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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, 03 Dec 2009 05:16:14 -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/03/t1259842631muwdnzwl1n767lb.htm/, Retrieved Thu, 03 Dec 2009 13:17:14 +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/03/t1259842631muwdnzwl1n767lb.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 «

8.7 8.2 8.3 8.5 8.6 8.5 8.2 8.1 7.9 8.6 8.7 8.7 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8 8.2 8.1 8.1 8 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.4 6.1 6.5 7.7 7.9 7.5 6.9 6.6 6.9 7.7 8 8 7.7 7.3 7.4 8.1 8.3 8.2

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	0 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.015795	-0.1203	0.452335
2	-0.281923	-2.1471	0.017991
3	-0.314132	-2.3924	0.010001
4	-0.258313	-1.9673	0.026971
5	0.074875	0.5702	0.285361
6	0.436018	3.3206	0.000779
7	0.200093	1.5239	0.066489
8	-0.125775	-0.9579	0.171051
9	-0.168149	-1.2806	0.102719
10	-0.272845	-2.0779	0.021076
11	-0.05772	-0.4396	0.330936
12	0.507596	3.8657	0.000141
13	-0.088352	-0.6729	0.251852
14	-0.102397	-0.7798	0.219331
15	-0.000419	-0.0032	0.498731
16	-0.089327	-0.6803	0.249512
17	-0.015553	-0.1185	0.45306
18	0.132874	1.0119	0.157885
19	0.00464	0.0353	0.485966
20	-0.067687	-0.5155	0.304085
21	0.028625	0.218	0.414098
22	-0.100401	-0.7646	0.223795
23	-0.008672	-0.066	0.473784
24	0.299645	2.282	0.013087
25	-0.179989	-1.3708	0.087867
26	-0.086093	-0.6557	0.257315
27	0.0208	0.1584	0.437344
28	-0.033822	-0.2576	0.398821
29	0.028829	0.2196	0.413496
30	0.127723	0.9727	0.167369
31	0.027192	0.2071	0.418332
32	-0.111165	-0.8466	0.200346
33	-0.111504	-0.8492	0.199633
34	-0.030565	-0.2328	0.408376
35	0.071162	0.542	0.294963
36	0.272831	2.0778	0.021081

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.015795	-0.1203	0.452335
2	-0.282243	-2.1495	0.017889
3	-0.352457	-2.6842	0.00473
4	-0.475392	-3.6205	0.000309
5	-0.411056	-3.1305	0.001366
6	-0.075499	-0.575	0.283763
7	-0.035657	-0.2716	0.393463
8	-0.064263	-0.4894	0.313199
9	0.104694	0.7973	0.214257
10	-0.018235	-0.1389	0.445016
11	-0.086146	-0.6561	0.257188
12	0.448611	3.4165	0.000582
13	-0.208631	-1.5889	0.058762
14	-0.165754	-1.2623	0.105938
15	0.035639	0.2714	0.393517
16	0.00838	0.0638	0.474666
17	-0.021206	-0.1615	0.436131
18	-0.123921	-0.9438	0.174606
19	-0.055774	-0.4248	0.336291
20	0.048492	0.3693	0.356622
21	-0.012448	-0.0948	0.462401
22	-0.095677	-0.7287	0.234571
23	-0.103148	-0.7855	0.217665
24	0.128039	0.9751	0.166776
25	0.043576	0.3319	0.370593
26	0.02247	0.1711	0.43236
27	-0.064365	-0.4902	0.312924
28	-0.024512	-0.1867	0.426282
29	0.02762	0.2103	0.417068
30	-0.0372	-0.2833	0.388974
31	0.018578	0.1415	0.443988
32	-0.065722	-0.5005	0.3093
33	-0.260397	-1.9831	0.026048
34	0.056167	0.4278	0.335207
35	-0.010842	-0.0826	0.467238
36	-0.037826	-0.2881	0.38716

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259842631muwdnzwl1n767lb/1odf11259842572.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259842631muwdnzwl1n767lb/1odf11259842572.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259842631muwdnzwl1n767lb/2qe4c1259842572.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259842631muwdnzwl1n767lb/2qe4c1259842572.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 6 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 6 ; 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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