125916571921pbyfmdd3aajw1.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 «

286602 283042 276687 277915 277128 277103 275037 270150 267140 264993 287259 291186 292300 288186 281477 282656 280190 280408 276836 275216 274352 271311 289802 290726 292300 278506 269826 265861 269034 264176 255198 253353 246057 235372 258556 260993 254663 250643 243422 247105 248541 245039 237080 237085 225554 226839 247934 248333 246969 245098 246263 255765 264319 268347 273046 273963 267430 271993 292710 295881 293299

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	0.928459	6.4992	0
2	0.848387	5.9387	0
3	0.757221	5.3005	1e-06
4	0.648372	4.5386	1.8e-05
5	0.533944	3.7376	0.000243
6	0.423736	2.9662	0.002325
7	0.306167	2.1432	0.018546
8	0.208042	1.4563	0.075845
9	0.11595	0.8117	0.210458
10	0.032726	0.2291	0.40988
11	-0.033952	-0.2377	0.406567
12	-0.100212	-0.7015	0.243159
13	-0.154197	-1.0794	0.142852
14	-0.196658	-1.3766	0.087446
15	-0.245845	-1.7209	0.045788
16	-0.300871	-2.1061	0.020171
17	-0.330956	-2.3167	0.012372
18	-0.373238	-2.6127	0.005948
19	-0.40357	-2.825	0.003411
20	-0.431085	-3.0176	0.002017
21	-0.448779	-3.1415	0.001425
22	-0.457342	-3.2014	0.001201
23	-0.449958	-3.1497	0.001392
24	-0.430328	-3.0123	0.002047
25	-0.382417	-2.6769	0.00504
26	-0.345978	-2.4218	0.009594
27	-0.303967	-2.1278	0.019206
28	-0.244755	-1.7133	0.04649
29	-0.195146	-1.366	0.089085
30	-0.150712	-1.055	0.148303
31	-0.104082	-0.7286	0.234866
32	-0.065805	-0.4606	0.323548
33	-0.03205	-0.2243	0.41171
34	0.008676	0.0607	0.47591
35	0.041225	0.2886	0.387061
36	0.069914	0.4894	0.313373

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.928459	6.4992	0
2	-0.098924	-0.6925	0.245956
3	-0.121117	-0.8478	0.20033
4	-0.17543	-1.228	0.112654
5	-0.095267	-0.6669	0.253992
6	-0.026564	-0.1859	0.426626
7	-0.119914	-0.8394	0.202662
8	0.065256	0.4568	0.324921
9	-0.04593	-0.3215	0.374596
10	-0.02312	-0.1618	0.436048
11	0.012553	0.0879	0.465169
12	-0.107544	-0.7528	0.227584
13	0.003686	0.0258	0.48976
14	-0.030654	-0.2146	0.415492
15	-0.1257	-0.8799	0.191604
16	-0.14245	-0.9971	0.161796
17	0.093174	0.6522	0.258655
18	-0.145314	-1.0172	0.157028
19	0.00337	0.0236	0.490638
20	-0.082561	-0.5779	0.282981
21	0.008911	0.0624	0.475259
22	-0.021098	-0.1477	0.441599
23	0.002472	0.0173	0.493133
24	0.057387	0.4017	0.344822
25	0.10657	0.746	0.229619
26	-0.146626	-1.0264	0.154875
27	-0.01521	-0.1065	0.457823
28	0.057255	0.4008	0.345161
29	-0.063155	-0.4421	0.330187
30	-0.030843	-0.2159	0.414981
31	-0.018292	-0.128	0.449318
32	-0.013452	-0.0942	0.462682
33	0.009606	0.0672	0.473331
34	0.034655	0.2426	0.40467
35	0.020738	0.1452	0.442587
36	-0.05955	-0.4168	0.339306

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t125916571921pbyfmdd3aajw1/1c4el1259165668.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t125916571921pbyfmdd3aajw1/1c4el1259165668.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t125916571921pbyfmdd3aajw1/2topi1259165668.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t125916571921pbyfmdd3aajw1/2topi1259165668.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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