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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: Fri, 04 Dec 2009 06:46:52 -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/04/t12599344717q15pxjkjo5u8bn.htm/, Retrieved Fri, 04 Dec 2009 14:47:54 +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/04/t12599344717q15pxjkjo5u8bn.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:

WS9,ACF

Dataseries X:

» Textbox « » Textfile « » CSV «

1.3 1.2 1.1 1.4 1.2 1.5 1.1 1.3 1.5 1.1 1.4 1.3 1.5 1.6 1.7 1.1 1.6 1.3 1.7 1.6 1.7 1.9 1.8 1.9 1.6 1.5 1.6 1.6 1.7 2 2 1.9 1.7 1.8 1.9 1.7 2 2.1 2.4 2.5 2.5 2.6 2.2 2.5 2.8 2.8 2.9 3 3.1 2.9 2.7 2.2 2.5 2.3 2.6 2.3 2.2 1.8 1.8

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	-0.404925	-3.0838	0.001564
2	0.28452	2.1668	0.017184
3	-0.208371	-1.5869	0.058986
4	-0.026806	-0.2042	0.419475
5	0.021108	0.1608	0.436423
6	-0.015241	-0.1161	0.453999
7	0.035326	0.269	0.39443
8	0.092597	0.7052	0.241755
9	0.114292	0.8704	0.19383
10	-0.048002	-0.3656	0.358008
11	0.143521	1.093	0.139452
12	-0.378142	-2.8798	0.002783
13	0.092489	0.7044	0.242008
14	-0.220717	-1.6809	0.049077
15	0.109359	0.8329	0.204173
16	0.067806	0.5164	0.303771
17	-0.079076	-0.6022	0.274687
18	0.186252	1.4185	0.080705
19	-0.176792	-1.3464	0.091705
20	0.055861	0.4254	0.336051
21	-0.111236	-0.8471	0.200197
22	-0.050312	-0.3832	0.3515
23	0.02032	0.1547	0.438778
24	-0.053507	-0.4075	0.34257
25	0.108993	0.8301	0.204953
26	0.083352	0.6348	0.26403
27	0.036395	0.2772	0.391314
28	-0.068105	-0.5187	0.302983
29	-0.04706	-0.3584	0.360672
30	-0.08406	-0.6402	0.262289
31	0.113267	0.8626	0.195951
32	-0.090407	-0.6885	0.246934
33	0.069691	0.5308	0.298809
34	0.055159	0.4201	0.337991
35	-0.143462	-1.0926	0.139549
36	0.252213	1.9208	0.029839

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.404925	-3.0838	0.001564
2	0.144199	1.0982	0.13833
3	-0.062767	-0.478	0.317216
4	-0.193007	-1.4699	0.073496
5	0.000527	0.004	0.498406
6	0.03116	0.2373	0.406628
7	-0.010577	-0.0806	0.468038
8	0.121405	0.9246	0.179504
9	0.240372	1.8306	0.036148
10	0.029643	0.2258	0.411093
11	0.15185	1.1565	0.126118
12	-0.273301	-2.0814	0.020911
13	-0.231936	-1.7664	0.041298
14	-0.19598	-1.4925	0.070489
15	-0.137638	-1.0482	0.149444
16	0.013387	0.102	0.459572
17	-0.131835	-1.004	0.159768
18	0.115822	0.8821	0.19069
19	0.015003	0.1143	0.454713
20	0.040197	0.3061	0.3803
21	0.138942	1.0582	0.147186
22	0.030731	0.234	0.407888
23	0.127963	0.9745	0.166919
24	-0.175515	-1.3367	0.093274
25	-0.072261	-0.5503	0.292104
26	-0.004971	-0.0379	0.484966
27	-0.012586	-0.0958	0.461986
28	-0.038094	-0.2901	0.386381
29	-0.189004	-1.4394	0.077704
30	0.008097	0.0617	0.475522
31	0.076581	0.5832	0.281002
32	0.024035	0.183	0.4277
33	-0.002714	-0.0207	0.491791
34	0.055861	0.4254	0.336049
35	-0.144478	-1.1003	0.137872
36	0.022698	0.1729	0.431682

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599344717q15pxjkjo5u8bn/1j9pl1259934410.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599344717q15pxjkjo5u8bn/1j9pl1259934410.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599344717q15pxjkjo5u8bn/27ami1259934410.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599344717q15pxjkjo5u8bn/27ami1259934410.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 0.0 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; 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')

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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