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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 14:32:39 -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/t1259357606099aec0pe6v15r3.htm/, Retrieved Fri, 27 Nov 2009 22:33:28 +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/t1259357606099aec0pe6v15r3.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	0.120322	0.9242	0.179571
2	-0.162827	-1.2507	0.107991
3	-0.137566	-1.0567	0.147486
4	-0.129208	-0.9925	0.162511
5	0.131647	1.0112	0.158024
6	0.240196	1.845	0.035031
7	0.128761	0.989	0.163343
8	-0.183677	-1.4109	0.08177
9	-0.171827	-1.3198	0.095995
10	-0.212559	-1.6327	0.05393
11	0.134164	1.0305	0.153482
12	0.651687	5.0057	3e-06
13	-0.021117	-0.1622	0.43585
14	-0.176951	-1.3592	0.08963
15	-0.169212	-1.2997	0.099372
16	-0.162687	-1.2496	0.108186
17	0.077384	0.5944	0.277259
18	0.137071	1.0529	0.148348
19	0.041921	0.322	0.374296
20	-0.235954	-1.8124	0.037507
21	-0.211179	-1.6221	0.055058
22	-0.189562	-1.4561	0.075339
23	0.09375	0.7201	0.237151
24	0.432419	3.3215	0.00077
25	-0.075555	-0.5804	0.281944
26	-0.16779	-1.2888	0.101246
27	-0.118511	-0.9103	0.183184
28	-0.098393	-0.7558	0.226397
29	0.054869	0.4215	0.337476
30	0.094237	0.7238	0.236011
31	0.031552	0.2424	0.404672
32	-0.193427	-1.4857	0.071336
33	-0.134406	-1.0324	0.153051
34	-0.081395	-0.6252	0.267124
35	0.090715	0.6968	0.244333
36	0.248547	1.9091	0.030557

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.120322	0.9242	0.179571
2	-0.179909	-1.3819	0.086105
3	-0.097316	-0.7475	0.228866
4	-0.134896	-1.0362	0.152179
5	0.132866	1.0206	0.155814
6	0.167078	1.2834	0.102193
7	0.111449	0.8561	0.197716
8	-0.155955	-1.1979	0.11787
9	-0.047821	-0.3673	0.357346
10	-0.223623	-1.7177	0.04555
11	0.130353	1.0013	0.160395
12	0.573355	4.404	2.3e-05
13	-0.205631	-1.5795	0.059786
14	-0.041699	-0.3203	0.374937
15	-0.056477	-0.4338	0.333005
16	-0.104582	-0.8033	0.21251
17	-0.050512	-0.388	0.349711
18	-0.163405	-1.2551	0.107188
19	-0.058987	-0.4531	0.326073
20	-0.065009	-0.4993	0.309697
21	-0.059381	-0.4561	0.324991
22	0.032456	0.2493	0.401996
23	-0.106834	-0.8206	0.207587
24	0.033158	0.2547	0.399923
25	-0.012966	-0.0996	0.460503
26	-0.058681	-0.4507	0.326915
27	0.091621	0.7038	0.242177
28	0.005895	0.0453	0.482018
29	-0.065519	-0.5033	0.308328
30	-0.031791	-0.2442	0.403965
31	-0.02589	-0.1989	0.421525
32	0.028782	0.2211	0.412897
33	0.015534	0.1193	0.452713
34	0.033976	0.261	0.39751
35	-0.040924	-0.3143	0.377186
36	-0.154918	-1.19	0.119416

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259357606099aec0pe6v15r3/13fe21259357558.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259357606099aec0pe6v15r3/13fe21259357558.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259357606099aec0pe6v15r3/2u7b91259357558.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259357606099aec0pe6v15r3/2u7b91259357558.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; 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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