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1e model

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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 12:17:18 -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/t1259349472tblu7vczl3rwnzp.htm/, Retrieved Fri, 27 Nov 2009 20:17:54 +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/t1259349472tblu7vczl3rwnzp.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 «

593530 610943 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	0.143105	1.0119	0.158228
2	0.259615	1.8358	0.036172
3	0.32812	2.3202	0.012227
4	0.198734	1.4053	0.083063
5	0.108201	0.7651	0.223905
6	0.164967	1.1665	0.124474
7	0.036957	0.2613	0.397457
8	0.151003	1.0678	0.14538
9	0.04736	0.3349	0.369556
10	-0.060647	-0.4288	0.33494
11	0.324759	2.2964	0.01294
12	-0.050971	-0.3604	0.360025
13	-0.017444	-0.1233	0.451164
14	0.18157	1.2839	0.102548
15	0.051761	0.366	0.357952
16	0.007482	0.0529	0.47901
17	0.067605	0.478	0.317352
18	-0.093383	-0.6603	0.25604
19	0.060621	0.4287	0.335007
20	-0.053773	-0.3802	0.352691
21	-0.193404	-1.3676	0.088781
22	-0.026617	-0.1882	0.425735
23	-0.117442	-0.8304	0.205119
24	-0.217812	-1.5402	0.064913
25	-0.096153	-0.6799	0.249851
26	-0.189619	-1.3408	0.093022
27	-0.225935	-1.5976	0.058217
28	-0.162234	-1.1472	0.128386
29	-0.129118	-0.913	0.182812
30	-0.105131	-0.7434	0.230363
31	-0.02787	-0.1971	0.422286
32	-0.156979	-1.11	0.136152
33	0.007951	0.0562	0.477695
34	-0.042908	-0.3034	0.381419
35	-0.017695	-0.1251	0.450465
36	-0.031774	-0.2247	0.411573

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.143105	1.0119	0.158228
2	0.244136	1.7263	0.045234
3	0.287797	2.035	0.023583
4	0.106306	0.7517	0.227879
5	-0.05339	-0.3775	0.35369
6	0.007462	0.0528	0.479065
7	-0.080526	-0.5694	0.285816
8	0.097674	0.6907	0.246486
9	-0.002333	-0.0165	0.493451
10	-0.135771	-0.96	0.170827
11	0.330226	2.3351	0.011798
12	-0.108181	-0.765	0.223947
13	-0.099663	-0.7047	0.242126
14	0.09924	0.7017	0.243049
15	0.014773	0.1045	0.458612
16	0.014293	0.1011	0.459952
17	-0.065149	-0.4607	0.323514
18	-0.136897	-0.968	0.16885
19	0.038567	0.2727	0.393099
20	-0.045188	-0.3195	0.37533
21	-0.114963	-0.8129	0.210062
22	-0.135633	-0.9591	0.171069
23	0.014541	0.1028	0.459258
24	-0.023042	-0.1629	0.435615
25	-0.123278	-0.8717	0.193767
26	-0.095925	-0.6783	0.250356
27	-0.096184	-0.6801	0.249781
28	-0.062228	-0.44	0.33091
29	0.152491	1.0783	0.143043
30	-0.029907	-0.2115	0.416689
31	0.096808	0.6845	0.248398
32	0.022202	0.157	0.437941
33	0.03113	0.2201	0.413337
34	-0.02496	-0.1765	0.430308
35	0.110923	0.7843	0.218269
36	0.022015	0.1557	0.438459

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259349472tblu7vczl3rwnzp/1ejha1259349437.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259349472tblu7vczl3rwnzp/1ejha1259349437.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259349472tblu7vczl3rwnzp/21zxp1259349437.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259349472tblu7vczl3rwnzp/21zxp1259349437.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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