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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: Tue, 01 Dec 2009 08:19:12 -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/01/t12596808067jedx544insyuxp.htm/, Retrieved Tue, 01 Dec 2009 16:20:08 +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/Dec/01/t12596808067jedx544insyuxp.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 «

519 517 510 509 501 507 569 580 578 565 547 555 562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516

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	0.009109	0.07	0.472227
2	0.08164	0.6271	0.266511
3	0.11067	0.8501	0.199361
4	0.047349	0.3637	0.358694
5	-0.000326	-0.0025	0.499006
6	0.124747	0.9582	0.170936
7	0.01416	0.1088	0.456878
8	0.11292	0.8674	0.19463
9	0.011621	0.0893	0.464587
10	-0.07886	-0.6057	0.273508
11	0.218396	1.6775	0.049364
12	-0.167234	-1.2845	0.101986
13	-0.058576	-0.4499	0.327206
14	0.087514	0.6722	0.252037
15	-0.056924	-0.4372	0.331765
16	-0.075307	-0.5784	0.282583
17	-0.017041	-0.1309	0.448152
18	-0.046904	-0.3603	0.359965
19	0.007158	0.055	0.478169
20	0.009159	0.0703	0.472077
21	-0.051082	-0.3924	0.348099
22	0.026795	0.2058	0.418822
23	0.006895	0.053	0.478971
24	-0.195327	-1.5003	0.06943
25	-0.104494	-0.8026	0.212703
26	-0.157307	-1.2083	0.115876
27	0.00838	0.0644	0.474448
28	-0.06052	-0.4649	0.321871
29	0.07273	0.5587	0.289256
30	-0.042574	-0.327	0.372406
31	-0.002378	-0.0183	0.492743
32	-0.05545	-0.4259	0.335857
33	-0.048857	-0.3753	0.354399
34	-0.026353	-0.2024	0.420141
35	-0.008655	-0.0665	0.473611
36	-0.046052	-0.3537	0.362401

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.009109	0.07	0.472227
2	0.081564	0.6265	0.266701
3	0.109985	0.8448	0.200815
4	0.040591	0.3118	0.378152
5	-0.018374	-0.1411	0.444124
6	0.107746	0.8276	0.205613
7	0.006937	0.0533	0.478842
8	0.098483	0.7565	0.226191
9	-0.01327	-0.1019	0.45958
10	-0.109235	-0.839	0.202415
11	0.209527	1.6094	0.056433
12	-0.195501	-1.5017	0.069258
13	-0.064977	-0.4991	0.309783
14	0.071312	0.5478	0.292964
15	-0.057294	-0.4401	0.330743
16	-0.036017	-0.2767	0.391506
17	-0.079334	-0.6094	0.272308
18	0.021823	0.1676	0.433725
19	0.013675	0.105	0.458349
20	0.03016	0.2317	0.408802
21	0.01306	0.1003	0.460218
22	-0.06241	-0.4794	0.316721
23	0.115741	0.889	0.188801
24	-0.210498	-1.6169	0.055621
25	-0.17491	-1.3435	0.092126
26	-0.103164	-0.7924	0.215645
27	0.077004	0.5915	0.278231
28	-0.020199	-0.1551	0.438617
29	0.08105	0.6226	0.267986
30	0.012524	0.0962	0.461843
31	0.000859	0.0066	0.497379
32	0.038308	0.2942	0.3848
33	-0.063182	-0.4853	0.314628
34	-0.061851	-0.4751	0.318239
35	0.084644	0.6502	0.259056
36	-0.066789	-0.513	0.304929

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/01/t12596808067jedx544insyuxp/1iewt1259680750.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/01/t12596808067jedx544insyuxp/1iewt1259680750.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/01/t12596808067jedx544insyuxp/280ap1259680750.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/01/t12596808067jedx544insyuxp/280ap1259680750.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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