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Shw8: Method 1 ACF (2)

*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 04:30:08 -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/t1259321459di00gt9zldyotf5.htm/, Retrieved Fri, 27 Nov 2009 12:31:02 +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/t1259321459di00gt9zldyotf5.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:

Method 1 ACF (2)

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

0.7461 0.7775 0.7790 0.7744 0.7905 0.7719 0.7811 0.7557 0.7637 0.7595 0.7471 0.7615 0.7487 0.7389 0.7337 0.7510 0.7382 0.7159 0.7542 0.7636 0.7433 0.7658 0.7627 0.7480 0.7692 0.7850 0.7913 0.7720 0.7880 0.8070 0.8268 0.8244 0.8487 0.8572 0.8214 0.8827 0.9216 0.8865 0.8816 0.8884 0.9466 0.9180 0.9337 0.9559 0.9626 0.9434 0.8639 0.7996 0.6680 0.6572 0.6928 0.6438 0.6454 0.6873 0.7265 0.7912 0.8114 0.8281 0.8393

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	0.923718	6.3327	0
2	0.811628	5.5642	1e-06
3	0.727581	4.988	4e-06
4	0.608303	4.1703	6.5e-05
5	0.443461	3.0402	0.001928
6	0.29316	2.0098	0.025106
7	0.164006	1.1244	0.133283
8	0.030378	0.2083	0.417963
9	-0.07369	-0.5052	0.307892
10	-0.143844	-0.9861	0.164556
11	-0.212328	-1.4556	0.076069
12	-0.278663	-1.9104	0.031096
13	-0.291241	-1.9966	0.025837
14	-0.277204	-1.9004	0.031761
15	-0.297193	-2.0374	0.023629
16	-0.318401	-2.1828	0.017038
17	-0.307313	-2.1068	0.020249
18	-0.298896	-2.0491	0.023027
19	-0.307184	-2.1059	0.020289
20	-0.292087	-2.0024	0.025512
21	-0.27054	-1.8547	0.034957
22	-0.266252	-1.8253	0.037154
23	-0.249688	-1.7118	0.046765
24	-0.218587	-1.4986	0.070338
25	-0.189887	-1.3018	0.099664
26	-0.17672	-1.2115	0.115875
27	-0.154715	-1.0607	0.14713
28	-0.119961	-0.8224	0.207499
29	-0.091099	-0.6245	0.267646
30	-0.061439	-0.4212	0.337764
31	-0.024283	-0.1665	0.434247
32	0.004175	0.0286	0.488644
33	0.022662	0.1554	0.438601
34	0.046227	0.3169	0.376354
35	0.056396	0.3866	0.350388
36	0.054389	0.3729	0.355459

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.923718	6.3327	0
2	-0.283669	-1.9447	0.028902
3	0.201757	1.3832	0.086573
4	-0.448314	-3.0735	0.001758
5	-0.179495	-1.2306	0.112306
6	-0.0259	-0.1776	0.429914
7	-0.059321	-0.4067	0.343043
8	-0.018483	-0.1267	0.449854
9	0.19662	1.348	0.092066
10	-0.079963	-0.5482	0.293075
11	-0.06442	-0.4416	0.330387
12	-0.137999	-0.9461	0.174475
13	0.2191	1.5021	0.069883
14	-0.105343	-0.7222	0.236877
15	-0.174066	-1.1933	0.119364
16	-0.06255	-0.4288	0.335007
17	-0.06068	-0.416	0.339651
18	-0.050191	-0.3441	0.366155
19	0.057522	0.3944	0.347552
20	0.084755	0.581	0.281992
21	-0.080195	-0.5498	0.292532
22	-0.030297	-0.2077	0.418177
23	-0.027446	-0.1882	0.42578
24	-0.128312	-0.8797	0.191758
25	0.154361	1.0582	0.147676
26	-0.161926	-1.1101	0.136299
27	-0.014028	-0.0962	0.461896
28	-0.012465	-0.0855	0.466131
29	0.045119	0.3093	0.379222
30	0.072033	0.4938	0.311861
31	-0.009062	-0.0621	0.475362
32	-0.057896	-0.3969	0.346613
33	-0.002404	-0.0165	0.49346
34	-0.172787	-1.1846	0.121071
35	-0.055884	-0.3831	0.35168
36	0.05634	0.3862	0.350528

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259321459di00gt9zldyotf5/1sot91259321407.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259321459di00gt9zldyotf5/1sot91259321407.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259321459di00gt9zldyotf5/2v22x1259321407.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259321459di00gt9zldyotf5/2v22x1259321407.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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