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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 07:45:02 -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/t1259937938hurcykviw3pw0y2.htm/, Retrieved Fri, 04 Dec 2009 15:45:41 +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/t1259937938hurcykviw3pw0y2.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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.24048	1.8472	0.03487
2	-0.253569	-1.9477	0.028107
3	-0.271351	-2.0843	0.020736
4	-0.173781	-1.3348	0.093529
5	0.084553	0.6495	0.259279
6	0.224878	1.7273	0.044671
7	0.087985	0.6758	0.250895
8	-0.221612	-1.7022	0.046988
9	-0.275659	-2.1174	0.019226
10	-0.219224	-1.6839	0.048743
11	0.24297	1.8663	0.033487
12	0.73257	5.627	0
13	0.124695	0.9578	0.171035
14	-0.249413	-1.9158	0.030121
15	-0.244891	-1.881	0.032452
16	-0.166905	-1.282	0.102425
17	0.039017	0.2997	0.38273
18	0.148568	1.1412	0.129205
19	0.039908	0.3065	0.380136
20	-0.232469	-1.7856	0.03965
21	-0.249982	-1.9202	0.029838
22	-0.167542	-1.2869	0.101575
23	0.193498	1.4863	0.071264
24	0.511704	3.9305	0.000113
25	0.050093	0.3848	0.350896
26	-0.223415	-1.7161	0.045697
27	-0.153089	-1.1759	0.122179
28	-0.105792	-0.8126	0.209856
29	0.033514	0.2574	0.398872
30	0.098042	0.7531	0.227199
31	0.026701	0.2051	0.419102
32	-0.193302	-1.4848	0.071463
33	-0.165037	-1.2677	0.104947
34	-0.064354	-0.4943	0.311461
35	0.141575	1.0875	0.140629
36	0.294181	2.2596	0.013775

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.24048	1.8472	0.03487
2	-0.330514	-2.5387	0.006892
3	-0.131948	-1.0135	0.157478
4	-0.169972	-1.3056	0.098382
5	0.070531	0.5418	0.295013
6	0.079836	0.6132	0.271041
7	-0.005163	-0.0397	0.484249
8	-0.204601	-1.5716	0.060699
9	-0.121931	-0.9366	0.176399
10	-0.24529	-1.8841	0.03224
11	0.253804	1.9495	0.027996
12	0.597618	4.5904	1.2e-05
13	-0.191436	-1.4704	0.073377
14	0.059171	0.4545	0.325568
15	-0.019912	-0.153	0.43948
16	-0.103579	-0.7956	0.214725
17	-0.087362	-0.671	0.252408
18	-0.172965	-1.3286	0.094553
19	-0.05221	-0.401	0.344922
20	-0.035598	-0.2734	0.392737
21	-0.02674	-0.2054	0.418986
22	-0.011909	-0.0915	0.463713
23	-0.107881	-0.8287	0.205321
24	-0.042903	-0.3295	0.371455
25	-0.045142	-0.3467	0.365009
26	-0.072928	-0.5602	0.288741
27	0.105206	0.8081	0.211138
28	-0.020181	-0.155	0.438669
29	0.02882	0.2214	0.412783
30	-0.034198	-0.2627	0.396855
31	0.002662	0.0204	0.491879
32	-0.008703	-0.0669	0.473462
33	0.023126	0.1776	0.429809
34	0.038659	0.2969	0.383777
35	-0.08653	-0.6646	0.254433
36	-0.161232	-1.2384	0.110227

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259937938hurcykviw3pw0y2/19prr1259937900.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259937938hurcykviw3pw0y2/19prr1259937900.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259937938hurcykviw3pw0y2/2sjjz1259937900.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259937938hurcykviw3pw0y2/2sjjz1259937900.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; 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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