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Workshop8 ACF d=1 D=1 L=1

*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: Fri, 27 Nov 2009 02:13:40 -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/27/t1259313262a0ihkkcxwqnmwzi.htm/, Retrieved Fri, 27 Nov 2009 10:14:24 +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/27/t1259313262a0ihkkcxwqnmwzi.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 «

562325 560854 555332 543599 536662 542722 593530 610763 612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799 574205 572775 572942 619567 625809 619916 587625 565742 557274 560576 548854 531673 525919 511038 498662 555362 564591 541657 527070 509846 514258 516922 507561 492622 490243 469357 477580 528379 533590 517945 506174 501866 516141 528222 532638 536322 536535 523597 536214 586570 596594 580523

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	0.141573	1.0594	0.146974
2	0.270536	2.0245	0.023849
3	0.327947	2.4541	0.008629
4	0.219337	1.6414	0.053163
5	0.105831	0.792	0.215862
6	0.167149	1.2508	0.108098
7	0.0364	0.2724	0.393161
8	0.155346	1.1625	0.124981
9	0.054668	0.4091	0.342015
10	-0.068285	-0.511	0.30568
11	0.31773	2.3777	0.010431
12	-0.048386	-0.3621	0.359324
13	-0.010184	-0.0762	0.469762
14	0.180199	1.3485	0.091465
15	0.057232	0.4283	0.335043
16	0.027321	0.2044	0.419372
17	0.072882	0.5454	0.293822
18	-0.078066	-0.5842	0.280719
19	0.050071	0.3747	0.35465
20	-0.036976	-0.2767	0.391515
21	-0.183138	-1.3705	0.088003
22	-0.026611	-0.1991	0.421436
23	-0.09908	-0.7414	0.230761
24	-0.198609	-1.4863	0.071411
25	-0.109813	-0.8218	0.207347
26	-0.189162	-1.4156	0.081221
27	-0.1981	-1.4824	0.071914
28	-0.184081	-1.3775	0.086914
29	-0.130371	-0.9756	0.166728
30	-0.121054	-0.9059	0.184439
31	-0.021028	-0.1574	0.437763
32	-0.160926	-1.2043	0.116777
33	0.004536	0.0339	0.486523
34	-0.046646	-0.3491	0.364174
35	-0.006497	-0.0486	0.480698
36	-0.059744	-0.4471	0.328269

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.141573	1.0594	0.146974
2	0.255616	1.9129	0.030443
3	0.287412	2.1508	0.017911
4	0.127603	0.9549	0.171868
5	-0.063285	-0.4736	0.318819
6	-0.003317	-0.0248	0.490142
7	-0.092741	-0.694	0.245273
8	0.100082	0.7489	0.228513
9	0.016308	0.122	0.451653
10	-0.148374	-1.1103	0.135801
11	0.32213	2.4106	0.009617
12	-0.10559	-0.7902	0.216383
13	-0.087756	-0.6567	0.25703
14	0.109821	0.8218	0.207332
15	0.000203	0.0015	0.499396
16	0.046123	0.3452	0.365635
17	-0.068387	-0.5118	0.305416
18	-0.133292	-0.9975	0.161415
19	0.001575	0.0118	0.495318
20	-0.047231	-0.3534	0.36254
21	-0.078523	-0.5876	0.279576
22	-0.132127	-0.9887	0.16352
23	0.026827	0.2008	0.420808
24	-0.020161	-0.1509	0.440308
25	-0.146735	-1.0981	0.138437
26	-0.088959	-0.6657	0.254165
27	-0.083669	-0.6261	0.266888
28	-0.092644	-0.6933	0.245498
29	0.148443	1.1108	0.135692
30	-0.025007	-0.1871	0.426115
31	0.113838	0.8519	0.198952
32	0.010911	0.0817	0.467607
33	0.029583	0.2214	0.412802
34	-0.021192	-0.1586	0.437283
35	0.092843	0.6948	0.245035
36	0.018544	0.1388	0.445065

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259313262a0ihkkcxwqnmwzi/1vnkx1259313219.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259313262a0ihkkcxwqnmwzi/1vnkx1259313219.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259313262a0ihkkcxwqnmwzi/20fvx1259313219.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259313262a0ihkkcxwqnmwzi/20fvx1259313219.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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