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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 12:44:41 -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/t12599559180re2lfyxuw7891b.htm/, Retrieved Fri, 04 Dec 2009 20:45:20 +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/t12599559180re2lfyxuw7891b.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 «

5560 3922 3759 4138 4634 3996 4308 4143 4429 5219 4929 5755 5592 4163 4962 5208 4755 4491 5732 5731 5040 6102 4904 5369 5578 4619 4731 5011 5299 4146 4625 4736 4219 5116 4205 4121 5103 4300 4578 3809 5526 4247 3830 4394 4826 4409 4569 4106 4794 3914 3793 4405 4022 4100 4788 3163 3585 3903 4178 3863 4187

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	0.33347	2.6045	0.005771
2	0.303902	2.3735	0.010391
3	0.446432	3.4867	0.000456
4	0.327687	2.5593	0.006492
5	0.228118	1.7817	0.039891
6	0.20194	1.5772	0.059961
7	0.214438	1.6748	0.049545
8	0.166889	1.3034	0.098661
9	0.182994	1.4292	0.07902
10	0.173083	1.3518	0.090712
11	0.001041	0.0081	0.49677
12	0.207832	1.6232	0.05485
13	0.023147	0.1808	0.42857
14	-0.017909	-0.1399	0.444611
15	-0.015387	-0.1202	0.45237
16	-0.064171	-0.5012	0.309021
17	-0.059628	-0.4657	0.321542
18	-0.042612	-0.3328	0.370208
19	-0.097423	-0.7609	0.224824
20	-0.126566	-0.9885	0.163403
21	0.007358	0.0575	0.477182
22	-0.075177	-0.5871	0.279636
23	-0.143617	-1.1217	0.133196
24	-0.034037	-0.2658	0.395629
25	-0.068965	-0.5386	0.29605
26	-0.101629	-0.7937	0.21521
27	-0.114499	-0.8943	0.187347
28	-0.124269	-0.9706	0.167798
29	-0.132344	-1.0336	0.152692
30	-0.123522	-0.9647	0.169242
31	-0.230443	-1.7998	0.038418
32	-0.216308	-1.6894	0.048122
33	-0.113325	-0.8851	0.189791
34	-0.208678	-1.6298	0.054146
35	-0.235521	-1.8395	0.035356
36	-0.127741	-0.9977	0.161185

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.33347	2.6045	0.005771
2	0.216809	1.6933	0.047746
3	0.348	2.718	0.00427
4	0.121514	0.9491	0.173168
5	-0.010483	-0.0819	0.467507
6	-0.065626	-0.5126	0.305057
7	0.010109	0.079	0.468665
8	0.011655	0.091	0.463885
9	0.082261	0.6425	0.261486
10	0.047404	0.3702	0.356245
11	-0.187522	-1.4646	0.074083
12	0.147082	1.1487	0.127572
13	-0.153017	-1.1951	0.118336
14	-0.024991	-0.1952	0.42295
15	-0.11166	-0.8721	0.193288
16	-0.072661	-0.5675	0.28623
17	-0.003977	-0.0311	0.48766
18	0.07045	0.5502	0.292084
19	-0.045017	-0.3516	0.363176
20	-0.059733	-0.4665	0.321249
21	0.126468	0.9877	0.16359
22	-0.075969	-0.5933	0.277575
23	0.034233	0.2674	0.395044
24	-0.03464	-0.2705	0.393826
25	0.02487	0.1942	0.423315
26	-0.01942	-0.1517	0.439973
27	-0.047476	-0.3708	0.356035
28	-0.0758	-0.592	0.278014
29	-0.045339	-0.3541	0.362239
30	-0.034321	-0.2681	0.394781
31	-0.204016	-1.5934	0.058118
32	-0.004529	-0.0354	0.48595
33	-0.020811	-0.1625	0.43571
34	-0.015466	-0.1208	0.452127
35	-0.053926	-0.4212	0.337552
36	0.043924	0.3431	0.366369

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599559180re2lfyxuw7891b/1zxol1259955880.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599559180re2lfyxuw7891b/1zxol1259955880.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599559180re2lfyxuw7891b/228ms1259955880.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599559180re2lfyxuw7891b/228ms1259955880.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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