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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 12:04:07 -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/t1259953507nv0ofx3629ngj7w.htm/, Retrieved Fri, 04 Dec 2009 20:05:10 +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/t1259953507nv0ofx3629ngj7w.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 «

6802.96 7132.68 7073.29 7264.5 7105.33 7218.71 7225.72 7354.25 7745.46 8070.26 8366.33 8667.51 8854.34 9218.1 9332.9 9358.31 9248.66 9401.2 9652.04 9957.38 10110.63 10169.26 10343.78 10750.21 11337.5 11786.96 12083.04 12007.74 11745.93 11051.51 11445.9 11924.88 12247.63 12690.91 12910.7 13202.12 13654.67 13862.82 13523.93 14211.17 14510.35 14289.23 14111.82 13086.59 13351.54 13747.69 12855.61 12926.93 12121.95 11731.65 11639.51 12163.78 12029.53 11234.18 9852.13 9709.04 9332.75 7108.6 6691.49 6143.05

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	0.334062	2.566	0.006424
2	0.20971	1.6108	0.056279
3	0.254109	1.9518	0.027854
4	0.176135	1.3529	0.090622
5	0.262376	2.0154	0.024215
6	0.134597	1.0339	0.15271
7	0.079584	0.6113	0.271676
8	0.154308	1.1853	0.120334
9	0.125838	0.9666	0.16885
10	0.064304	0.4939	0.311595
11	0.275238	2.1141	0.01937
12	0.053336	0.4097	0.341761
13	0.039876	0.3063	0.38023
14	0.190973	1.4669	0.073858
15	0.043356	0.333	0.370148
16	0.0735	0.5646	0.287256
17	-0.055841	-0.4289	0.334772
18	-0.159063	-1.2218	0.113324
19	-0.002067	-0.0159	0.493693
20	-0.057238	-0.4397	0.330897
21	-0.077848	-0.598	0.276077
22	-0.124132	-0.9535	0.17212
23	-0.134331	-1.0318	0.153186
24	-0.119847	-0.9206	0.180513
25	0.00311	0.0239	0.490511
26	-0.051753	-0.3975	0.346207
27	-0.035488	-0.2726	0.39306
28	0.026824	0.206	0.418734
29	-0.042158	-0.3238	0.373609
30	-0.056717	-0.4357	0.33234
31	-0.087943	-0.6755	0.250998
32	-0.096919	-0.7445	0.229779
33	-0.157282	-1.2081	0.115913
34	-0.136184	-1.0461	0.149902
35	-0.158793	-1.2197	0.113713
36	-0.083806	-0.6437	0.261124

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.334062	2.566	0.006424
2	0.110437	0.8483	0.199854
3	0.176507	1.3558	0.090169
4	0.040519	0.3112	0.378359
5	0.179539	1.3791	0.08654
6	-0.044786	-0.344	0.366033
7	-0.01907	-0.1465	0.442021
8	0.064577	0.496	0.310858
9	0.032912	0.2528	0.400649
10	-0.04661	-0.358	0.360802
11	0.264102	2.0286	0.02351
12	-0.150753	-1.158	0.125775
13	-0.012435	-0.0955	0.462115
14	0.123287	0.947	0.173754
15	-0.065606	-0.5039	0.308093
16	-0.048786	-0.3747	0.354603
17	-0.115625	-0.8881	0.189039
18	-0.158044	-1.214	0.1148
19	0.016089	0.1236	0.451033
20	-0.036696	-0.2819	0.389515
21	0.0259	0.1989	0.421497
22	-0.180557	-1.3869	0.085347
23	0.035181	0.2702	0.393962
24	-0.059296	-0.4555	0.325226
25	0.063208	0.4855	0.314556
26	0.044088	0.3386	0.368039
27	0.057794	0.4439	0.329361
28	0.076273	0.5859	0.280102
29	0.0641	0.4924	0.312147
30	-0.14126	-1.085	0.141158
31	0.022987	0.1766	0.430226
32	-0.039434	-0.3029	0.381517
33	-0.09634	-0.74	0.231117
34	-0.04305	-0.3307	0.371031
35	-0.076937	-0.591	0.2784
36	0.005658	0.0435	0.48274

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259953507nv0ofx3629ngj7w/1zhs81259953446.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259953507nv0ofx3629ngj7w/1zhs81259953446.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259953507nv0ofx3629ngj7w/2ly871259953446.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259953507nv0ofx3629ngj7w/2ly871259953446.ps (open in new window)

Parameters (Session):

par1 = Aandelenkoers ; par2 = belgostat ; par3 = euronext brussel ;

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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