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SHw 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 11:52:43 -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/t1259175209fmha2kd1qp0de8s.htm/, Retrieved Wed, 25 Nov 2009 19:53:31 +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/Nov/25/t1259175209fmha2kd1qp0de8s.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 «

562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516

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	0 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.89392	6.9243	0
2	0.73179	5.6684	0
3	0.610798	4.7312	7e-06
4	0.554571	4.2957	3.2e-05
5	0.552561	4.2801	3.4e-05
6	0.535436	4.1475	5.4e-05
7	0.46632	3.6121	0.000311
8	0.387629	3.0026	0.00195
9	0.362084	2.8047	0.003389
10	0.386803	2.9962	0.001985
11	0.445926	3.4541	0.000509
12	0.455557	3.5287	0.000404
13	0.321152	2.4876	0.007828
14	0.158761	1.2298	0.111794
15	0.041171	0.3189	0.375451
16	-0.013558	-0.105	0.458357
17	-0.023209	-0.1798	0.428967
18	-0.051066	-0.3956	0.346919
19	-0.12202	-0.9452	0.174184
20	-0.19054	-1.4759	0.072598
21	-0.210347	-1.6293	0.05424
22	-0.189554	-1.4683	0.073625
23	-0.148854	-1.153	0.126739
24	-0.140767	-1.0904	0.139954
25	-0.229161	-1.7751	0.040479
26	-0.333023	-2.5796	0.00618
27	-0.391122	-3.0296	0.001805
28	-0.388616	-3.0102	0.001908
29	-0.357727	-2.7709	0.003715
30	-0.338851	-2.6247	0.005492
31	-0.354144	-2.7432	0.004006
32	-0.369624	-2.8631	0.002885
33	-0.352454	-2.7301	0.004149
34	-0.311301	-2.4113	0.009486
35	-0.255676	-1.9805	0.026121
36	-0.220464	-1.7077	0.04643

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.89392	6.9243	0
2	-0.335002	-2.5949	0.005938
3	0.207201	1.605	0.056875
4	0.141392	1.0952	0.1389
5	0.158423	1.2271	0.112281
6	-0.134661	-1.0431	0.150548
7	-0.119095	-0.9225	0.17998
8	0.077978	0.604	0.274054
9	0.211026	1.6346	0.053685
10	0.040986	0.3175	0.375991
11	0.155535	1.2048	0.116512
12	-0.204899	-1.5871	0.058869
13	-0.57561	-4.4587	1.8e-05
14	0.134604	1.0426	0.15065
15	-0.073207	-0.5671	0.286394
16	-0.054918	-0.4254	0.336035
17	-0.042218	-0.327	0.372397
18	-0.033647	-0.2606	0.397637
19	0.009707	0.0752	0.470158
20	0.007631	0.0591	0.476531
21	-0.043176	-0.3344	0.369606
22	-0.011526	-0.0893	0.46458
23	-0.086564	-0.6705	0.25255
24	0.126631	0.9809	0.165295
25	-0.074152	-0.5744	0.28393
26	-0.052793	-0.4089	0.342024
27	0.057589	0.4461	0.328571
28	0.048218	0.3735	0.355048
29	-0.095854	-0.7425	0.230345
30	0.139854	1.0833	0.141503
31	-0.035974	-0.2787	0.390735
32	-0.021058	-0.1631	0.435488
33	-0.073087	-0.5661	0.286709
34	0.000473	0.0037	0.498543
35	0.050279	0.3895	0.349157
36	-0.016709	-0.1294	0.448728

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259175209fmha2kd1qp0de8s/1s37e1259175161.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259175209fmha2kd1qp0de8s/1s37e1259175161.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259175209fmha2kd1qp0de8s/2egg01259175161.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259175209fmha2kd1qp0de8s/2egg01259175161.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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