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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 07:46:07 -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/t1259938011rekltbjy1e14pkp.htm/, Retrieved Fri, 04 Dec 2009 15:46:53 +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/t1259938011rekltbjy1e14pkp.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 «

455 456 517 525 523 519 509 512 519 517 510 509 501 507 569 580 578 565 547 555 562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528 533 536 537 524 536 587 597 581 564

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	0.153649	1.3483	0.090764
2	0.199484	1.7505	0.042011
3	0.223266	1.9592	0.026858
4	0.135786	1.1915	0.118555
5	0.087611	0.7688	0.222186
6	0.174466	1.5309	0.064942
7	0.027188	0.2386	0.406035
8	0.157215	1.3796	0.085859
9	0.102833	0.9024	0.184841
10	-0.075958	-0.6665	0.253534
11	0.19823	1.7395	0.042975
12	-0.134916	-1.1839	0.120051
13	-0.011444	-0.1004	0.460135
14	0.206431	1.8114	0.036988
15	0.112286	0.9853	0.16378
16	-0.005113	-0.0449	0.482167
17	0.053867	0.4727	0.31889
18	-0.039649	-0.3479	0.364424
19	0.053985	0.4737	0.318521
20	-0.017842	-0.1566	0.437998
21	-0.092757	-0.8139	0.209096
22	-0.025996	-0.2281	0.410081
23	-0.038312	-0.3362	0.368823
24	-0.208378	-1.8285	0.035673
25	-0.100559	-0.8824	0.190153
26	-0.187963	-1.6494	0.051573
27	-0.120507	-1.0574	0.146808
28	-0.106914	-0.9382	0.175547
29	-0.022231	-0.1951	0.422925
30	-0.120803	-1.06	0.14622
31	-0.063516	-0.5574	0.289452
32	-0.066566	-0.5841	0.280426
33	-0.04098	-0.3596	0.360068
34	-0.010202	-0.0895	0.46445
35	0.025675	0.2253	0.411174
36	-0.009982	-0.0876	0.465214

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.153649	1.3483	0.090764
2	0.180128	1.5806	0.059032
3	0.180436	1.5833	0.058724
4	0.061048	0.5357	0.296857
5	-0.000897	-0.0079	0.496868
6	0.105489	0.9257	0.178758
7	-0.050326	-0.4416	0.330004
8	0.106312	0.9329	0.176899
9	0.033562	0.2945	0.384583
10	-0.158116	-1.3875	0.084652
11	0.17789	1.561	0.061314
12	-0.232891	-2.0436	0.022206
13	0.020938	0.1837	0.427354
14	0.231348	2.0301	0.022902
15	0.083488	0.7326	0.233011
16	-0.037986	-0.3333	0.369897
17	-0.118876	-1.0431	0.150075
18	-0.023422	-0.2055	0.418853
19	0.037982	0.3333	0.369911
20	-0.066101	-0.58	0.281791
21	-0.020314	-0.1783	0.429496
22	-0.153129	-1.3437	0.091495
23	0.029013	0.2546	0.399861
24	-0.185005	-1.6234	0.054294
25	-0.105663	-0.9272	0.178363
26	-0.031234	-0.2741	0.39238
27	0.067324	0.5908	0.278205
28	-0.037954	-0.333	0.370002
29	0.042666	0.3744	0.354572
30	-0.08462	-0.7425	0.23001
31	0.04253	0.3732	0.355012
32	0.054324	0.4767	0.317466
33	0.018601	0.1632	0.435384
34	-0.002812	-0.0247	0.490189
35	0.160206	1.4058	0.081902
36	-0.046528	-0.4083	0.342101

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259938011rekltbjy1e14pkp/1f9rc1259937965.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259938011rekltbjy1e14pkp/1f9rc1259937965.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259938011rekltbjy1e14pkp/2q5o71259937965.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259938011rekltbjy1e14pkp/2q5o71259937965.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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