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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 12:47:17 -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/t1259869813mhahk386y2jgy7u.htm/, Retrieved Thu, 03 Dec 2009 20:50:16 +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/t1259869813mhahk386y2jgy7u.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 «

8.3 8.2 8 7.9 7.6 7.6 8.3 8.4 8.4 8.4 8.4 8.6 8.9 8.8 8.3 7.5 7.2 7.4 8.8 9.3 9.3 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

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.225606	1.7182	0.045551
2	-0.232035	-1.7671	0.041234
3	-0.483187	-3.6798	0.000257
4	-0.419269	-3.1931	0.001138
5	-5.8e-05	-4e-04	0.499826
6	0.230266	1.7537	0.042387
7	0.224003	1.706	0.046683
8	0.139172	1.0599	0.146791
9	-0.020888	-0.1591	0.437081
10	-0.054379	-0.4141	0.340151
11	-0.054434	-0.4146	0.339997
12	-0.177611	-1.3526	0.09071
13	-0.033524	-0.2553	0.399692
14	0.094506	0.7197	0.237288
15	0.080133	0.6103	0.272032
16	0.103912	0.7914	0.215975
17	-0.05463	-0.4161	0.339454
18	-0.078466	-0.5976	0.276224
19	-0.116785	-0.8894	0.18873
20	0.075248	0.5731	0.284406
21	0.184105	1.4021	0.083107
22	-0.011211	-0.0854	0.466127
23	-0.060785	-0.4629	0.322575
24	-0.203217	-1.5477	0.063573
25	-0.012812	-0.0976	0.461303
26	0.129619	0.9871	0.163835
27	0.166364	1.267	0.105111
28	-0.009586	-0.073	0.471027
29	-0.148818	-1.1334	0.130862
30	-0.192047	-1.4626	0.074489
31	0.062415	0.4753	0.318167
32	0.207963	1.5838	0.059339
33	0.147188	1.121	0.133464
34	0.039985	0.3045	0.380912
35	-0.152048	-1.158	0.125812
36	-0.273625	-2.0839	0.020794

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.225606	1.7182	0.045551
2	-0.298106	-2.2703	0.01346
3	-0.4024	-3.0646	0.001653
4	-0.395687	-3.0135	0.001913
5	-0.170324	-1.2972	0.099858
6	-0.225766	-1.7194	0.045439
7	-0.290406	-2.2117	0.015472
8	-0.211713	-1.6124	0.056156
9	-0.200946	-1.5304	0.065682
10	-0.109766	-0.836	0.203305
11	-0.064035	-0.4877	0.313809
12	-0.274729	-2.0923	0.0204
13	-0.116954	-0.8907	0.188387
14	-0.018468	-0.1406	0.444318
15	-0.124048	-0.9447	0.17436
16	-0.04867	-0.3707	0.356122
17	-0.116228	-0.8852	0.189862
18	-0.045182	-0.3441	0.366009
19	-0.246221	-1.8752	0.032904
20	-0.0112	-0.0853	0.466161
21	0.107215	0.8165	0.20877
22	-0.090694	-0.6907	0.246252
23	0.092482	0.7043	0.242024
24	-0.137599	-1.0479	0.149511
25	0.114797	0.8743	0.192789
26	0.096358	0.7338	0.233001
27	0.168205	1.281	0.102644
28	0.028104	0.214	0.415637
29	-0.021207	-0.1615	0.436128
30	-0.157946	-1.2029	0.116955
31	-0.129172	-0.9837	0.164664
32	-0.073883	-0.5627	0.287913
33	-0.040217	-0.3063	0.380243
34	-0.008693	-0.0662	0.473722
35	0.127122	0.9681	0.168499
36	-0.14259	-1.0859	0.141001

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259869813mhahk386y2jgy7u/1taga1259869633.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259869813mhahk386y2jgy7u/1taga1259869633.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259869813mhahk386y2jgy7u/2yvj31259869633.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259869813mhahk386y2jgy7u/2yvj31259869633.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 2 ; 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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