*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: Sun, 13 Dec 2009 05:35:04 -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/13/t1260707742wimves5xmoaqs84.htm/, Retrieved Sun, 13 Dec 2009 13:35:45 +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/13/t1260707742wimves5xmoaqs84.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 «

595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528 533 536 537 524 536 587 597 581 564 558

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 0.8884 6.8815 0 2 0.724491 5.6119 0 3 0.614834 4.7625 6e-06 4 0.572351 4.4334 2e-05 5 0.576027 4.4619 1.8e-05 6 0.56586 4.3831 2.4e-05 7 0.508864 3.9416 0.000107 8 0.4132 3.2006 0.001097 9 0.352172 2.7279 0.004174 10 0.349085 2.704 0.00445 11 0.400334 3.101 0.001469 12 0.410441 3.1793 0.001168 13 0.268581 2.0804 0.020883 14 0.098194 0.7606 0.224936 15 -0.019332 -0.1497 0.440734 16 -0.073801 -0.5717 0.284844 17 -0.085607 -0.6631 0.254901 18 -0.106471 -0.8247 0.206398 19 -0.159959 -1.239 0.110078 20 -0.243602 -1.8869 0.032005 21 -0.292432 -2.2652 0.013563 22 -0.289211 -2.2402 0.014396 23 -0.23785 -1.8424 0.035181 24 -0.215635 -1.6703 0.050035 25 -0.295867 -2.2918 0.012722 26 -0.391813 -3.035 0.001777 27 -0.437655 -3.3901 0.00062 28 -0.433817 -3.3603 0.000679 29 -0.401522 -3.1102 0.00143 30 -0.371411 -2.8769 0.002777 31 -0.356623 -2.7624 0.003803 32 -0.370571 -2.8704 0.002827 33 -0.361048 -2.7967 0.003464 34 -0.310675 -2.4065 0.009602 35 -0.238869 -1.8503 0.0346 36 -0.191277 -1.4816 0.071837 37 -0.209873 -1.6257 0.054631 38 -0.241318 -1.8692 0.033236 39 -0.245769 -1.9037 0.030873 40 -0.21615 -1.6743 0.04964 41 -0.172678 -1.3376 0.093044 42 -0.125959 -0.9757 0.166572 43 -0.092716 -0.7182 0.237718 44 -0.086057 -0.6666 0.253793 45 -0.073873 -0.5722 0.284656 46 -0.043732 -0.3387 0.367991 47 -0.00207 -0.016 0.493631 48 0.027056 0.2096 0.417354 49 0.018829 0.1459 0.442264 50 -0.001135 -0.0088 0.496508 51 -0.009998 -0.0774 0.469263 52 -0.003633 -0.0281 0.488822 53 0.008471 0.0656 0.473952 54 0.026306 0.2038 0.419612 55 0.038607 0.299 0.382969 56 0.028996 0.2246 0.411525 57 0.013846 0.1073 0.457474 58 0.004143 0.0321 0.487253 59 0.000923 0.0072 0.497159 60 NA NA NA Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.8884 6.8815 0 2 -0.30731 -2.3804 0.010243 3 0.243201 1.8838 0.032218 4 0.131126 1.0157 0.156926 5 0.150575 1.1664 0.124044 6 -0.06308 -0.4886 0.313448 7 -0.087407 -0.6771 0.250487 8 -0.116957 -0.9059 0.184294 9 0.160369 1.2422 0.109496 10 0.060678 0.47 0.320027 11 0.208576 1.6156 0.055711 12 -0.251267 -1.9463 0.028153 13 -0.591153 -4.5791 1.2e-05 14 0.139901 1.0837 0.141423 15 -0.044175 -0.3422 0.366707 16 -0.082816 -0.6415 0.261825 17 -0.078253 -0.6061 0.273351 18 -0.125042 -0.9686 0.168323 19 0.120163 0.9308 0.17785 20 0.021375 0.1656 0.434526 21 -0.005742 -0.0445 0.482335 22 -0.039177 -0.3035 0.381295 23 -0.003528 -0.0273 0.489143 24 0.058906 0.4563 0.324916 25 0.022536 0.1746 0.431006 26 -0.054239 -0.4201 0.337946 27 0.055163 0.4273 0.335349 28 -0.082353 -0.6379 0.262983 29 0.008529 0.0661 0.473773 30 0.060583 0.4693 0.320286 31 0.077393 0.5995 0.275554 32 -0.069183 -0.5359 0.297008 33 -0.000874 -0.0068 0.49731 34 0.015522 0.1202 0.452349 35 -0.089908 -0.6964 0.244427 36 0.064932 0.503 0.308418 37 0.008299 0.0643 0.47448 38 -0.103328 -0.8004 0.213326 39 -0.078585 -0.6087 0.272506 40 0.026174 0.2027 0.420011 41 -0.002994 -0.0232 0.490786 42 0.054171 0.4196 0.338136 43 -0.131894 -1.0216 0.155524 44 0.026037 0.2017 0.420422 45 -0.079184 -0.6134 0.270979 46 -0.033367 -0.2585 0.398469 47 0.088683 0.6869 0.247386 48 -0.063796 -0.4942 0.3115 49 0.008123 0.0629 0.475019 50 -0.010268 -0.0795 0.468435 51 -0.026336 -0.204 0.419521 52 0.020331 0.1575 0.437698 53 -0.002394 -0.0185 0.492633 54 -0.079605 -0.6166 0.269909 55 -0.001411 -0.0109 0.495658 56 -0.045393 -0.3516 0.36318 57 -0.003857 -0.0299 0.488133 58 -0.040469 -0.3135 0.377505 59 -0.072335 -0.5603 0.288679 60 NA NA NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260707742wimves5xmoaqs84/12wig1260707702.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/13/t1260707742wimves5xmoaqs84/12wig1260707702.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/13/t1260707742wimves5xmoaqs84/2xptm1260707702.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/13/t1260707742wimves5xmoaqs84/2xptm1260707702.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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')

Copyright

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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