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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: Fri, 27 Nov 2009 05:12:22 -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/t1259323995lo9tfsf7zax98gi.htm/, Retrieved Fri, 27 Nov 2009 13:13:18 +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/t1259323995lo9tfsf7zax98gi.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:

Workshop 8 - Model ACF 1

Dataseries X:

» Textbox « » Textfile « » CSV «

1178 2141 2238 2685 4341 5376 4478 6404 4617 3024 1897 2075 1351 2211 2453 3042 4765 4992 4601 6266 4812 3159 1916 2237 1595 2453 2226 3597 4706 4974 5756 5493 5004 3225 2006 2291 1588 2105 2191 3591 4668 4885 5822 5599 5340 3082 2010 2301 1514 1979 2480 3499 4676 5585 5610 5796 6199 3030 1930 2552

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	0.735806	5.6995	0
2	0.382008	2.959	0.002206
3	-0.0234	-0.1813	0.428388
4	-0.428421	-3.3185	0.000771
5	-0.714546	-5.5348	0
6	-0.775354	-6.0059	0
7	-0.662668	-5.133	2e-06
8	-0.3424	-2.6522	0.005108
9	0.042642	0.3303	0.371161
10	0.363318	2.8142	0.003301
11	0.620079	4.8031	5e-06
12	0.761022	5.8949	0
13	0.574647	4.4512	1.9e-05
14	0.298881	2.3151	0.012022
15	-0.039346	-0.3048	0.380796
16	-0.335411	-2.5981	0.005889
17	-0.553885	-4.2904	3.3e-05
18	-0.605433	-4.6897	8e-06
19	-0.510487	-3.9542	0.000103
20	-0.260596	-2.0186	0.024004
21	0.03181	0.2464	0.403108
22	0.278378	2.1563	0.017539
23	0.479784	3.7164	0.000223
24	0.555925	4.3062	3.1e-05
25	0.438135	3.3938	0.000613
26	0.217537	1.685	0.048589
27	-0.040754	-0.3157	0.37667
28	-0.245143	-1.8989	0.031197
29	-0.414433	-3.2102	0.001066
30	-0.445617	-3.4517	0.000513
31	-0.351592	-2.7234	0.004225
32	-0.188122	-1.4572	0.07514
33	0.027993	0.2168	0.414538
34	0.197977	1.5335	0.065201
35	0.330077	2.5568	0.006556
36	0.382426	2.9623	0.002186
37	0.3029	2.3463	0.011142
38	0.117694	0.9117	0.1828
39	-0.041184	-0.319	0.375414
40	-0.168429	-1.3046	0.098497
41	-0.272311	-2.1093	0.019549
42	-0.280265	-2.1709	0.016952
43	-0.211813	-1.6407	0.053047
44	-0.109299	-0.8466	0.200284
45	0.032554	0.2522	0.400888
46	0.125262	0.9703	0.167903
47	0.177266	1.3731	0.087417
48	0.202602	1.5694	0.060913
49	0.150197	1.1634	0.124632
50	0.033951	0.263	0.396731
51	-0.039295	-0.3044	0.380947
52	-0.095155	-0.7371	0.231977
53	-0.122242	-0.9469	0.173748
54	-0.100241	-0.7765	0.220263
55	-0.054629	-0.4232	0.336849
56	-0.017634	-0.1366	0.445905
57	0.034701	0.2688	0.394506
58	0.037559	0.2909	0.386053
59	0.016975	0.1315	0.447915
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.735806	5.6995	0
2	-0.347593	-2.6924	0.00459
3	-0.363174	-2.8131	0.003311
4	-0.416363	-3.2251	0.00102
5	-0.34813	-2.6966	0.004539
6	-0.161931	-1.2543	0.107296
7	-0.233533	-1.8089	0.037736
8	0.01997	0.1547	0.438792
9	-0.043567	-0.3375	0.36847
10	-0.150901	-1.1689	0.123538
11	0.077637	0.6014	0.274928
12	0.282107	2.1852	0.016395
13	-0.265498	-2.0565	0.022044
14	0.045529	0.3527	0.362786
15	0.001112	0.0086	0.496579
16	0.185282	1.4352	0.078213
17	-0.007196	-0.0557	0.477868
18	0.011342	0.0879	0.465141
19	0.05338	0.4135	0.340363
20	-0.01137	-0.0881	0.465058
21	0.000768	0.0059	0.497636
22	0.005765	0.0447	0.482265
23	0.084357	0.6534	0.25799
24	-0.060789	-0.4709	0.319721
25	0.009104	0.0705	0.472006
26	-0.077026	-0.5966	0.276496
27	0.040715	0.3154	0.376785
28	0.060622	0.4696	0.320181
29	-0.06368	-0.4933	0.311813
30	0.062816	0.4866	0.314168
31	0.077827	0.6028	0.274441
32	-0.128495	-0.9953	0.161789
33	0.074583	0.5777	0.282807
34	-0.06446	-0.4993	0.309694
35	0.026578	0.2059	0.418793
36	0.027017	0.2093	0.417473
37	-0.096708	-0.7491	0.228362
38	-0.081574	-0.6319	0.264936
39	0.038425	0.2976	0.383504
40	-0.000843	-0.0065	0.497405
41	0.040916	0.3169	0.376197
42	-0.026487	-0.2052	0.419068
43	-0.019045	-0.1475	0.441609
44	-0.009317	-0.0722	0.471352
45	-0.014128	-0.1094	0.456611
46	0.009785	0.0758	0.469918
47	-0.104866	-0.8123	0.209918
48	-0.03144	-0.2435	0.404213
49	-0.067123	-0.5199	0.302511
50	0.001288	0.01	0.496038
51	-0.066538	-0.5154	0.304083
52	-0.005503	-0.0426	0.483072
53	0.018931	0.1466	0.441955
54	0.018456	0.143	0.443399
55	0.044675	0.3461	0.365256
56	-0.080228	-0.6214	0.26833
57	0.020141	0.156	0.438273
58	-0.044779	-0.3469	0.364956
59	-0.095104	-0.7367	0.232097
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259323995lo9tfsf7zax98gi/1q4v51259323941.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259323995lo9tfsf7zax98gi/1q4v51259323941.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259323995lo9tfsf7zax98gi/2475q1259323941.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259323995lo9tfsf7zax98gi/2475q1259323941.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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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