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ws8: acf extra

*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 08:33:53 -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/27/t1259336086rv604qs4ie5tgs6.htm/, Retrieved Fri, 27 Nov 2009 16:34:48 +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/t1259336086rv604qs4ie5tgs6.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 «

9.9 9.8 9.3 8.3 8 8.5 10.4 11.1 10.9 10 9.2 9.2 9.5 9.6 9.5 9.1 8.9 9 10.1 10.3 10.2 9.6 9.2 9.3 9.4 9.4 9.2 9 9 9 9.8 10 9.8 9.3 9 9 9.1 9.1 9.1 9.2 8.8 8.3 8.4 8.1 7.7 7.9 7.9 8 7.9 7.6 7.1 6.8 6.5 6.9 8.2 8.7 8.3 7.9 7.5 7.8 8.3

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	0 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.447065	3.4629	0.000496
2	-0.232195	-1.7986	0.038558
3	-0.602357	-4.6658	9e-06
4	-0.436713	-3.3828	0.000634
5	0.04054	0.314	0.377297
6	0.326571	2.5296	0.007032
7	0.220795	1.7103	0.046191
8	-0.055697	-0.4314	0.333853
9	-0.213856	-1.6565	0.051418
10	-0.150241	-1.1638	0.124565
11	0.086969	0.6737	0.251558
12	0.343131	2.6579	0.005032
13	0.081391	0.6305	0.265397
14	-0.143356	-1.1104	0.135621
15	-0.232417	-1.8003	0.038421
16	-0.118746	-0.9198	0.180679
17	0.094121	0.7291	0.234402
18	0.154266	1.1949	0.118407
19	0.037209	0.2882	0.387085
20	-0.147394	-1.1417	0.129056
21	-0.189459	-1.4675	0.073725
22	-0.074555	-0.5775	0.28288
23	0.132785	1.0286	0.15391
24	0.301763	2.3374	0.011385
25	0.101495	0.7862	0.217429
26	-0.125627	-0.9731	0.167204
27	-0.201489	-1.5607	0.061924
28	-0.117047	-0.9066	0.184111
29	0.061384	0.4755	0.318086
30	0.133495	1.034	0.152632
31	0.074759	0.5791	0.28235
32	-0.05577	-0.432	0.333649
33	-0.102174	-0.7914	0.215904
34	-0.071852	-0.5566	0.289949
35	0.030538	0.2365	0.406906
36	0.12964	1.0042	0.15966

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.447065	3.4629	0.000496
2	-0.539987	-4.1827	4.8e-05
3	-0.354761	-2.748	0.003954
4	-0.095797	-0.742	0.230479
5	0.038707	0.2998	0.382674
6	-0.101699	-0.7878	0.21697
7	-0.172424	-1.3356	0.093363
8	-0.080842	-0.6262	0.266779
9	-0.043902	-0.3401	0.367499
10	-0.080288	-0.6219	0.268179
11	0.047173	0.3654	0.358048
12	0.282298	2.1867	0.016339
13	-0.393373	-3.0471	0.001716
14	0.196968	1.5257	0.066169
15	0.069917	0.5416	0.295059
16	-0.072305	-0.5601	0.288756
17	-0.057555	-0.4458	0.328666
18	0.005853	0.0453	0.481993
19	-0.024893	-0.1928	0.423877
20	-0.264264	-2.047	0.022524
21	-0.061582	-0.477	0.317544
22	-0.000561	-0.0043	0.498275
23	-0.071457	-0.5535	0.290988
24	-0.057781	-0.4476	0.328037
25	0.034555	0.2677	0.394938
26	-0.089847	-0.6959	0.244574
27	0.052157	0.404	0.343823
28	-0.031807	-0.2464	0.403117
29	-0.004756	-0.0368	0.485368
30	-0.003532	-0.0274	0.489131
31	-0.012398	-0.096	0.461907
32	0.007791	0.0604	0.476038
33	-0.064667	-0.5009	0.309135
34	-0.042121	-0.3263	0.372678
35	-0.036383	-0.2818	0.389526
36	-0.10601	-0.8211	0.207407

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259336086rv604qs4ie5tgs6/1la2e1259336031.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259336086rv604qs4ie5tgs6/1la2e1259336031.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259336086rv604qs4ie5tgs6/2pgb21259336031.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259336086rv604qs4ie5tgs6/2pgb21259336031.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 = 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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