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BBWS8-ACF1

*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: Sat, 28 Nov 2009 08:24:25 -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/28/t1259421965t11nhy6o1ayh34e.htm/, Retrieved Sat, 28 Nov 2009 16:26:07 +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/28/t1259421965t11nhy6o1ayh34e.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:

d=D=0 Lambda=1

Dataseries X:

» Textbox « » Textfile « » CSV «

3922 3759 4138 4634 3996 4308 4143 4429 5219 4929 5755 5592 4163 4962 5208 4755 4491 5732 5731 5040 6102 4904 5369 5578 4619 4731 5011 5299 4146 4625 4736 4219 5116 4205 4121 5103 4300 4578 3809 5526 4247 3830 4394 4826 4409 4569 4106 4794 3914 3793 4405 4022 4100 4788 3163 3585 3903 4178 3863 4187

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.375461	2.9083	0.002544
2	0.352616	2.7314	0.004135
3	0.485699	3.7622	0.000192
4	0.341462	2.645	0.005207
5	0.265775	2.0587	0.021937
6	0.226505	1.7545	0.042225
7	0.246652	1.9106	0.030422
8	0.185469	1.4366	0.078007
9	0.168819	1.3077	0.097988
10	0.170614	1.3216	0.095665
11	-0.043803	-0.3393	0.367785
12	0.178288	1.381	0.086198
13	0.046358	0.3591	0.360394
14	-0.030105	-0.2332	0.408202
15	-0.038308	-0.2967	0.383848
16	-0.070011	-0.5423	0.294811
17	-0.054243	-0.4202	0.337934
18	-0.089616	-0.6942	0.245129
19	-0.146969	-1.1384	0.129736
20	-0.148242	-1.1483	0.127706
21	-0.055306	-0.4284	0.334949
22	-0.090389	-0.7001	0.243271
23	-0.181897	-1.409	0.082003
24	-0.077064	-0.5969	0.276399
25	-0.073351	-0.5682	0.286019
26	-0.111902	-0.8668	0.194754
27	-0.137183	-1.0626	0.146107
28	-0.160415	-1.2426	0.10943
29	-0.119576	-0.9262	0.179019
30	-0.130763	-1.0129	0.157591
31	-0.246998	-1.9132	0.030246
32	-0.209881	-1.6257	0.054624
33	-0.141358	-1.095	0.138957
34	-0.202273	-1.5668	0.06121
35	-0.226482	-1.7543	0.04224
36	-0.156064	-1.2089	0.115728

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.375461	2.9083	0.002544
2	0.246377	1.9084	0.030562
3	0.363645	2.8168	0.003278
4	0.086289	0.6684	0.253223
5	-0.011445	-0.0887	0.464827
6	-0.08485	-0.6572	0.256769
7	0.037152	0.2878	0.387255
8	0.004748	0.0368	0.485391
9	0.03921	0.3037	0.381195
10	0.019419	0.1504	0.44047
11	-0.265537	-2.0568	0.022029
12	0.171566	1.3289	0.094448
13	-0.072389	-0.5607	0.288538
14	0.014131	0.1095	0.456603
15	-0.154552	-1.1972	0.117977
16	-0.079544	-0.6161	0.270065
17	-0.002325	-0.018	0.492846
18	0.059049	0.4574	0.32452
19	-0.076738	-0.5944	0.277237
20	-0.083359	-0.6457	0.260469
21	0.126395	0.9791	0.165743
22	-0.029168	-0.2259	0.41101
23	0.045288	0.3508	0.363483
24	-0.052127	-0.4038	0.343907
25	0.029422	0.2279	0.410249
26	-0.028999	-0.2246	0.411518
27	-0.042884	-0.3322	0.370457
28	-0.105493	-0.8171	0.208539
29	-0.007323	-0.0567	0.477477
30	-0.025915	-0.2007	0.420792
31	-0.203021	-1.5726	0.060536
32	0.010866	0.0842	0.466603
33	-0.026876	-0.2082	0.417898
34	-0.014534	-0.1126	0.455371
35	-0.061638	-0.4774	0.31739
36	0.038914	0.3014	0.382066

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259421965t11nhy6o1ayh34e/1wwbf1259421863.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259421965t11nhy6o1ayh34e/1wwbf1259421863.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259421965t11nhy6o1ayh34e/2oq4a1259421863.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259421965t11nhy6o1ayh34e/2oq4a1259421863.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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