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WorkShop8 (SHW)

*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 14:24:15 -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/t12593571050anxmt8af7zbfjh.htm/, Retrieved Fri, 27 Nov 2009 22:25:07 +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/t12593571050anxmt8af7zbfjh.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 «

282965 276610 277838 277051 277026 274960 270073 267063 264916 287182 291109 292223 288109 281400 282579 280113 280331 276759 275139 274275 271234 289725 290649 292223 278429 269749 265784 268957 264099 255121 253276 245980 235295 258479 260916 254586 250566 243345 247028 248464 244962 237003 237008 225477 226762 247857 248256 246892 245021 246186 255688 264242 268270 272969 273886 267353 271916 292633 295804 293222

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	0.880317	6.8189	0
2	0.739708	5.7298	0
3	0.632905	4.9025	4e-06
4	0.581352	4.5031	1.6e-05
5	0.560501	4.3416	2.8e-05
6	0.507633	3.9321	0.00011
7	0.415039	3.2149	0.001051
8	0.307304	2.3804	0.010244
9	0.241496	1.8706	0.033139
10	0.201046	1.5573	0.06233
11	0.210726	1.6323	0.053929
12	0.196259	1.5202	0.066855
13	0.060597	0.4694	0.32025
14	-0.066969	-0.5187	0.302924
15	-0.161447	-1.2506	0.107974
16	-0.192354	-1.49	0.070736
17	-0.190626	-1.4766	0.072509
18	-0.216021	-1.6733	0.049739
19	-0.265469	-2.0563	0.022055
20	-0.332843	-2.5782	0.006202
21	-0.357947	-2.7726	0.003698
22	-0.356843	-2.7641	0.003785
23	-0.315414	-2.4432	0.008759
24	-0.30261	-2.344	0.011204
25	-0.364663	-2.8247	0.003208
26	-0.413815	-3.2054	0.001081
27	-0.424644	-3.2893	0.000842
28	-0.383556	-2.971	0.002132
29	-0.334496	-2.591	0.005999
30	-0.298198	-2.3098	0.012177
31	-0.28065	-2.1739	0.016834
32	-0.275432	-2.1335	0.018492
33	-0.231801	-1.7955	0.038804
34	-0.178464	-1.3824	0.08599
35	-0.117538	-0.9104	0.183116
36	-0.080531	-0.6238	0.267565

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.880317	6.8189	0
2	-0.156634	-1.2133	0.114889
3	0.080257	0.6217	0.268258
4	0.158769	1.2298	0.111782
5	0.082273	0.6373	0.263181
6	-0.135662	-1.0508	0.148775
7	-0.129815	-1.0055	0.159338
8	-0.089229	-0.6912	0.246063
9	0.077585	0.601	0.275063
10	-0.042903	-0.3323	0.370402
11	0.190233	1.4735	0.072916
12	-0.086686	-0.6715	0.252249
13	-0.503969	-3.9037	0.000121
14	0.078924	0.6113	0.271641
15	-0.031709	-0.2456	0.403407
16	-0.013527	-0.1048	0.45845
17	0.046112	0.3572	0.361104
18	-0.042318	-0.3278	0.372104
19	0.053416	0.4138	0.340262
20	-0.157758	-1.222	0.113246
21	0.039117	0.303	0.38147
22	0.023844	0.1847	0.427044
23	-0.085442	-0.6618	0.255306
24	-0.005491	-0.0425	0.483109
25	-0.092093	-0.7133	0.239199
26	0.007983	0.0618	0.47545
27	0.071056	0.5504	0.292045
28	-0.087627	-0.6788	0.249952
29	-0.004573	-0.0354	0.485931
30	0.069424	0.5378	0.296367
31	0.010168	0.0788	0.468742
32	0.00635	0.0492	0.480468
33	0.046069	0.3568	0.361228
34	-0.013623	-0.1055	0.458157
35	-0.130146	-1.0081	0.158725
36	0.046274	0.3584	0.360637

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593571050anxmt8af7zbfjh/15h111259357054.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593571050anxmt8af7zbfjh/15h111259357054.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593571050anxmt8af7zbfjh/2rv011259357054.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593571050anxmt8af7zbfjh/2rv011259357054.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; 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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