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ws9

*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, 04 Dec 2010 14:01:28 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/04/t1291471161fi7vk15ibkb8m55.htm/, Retrieved Sat, 04 Dec 2010 14:59:23 +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/2010/Dec/04/t1291471161fi7vk15ibkb8m55.htm/},
    year = {2010},
}
@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 = {2010},
    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 «

7945 7833 7889 7957 8038 8106 8180 7951 7908 7895 7988 7982 7964 8007 7976 7951 7982 7995 7933 8050 8119 8224 8143 8174 8211 8261 8162 8156 8168 8218 8267 8267 8162 8162 8249 8404 8391 8354 8360 8360 8391 8459 8428 8478 8540 8633 8552 8664 8627 8559 8472 8311 8304 8339 8413 8413 8357 8370 8376 8351 8351 8370 8391 8335 8348 8342 8413 8379 8397 8459 8391 8540 8596 8590 8608 8559 8583 8577 8515 8509 8596 8664 8689 8676 8608 8577 8435 8416 8335 8335 8335 8280 8255 8292 8342 8267 8211 8286 8335 8311 8205 8280 8193 8311 8329 8187 8057 7951 7926 7976 8026 8050 8057 8106 8032 8044 8069 8106 8038 8026 8057 8149 8162 8261 8261 8249 8050 8088 8106 8125 8088 8094 7995 8038 8044 7920 7815 7821 7747 7709 7697 7672 7722 7722 7734 7691 7654 7635 7635 7635 7722 7883 7864 7939 7982 7914 7815 7796 7815 7815 7815 7840 7815 7784 7740 7685 7685 7747 7802 7784 7802 etc...

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	6 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.997625	54.4323	0
2	0.995295	54.3052	0
3	0.992929	54.1761	0
4	0.990674	54.053	0
5	0.988508	53.9349	0
6	0.986506	53.8256	0
7	0.98434	53.7075	0
8	0.982184	53.5898	0
9	0.980155	53.4791	0
10	0.978156	53.37	0
11	0.976137	53.2599	0
12	0.974105	53.149	0
13	0.972134	53.0415	0
14	0.970093	52.9301	0
15	0.967993	52.8155	0
16	0.965815	52.6967	0
17	0.963563	52.5738	0
18	0.961308	52.4508	0
19	0.959166	52.3339	0
20	0.957174	52.2252	0
21	0.955306	52.1233	0
22	0.9534	52.0193	0
23	0.951481	51.9146	0
24	0.949632	51.8137	0
25	0.947826	51.7152	0
26	0.945975	51.6142	0
27	0.944142	51.5142	0
28	0.942375	51.4177	0
29	0.940698	51.3263	0
30	0.938974	51.2322	0
31	0.937148	51.1325	0
32	0.935296	51.0315	0
33	0.933421	50.9292	0
34	0.931586	50.8291	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.997625	54.4323	0
2	0.008463	0.4618	0.322142
3	-0.00895	-0.4883	0.312677
4	0.022224	1.2126	0.112697
5	0.018323	0.9997	0.158765
6	0.033205	1.8117	0.035065
7	-0.034443	-1.8793	0.030152
8	0.000525	0.0287	0.488571
9	0.028438	1.5516	0.060427
10	0.005446	0.2971	0.383189
11	-0.005593	-0.3052	0.380121
12	-0.004977	-0.2716	0.392992
13	0.014807	0.8079	0.209609
14	-0.013736	-0.7494	0.226827
15	-0.015967	-0.8712	0.19186
16	-0.017679	-0.9646	0.167416
17	-0.015847	-0.8647	0.193646
18	-0.001611	-0.0879	0.464986
19	0.019708	1.0753	0.141165
20	0.029391	1.6036	0.05445
21	0.025654	1.3997	0.080848
22	-0.00867	-0.4731	0.318101
23	-0.002145	-0.117	0.453429
24	0.016843	0.919	0.17909
25	0.009164	0.5	0.308557
26	-0.011502	-0.6276	0.26517
27	0.002043	0.1115	0.455624
28	0.017107	0.9334	0.17535
29	0.021707	1.1844	0.118182
30	-0.011426	-0.6234	0.266519
31	-0.022979	-1.2538	0.105006
32	-0.002426	-0.1324	0.447348
33	-0.004159	-0.2269	0.410248
34	0.003162	0.1725	0.431518

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/04/t1291471161fi7vk15ibkb8m55/1r0j01291471281.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/04/t1291471161fi7vk15ibkb8m55/1r0j01291471281.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/04/t1291471161fi7vk15ibkb8m55/2r0j01291471281.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/04/t1291471161fi7vk15ibkb8m55/2r0j01291471281.ps (open in new window)

Parameters (Session):

par1 = Default ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = Default ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; 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 <- 7

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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