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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: Wed, 02 Dec 2009 09:11:58 -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/02/t1259770384c57l9nh4lmri7qi.htm/, Retrieved Wed, 02 Dec 2009 17:13:07 +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/Dec/02/t1259770384c57l9nh4lmri7qi.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 «

1111.92 1131.13 1144.94 1113.89 1107.30 1120.68 1140.84 1101.72 1104.24 1114.58 1130.20 1173.78 1211.92 1181.27 1203.60 1180.59 1156.85 1191.50 1191.33 1234.18 1220.33 1228.81 1207.01 1249.48 1248.29 1280.08 1280.66 1302.88 1310.61 1270.05 1270.06 1278.53 1303.80 1335.83 1377.76 1400.63 1418.03 1437.90 1406.80 1420.83 1482.37 1530.63 1504.66 1455.18 1473.96 1527.29 1545.79 1479.63 1467.97 1378.60 1330.45 1326.41 1385.97 1399.62 1276.69 1269.42 1287.83 1164.17 968.67 888.61

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	0.223372	1.5314	0.066192
2	-0.0183	-0.1255	0.450349
3	-0.042209	-0.2894	0.386784
4	0.183149	1.2556	0.107733
5	0.100024	0.6857	0.248126
6	0.01991	0.1365	0.446007
7	0.106927	0.7331	0.233582
8	0.106019	0.7268	0.235468
9	0.170522	1.169	0.124141
10	0.031792	0.218	0.414204
11	0.185096	1.269	0.105353
12	-0.103027	-0.7063	0.24174
13	-0.06082	-0.417	0.339303
14	0.056129	0.3848	0.351059
15	0.080819	0.5541	0.291079
16	-0.064785	-0.4441	0.329489
17	-0.219307	-1.5035	0.069701
18	-0.061142	-0.4192	0.338501
19	-0.011204	-0.0768	0.469549
20	0.012242	0.0839	0.466736
21	-0.049639	-0.3403	0.36757
22	-0.043844	-0.3006	0.382532
23	-0.051996	-0.3565	0.361544
24	-0.19647	-1.3469	0.092231
25	-0.030981	-0.2124	0.416359
26	-0.080455	-0.5516	0.291928
27	0.004805	0.0329	0.486931
28	-0.014975	-0.1027	0.459334
29	-0.014633	-0.1003	0.46026
30	-0.146887	-1.007	0.159545
31	-0.07355	-0.5042	0.308226
32	-0.104011	-0.7131	0.239665
33	-0.090682	-0.6217	0.268577
34	0.008672	0.0595	0.476422
35	-0.052827	-0.3622	0.359427
36	0.070954	0.4864	0.314459

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.223372	1.5314	0.066192
2	-0.071776	-0.4921	0.31248
3	-0.023059	-0.1581	0.437534
4	0.208659	1.4305	0.079595
5	0.006029	0.0413	0.483603
6	0.005187	0.0356	0.485891
7	0.142	0.9735	0.167643
8	0.022495	0.1542	0.43905
9	0.141722	0.9716	0.168112
10	-0.018401	-0.1262	0.450075
11	0.183437	1.2576	0.107378
12	-0.230481	-1.5801	0.060396
13	-0.025764	-0.1766	0.430279
14	0.084306	0.578	0.28302
15	-0.080427	-0.5514	0.291992
16	-0.086431	-0.5925	0.278165
17	-0.185025	-1.2685	0.105439
18	-0.061488	-0.4215	0.33764
19	-0.031781	-0.2179	0.414232
20	-0.027458	-0.1882	0.425748
21	0.088806	0.6088	0.272786
22	-0.086317	-0.5918	0.278423
23	0.052359	0.359	0.360618
24	-0.190204	-1.304	0.099297
25	0.105472	0.7231	0.236608
26	-0.032394	-0.2221	0.412606
27	0.088502	0.6067	0.273472
28	0.127999	0.8775	0.192335
29	-0.120226	-0.8242	0.206987
30	-0.122632	-0.8407	0.202379
31	0.061182	0.4194	0.338401
32	-0.159505	-1.0935	0.139871
33	0.040299	0.2763	0.391774
34	-0.033306	-0.2283	0.410188
35	0.00417	0.0286	0.488658
36	-0.000484	-0.0033	0.498683

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259770384c57l9nh4lmri7qi/18r5b1259770316.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259770384c57l9nh4lmri7qi/18r5b1259770316.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259770384c57l9nh4lmri7qi/2c8y81259770316.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259770384c57l9nh4lmri7qi/2c8y81259770316.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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