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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 07:43:12 -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/04/t12599378331a0g1h5u780k1sd.htm/, Retrieved Fri, 04 Dec 2009 15:43:55 +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/t12599378331a0g1h5u780k1sd.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 «

611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528 533 536 537 524 536 587 597 581

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	0.883901	6.8467	0
2	0.725321	5.6183	0
3	0.618768	4.793	6e-06
4	0.579675	4.4901	1.6e-05
5	0.578538	4.4813	1.7e-05
6	0.559992	4.3377	2.8e-05
7	0.502656	3.8936	0.000125
8	0.43153	3.3426	0.000717
9	0.404232	3.1312	0.001345
10	0.406606	3.1496	0.001275
11	0.450853	3.4923	0.000453
12	0.445896	3.4539	0.00051
13	0.300799	2.33	0.011595
14	0.135831	1.0521	0.148476
15	0.020281	0.1571	0.437849
16	-0.033614	-0.2604	0.397735
17	-0.051395	-0.3981	0.345985
18	-0.077041	-0.5968	0.276457
19	-0.130142	-1.0081	0.158733
20	-0.194485	-1.5065	0.068596
21	-0.215158	-1.6666	0.050403
22	-0.210757	-1.6325	0.053904
23	-0.175981	-1.3631	0.088966
24	-0.180891	-1.4012	0.083157
25	-0.274266	-2.1245	0.018881
26	-0.371466	-2.8774	0.002773
27	-0.417412	-3.2333	0.000995
28	-0.422466	-3.2724	0.000886
29	-0.403309	-3.124	0.001373
30	-0.385484	-2.9859	0.002044
31	-0.385394	-2.9852	0.002048
32	-0.386584	-2.9945	0.001995
33	-0.345731	-2.678	0.00477
34	-0.300622	-2.3286	0.011633
35	-0.250162	-1.9377	0.028682
36	-0.220699	-1.7095	0.046261

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.883901	6.8467	0
2	-0.25585	-1.9818	0.026044
3	0.194584	1.5072	0.068498
4	0.164019	1.2705	0.104408
5	0.107952	0.8362	0.203183
6	-0.044879	-0.3476	0.364668
7	-0.067603	-0.5236	0.301226
8	-0.012474	-0.0966	0.461674
9	0.153103	1.1859	0.120163
10	-0.004024	-0.0312	0.487619
11	0.233189	1.8063	0.037946
12	-0.228974	-1.7736	0.0406
13	-0.53727	-4.1617	5.1e-05
14	0.019734	0.1529	0.439511
15	-0.114769	-0.889	0.188778
16	-0.122636	-0.9499	0.172979
17	0.021289	0.1649	0.434786
18	-0.035743	-0.2769	0.391417
19	0.049574	0.384	0.35117
20	-0.101421	-0.7856	0.217596
21	0.091406	0.708	0.240835
22	0.020405	0.1581	0.437472
23	-0.026231	-0.2032	0.41984
24	0.051295	0.3973	0.346267
25	-0.034227	-0.2651	0.395911
26	0.018635	0.1443	0.442855
27	0.067924	0.5261	0.300367
28	-0.154161	-1.1941	0.118564
29	0.063804	0.4942	0.311477
30	-0.036699	-0.2843	0.388591
31	0.024177	0.1873	0.42604
32	0.044563	0.3452	0.365582
33	0.062838	0.4867	0.314107
34	-0.068674	-0.5319	0.298363
35	-0.03654	-0.283	0.389061
36	0.100828	0.781	0.218934

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599378331a0g1h5u780k1sd/1i5my1259937791.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599378331a0g1h5u780k1sd/1i5my1259937791.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599378331a0g1h5u780k1sd/2qe8y1259937791.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599378331a0g1h5u780k1sd/2qe8y1259937791.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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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