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Workshop 8: Identifying Integration Processes

*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 06:42:59 -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/t1259329441ij1mg1yfxzbls36.htm/, Retrieved Fri, 27 Nov 2009 14:44:04 +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/t1259329441ij1mg1yfxzbls36.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:
ETSHWW8(5)
 
Dataseries X:
» Textbox « » Textfile « » CSV «
1.43 1.43 1.43 1.43 1.43 1.43 1.44 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.57 1.58 1.58 1.58 1.58 1.59 1.6 1.6 1.61 1.61 1.61 1.62 1.63 1.63 1.64 1.64 1.64 1.64 1.64 1.65 1.65 1.65 1.65
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.9112476.31330
20.8102225.61340
30.7173794.97014e-06
40.6221914.31074e-05
50.5334383.69580.000281
60.4249572.94420.002489
70.3093192.1430.018604
80.2112341.46350.074928
90.0947430.65640.25735
10-0.021449-0.14860.441244
11-0.136918-0.94860.173789
12-0.247614-1.71550.04635
13-0.281318-1.9490.028574
14-0.306842-2.12590.019343
15-0.341569-2.36650.011021
16-0.375998-2.6050.006098
17-0.409404-2.83640.003331
18-0.433308-3.0020.002124
19-0.412944-2.8610.003119
20-0.387466-2.68440.004971
21-0.351763-2.43710.009282
22-0.31606-2.18970.016718
23-0.28108-1.94740.028676
24-0.24853-1.72190.045766
25-0.210867-1.46090.075275
26-0.174865-1.21150.115817
27-0.135071-0.93580.17703
28-0.094255-0.6530.25843
29-0.053439-0.37020.356418
30-0.008532-0.05910.476554
310.0043760.03030.487969
320.0047150.03270.487037
330.0081220.05630.47768
340.0122530.08490.46635
350.0163840.11350.455048
360.0164250.11380.454937
370.0110550.07660.469634
380.0111380.07720.469405
390.0084520.05860.476773
400.0044450.03080.487779
410.0004390.0030.498794
42-0.000671-0.00460.498155
43-0.000758-0.00530.497916
44-0.000547-0.00380.498497
45-0.000634-0.00440.498257
46-0.000423-0.00290.498838
47-0.000211-0.00150.499419
48NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.9112476.31330
2-0.118777-0.82290.207313
3-0.00235-0.01630.493538
4-0.074903-0.51890.303092
5-0.01529-0.10590.458038
6-0.184041-1.27510.10421
7-0.099306-0.6880.247379
80.0110010.07620.469781
9-0.208545-1.44480.0775
10-0.088802-0.61520.270653
11-0.123531-0.85590.198166
12-0.084053-0.58230.281534
130.3337482.31230.012548
14-0.064705-0.44830.32798
15-0.068489-0.47450.318645
16-0.099923-0.69230.246046
17-0.048225-0.33410.369875
18-0.121189-0.83960.202642
190.1921671.33140.094678
200.0234610.16250.43578
21-0.064088-0.4440.329515
22-0.069785-0.48350.315475
23-0.052726-0.36530.358247
24-0.113953-0.78950.216855
250.2184031.51310.068401
26-0.00974-0.06750.473239
27-0.0906-0.62770.26659
28-0.067565-0.46810.320916
29-0.031003-0.21480.415418
30-0.026651-0.18460.427144
310.0197890.13710.44576
32-0.008473-0.05870.476715
33-0.061663-0.42720.335566
34-0.080603-0.55840.289571
35-0.038792-0.26880.394634
36-0.097144-0.6730.252077
370.1981281.37270.088118
380.0308470.21370.415839
39-0.051199-0.35470.362179
40-0.068237-0.47280.319264
41-0.02096-0.14520.442574
42-0.000665-0.00460.498172
430.0079920.05540.478036
440.0064610.04480.482242
45-0.0274-0.18980.425121
46-0.066692-0.46210.323065
47-0.025355-0.17570.430648
48NANANA
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Nov/27/t1259329441ij1mg1yfxzbls36/16szb1259329377.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t1259329441ij1mg1yfxzbls36/16szb1259329377.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/27/t1259329441ij1mg1yfxzbls36/2thv31259329377.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t1259329441ij1mg1yfxzbls36/2thv31259329377.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; 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')
 




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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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