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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 14:36:53 -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/t1259185111xuvnz3ooclmfo6s.htm/, Retrieved Wed, 25 Nov 2009 22:38:33 +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/t1259185111xuvnz3ooclmfo6s.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 «

216234 213587 209465 204045 200237 203666 241476 260307 243324 244460 233575 237217 235243 230354 227184 221678 217142 219452 256446 265845 248624 241114 229245 231805 219277 219313 212610 214771 211142 211457 240048 240636 230580 208795 197922 194596 194581 185686 178106 172608 167302 168053 202300 202388 182516 173476 166444 171297 169701 164182 161914 159612 151001 158114 186530 187069 174330 169362 166827 178037 186412 189226 191563 188906 186005 195309 223532 226899 214126

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	0.927921	7.0057	0
2	0.861546	6.5045	0
3	0.778003	5.8738	0
4	0.694634	5.2444	1e-06
5	0.598426	4.518	1.6e-05
6	0.503146	3.7987	0.000178
7	0.406719	3.0707	0.001635
8	0.315933	2.3852	0.010208
9	0.242351	1.8297	0.036262
10	0.172478	1.3022	0.099046
11	0.111444	0.8414	0.201825
12	0.038287	0.2891	0.386791
13	-0.009484	-0.0716	0.471586
14	-0.060387	-0.4559	0.325093
15	-0.115515	-0.8721	0.193401
16	-0.191593	-1.4465	0.076758
17	-0.255833	-1.9315	0.029199
18	-0.321062	-2.424	0.009274
19	-0.378382	-2.8567	0.002982
20	-0.421374	-3.1813	0.001187
21	-0.468712	-3.5387	0.000404
22	-0.501506	-3.7863	0.000185
23	-0.522388	-3.9439	0.000111
24	-0.525728	-3.9692	0.000102
25	-0.520021	-3.9261	0.000118
26	-0.517729	-3.9088	0.000124
27	-0.50614	-3.8213	0.000165
28	-0.468603	-3.5379	0.000405
29	-0.425122	-3.2096	0.001092
30	-0.376381	-2.8416	0.003108
31	-0.337357	-2.547	0.006795
32	-0.295753	-2.2329	0.01475
33	-0.253491	-1.9138	0.030335
34	-0.205629	-1.5525	0.063043
35	-0.163229	-1.2324	0.111439
36	-0.124761	-0.9419	0.175102

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.927921	7.0057	0
2	0.003656	0.0276	0.489039
3	-0.157701	-1.1906	0.119369
4	-0.055564	-0.4195	0.338213
5	-0.13098	-0.9889	0.163452
6	-0.06136	-0.4633	0.322473
7	-0.054642	-0.4125	0.340746
8	-0.026922	-0.2033	0.41983
9	0.071782	0.5419	0.294984
10	-0.026871	-0.2029	0.419978
11	-0.016879	-0.1274	0.449521
12	-0.158492	-1.1966	0.118211
13	0.081287	0.6137	0.270925
14	-0.053848	-0.4065	0.342933
15	-0.137603	-1.0389	0.151623
16	-0.219413	-1.6565	0.051555
17	-0.01792	-0.1353	0.446428
18	-0.047435	-0.3581	0.360785
19	-0.037612	-0.284	0.388733
20	0.035492	0.268	0.394849
21	-0.097368	-0.7351	0.232642
22	-0.00679	-0.0513	0.479649
23	0.004057	0.0306	0.487836
24	-0.033976	-0.2565	0.39924
25	0.017004	0.1284	0.449152
26	-0.124189	-0.9376	0.176201
27	-0.005719	-0.0432	0.482857
28	0.108454	0.8188	0.208153
29	0.037461	0.2828	0.389168
30	0.025634	0.1935	0.423614
31	-0.098716	-0.7453	0.22958
32	-0.002323	-0.0175	0.493035
33	-0.021895	-0.1653	0.434644
34	-0.002457	-0.0185	0.492634
35	-0.043078	-0.3252	0.373098
36	-0.00455	-0.0344	0.486359

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259185111xuvnz3ooclmfo6s/1n2431259185011.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259185111xuvnz3ooclmfo6s/1n2431259185011.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259185111xuvnz3ooclmfo6s/2nlnu1259185011.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259185111xuvnz3ooclmfo6s/2nlnu1259185011.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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