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*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: Thu, 17 Dec 2009 06:49:47 -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/Dec/17/t1261057844eioh1g7ce9dn4lj.htm/, Retrieved Tue, 21 May 2013 07:54:30 +0000   Original text written by user:   IsPrivate? No (this computation is public)   User-defined keywords:   System-generated keywords (parent): (pk = 0) Estimated Impact 41   Dataseries X: » Textfile « » CSV « » Stem and Leaf « » Histogram « » Kernel Density « » Harrell-Davis Quantiles « » Central Tendency « » Variability « 65,4 72,2 80,4 77,7 76,5 100,1 73,5 77,3 98,6 112,4 77,3 139,3 75,4 64,2 86,8 79,1 71,7 100 82,1 74,8 92,3 83,3 83,7 148 71,4 71,2 84,6 80,9 80,6 105,5 79,2 78,4 92,6 88,3 98,2 157,4 73,9 80,9 93 84,9 96,2 106,5 81,7 82,9 96 92,6 116,5 155 95,1 86,2 105 89,7 97,1 120,8 92,2 98,8 104,1 106,5 113,4 192,4 103,6 97,6 99,9 106,4 104,8 114,1 93 90,2 108,8 108,7 125,2 180,4 91,6 87,1 98,3   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 0.160724 1.3919 0.084032 2 0.030508 0.2642 0.396174 3 0.183853 1.5922 0.057772 4 -0.043719 -0.3786 0.353021 5 2.4e-05 2e-04 0.499916 6 0.426108 3.6902 0.000211 7 -0.012622 -0.1093 0.456626 8 -0.066685 -0.5775 0.282662 9 0.134542 1.1652 0.123821 10 -0.040019 -0.3466 0.364941 11 0.112284 0.9724 0.166987 12 0.750426 6.4989 0 13 0.081024 0.7017 0.242523 14 0.001048 0.0091 0.496392 15 0.120316 1.042 0.150386 16 -0.091473 -0.7922 0.215376 17 -0.030401 -0.2633 0.396529 18 0.293211 2.5393 0.00659 19 -0.079092 -0.685 0.247741 20 -0.100004 -0.8661 0.19461 21 0.041715 0.3613 0.359459 22 -0.132836 -1.1504 0.126818 23 -0.000329 -0.0028 0.498868 24 0.506622 4.3875 1.8e-05 25 0.00072 0.0062 0.497522 26 -0.043254 -0.3746 0.354511 27 0.012203 0.1057 0.458058 28 -0.154039 -1.334 0.093117 29 -0.084821 -0.7346 0.232445 30 0.157505 1.364 0.088319 31 -0.134988 -1.169 0.123047 32 -0.14378 -1.2452 0.108472 33 -0.061375 -0.5315 0.298312 34 -0.192531 -1.6674 0.049806 35 -0.084233 -0.7295 0.233991 36 0.32832 2.8433 0.002875 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.160724 1.3919 0.084032 2 0.004799 0.0416 0.483479 3 0.182931 1.5842 0.058674 4 -0.10793 -0.9347 0.176472 5 0.025862 0.224 0.411693 6 0.416205 3.6044 0.00028 7 -0.165763 -1.4356 0.077644 8 -0.064276 -0.5566 0.289713 9 0.053641 0.4645 0.321801 10 0.011596 0.1004 0.460139 11 0.187142 1.6207 0.05464 12 0.66564 5.7646 0 13 -0.190366 -1.6486 0.051704 14 -0.083996 -0.7274 0.234614 15 -0.131325 -1.1373 0.129515 16 -0.038912 -0.337 0.368532 17 -0.029121 -0.2522 0.400792 18 -0.202194 -1.7511 0.042013 19 -0.007317 -0.0634 0.474822 20 0.029149 0.2524 0.400695 21 -0.049031 -0.4246 0.336163 22 -0.052299 -0.4529 0.325957 23 -0.148861 -1.2892 0.10065 24 0.017671 0.153 0.439392 25 0.040958 0.3547 0.361903 26 -0.025122 -0.2176 0.414179 27 -0.110229 -0.9546 0.171421 28 -0.023673 -0.205 0.419057 29 0.020395 0.1766 0.430139 30 -0.031491 -0.2727 0.392909 31 -0.043898 -0.3802 0.352448 32 -0.058731 -0.5086 0.306253 33 -0.023675 -0.205 0.419052 34 0.050443 0.4368 0.331738 35 -0.040932 -0.3545 0.361987 36 0.009042 0.0783 0.468896   Charts produced by software: http://www.freestatistics.org/blog/date/2009/Dec/17/t1261057844eioh1g7ce9dn4lj/1fwuv1261057785.png (opens in new window) http://www.freestatistics.org/blog/date/2009/Dec/17/t1261057844eioh1g7ce9dn4lj/1fwuv1261057785.ps (opens in new window) Click here to open pdf file. http://www.freestatistics.org/blog/date/2009/Dec/17/t1261057844eioh1g7ce9dn4lj/2yye41261057785.png (opens in new window) http://www.freestatistics.org/blog/date/2009/Dec/17/t1261057844eioh1g7ce9dn4lj/2yye41261057785.ps (opens in new window) Click here to open pdf file.   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')