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deel1 D=1

*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: Tue, 15 Dec 2009 13:01:45 -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/15/t1260907344faswst8i54rxbbv.htm/, Retrieved Tue, 15 Dec 2009 21:02:26 +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/15/t1260907344faswst8i54rxbbv.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 «

627 696 825 677 656 785 412 352 839 729 696 641 695 638 762 635 721 854 418 367 824 687 601 676 740 691 683 594 729 731 386 331 707 715 657 653 642 643 718 654 632 731 392 344 792 852 649 629 685 617 715 715 629 916 531 357 917 828 708 858 775 785 1006 789 734 906 532 387 991 841

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	0.432801	3.2961	0.000838
2	0.218947	1.6675	0.050408
3	0.228143	1.7375	0.043804
4	0.125487	0.9557	0.1716
5	0.317488	2.4179	0.009386
6	0.269265	2.0507	0.022414
7	0.159606	1.2155	0.114545
8	0.325716	2.4806	0.00802
9	0.289088	2.2016	0.015841
10	0.174248	1.327	0.094849
11	0.137144	1.0445	0.150304
12	-0.095574	-0.7279	0.234811
13	-0.063177	-0.4811	0.316114
14	0.056698	0.4318	0.333745
15	0.056488	0.4302	0.334323
16	0.052314	0.3984	0.345893
17	0.042127	0.3208	0.374745
18	-0.01853	-0.1411	0.444132
19	-0.054033	-0.4115	0.341111
20	0.03981	0.3032	0.381418
21	-0.071795	-0.5468	0.293317
22	-0.157764	-1.2015	0.117221
23	-0.162336	-1.2363	0.110663
24	-0.25214	-1.9202	0.029875
25	-0.143935	-1.0962	0.138765
26	-0.100827	-0.7679	0.222837
27	-0.167324	-1.2743	0.103819
28	-0.124997	-0.952	0.172536
29	-0.106652	-0.8122	0.209988
30	-0.213134	-1.6232	0.054987
31	-0.213918	-1.6292	0.05435
32	-0.302277	-2.3021	0.01247
33	-0.191729	-1.4602	0.07482
34	-0.078277	-0.5961	0.276701
35	-0.078331	-0.5965	0.276565
36	-0.047025	-0.3581	0.360772
37	-0.044216	-0.3367	0.368765
38	-0.076974	-0.5862	0.280002
39	-0.101464	-0.7727	0.221411
40	-0.164052	-1.2494	0.108271
41	-0.136292	-1.038	0.151796
42	-0.007658	-0.0583	0.476846
43	0.018267	0.1391	0.444921
44	-0.000816	-0.0062	0.497532
45	-0.03951	-0.3009	0.382285
46	-0.070053	-0.5335	0.29786
47	-0.045559	-0.347	0.364937
48	-0.060577	-0.4613	0.323139
49	-0.053038	-0.4039	0.343876
50	0.005385	0.041	0.483715
51	0.004744	0.0361	0.485652
52	0.014338	0.1092	0.456713
53	-0.015728	-0.1198	0.452536
54	-0.017399	-0.1325	0.447521
55	0.004661	0.0355	0.485904
56	0.006122	0.0466	0.481487
57	-0.001776	-0.0135	0.494627
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.432801	3.2961	0.000838
2	0.038922	0.2964	0.383985
3	0.148161	1.1284	0.131907
4	-0.034332	-0.2615	0.397331
5	0.315465	2.4025	0.009752
6	0.006043	0.046	0.481726
7	0.019766	0.1505	0.440434
8	0.233089	1.7752	0.04056
9	0.085699	0.6527	0.258275
10	-0.070773	-0.539	0.295978
11	-0.050391	-0.3838	0.351276
12	-0.250348	-1.9066	0.030766
13	-0.098203	-0.7479	0.228774
14	-0.040549	-0.3088	0.379284
15	0.038128	0.2904	0.386284
16	-0.081923	-0.6239	0.267567
17	0.066674	0.5078	0.30677
18	0.001568	0.0119	0.495258
19	-0.061575	-0.4689	0.320434
20	0.213153	1.6233	0.054971
21	-0.036097	-0.2749	0.392182
22	-0.130658	-0.9951	0.161919
23	-0.126955	-0.9669	0.168814
24	-0.237355	-1.8076	0.037924
25	-0.111384	-0.8483	0.199887
26	-0.066756	-0.5084	0.306551
27	0.025429	0.1937	0.42356
28	-0.011119	-0.0847	0.466403
29	0.149508	1.1386	0.129772
30	-0.012059	-0.0918	0.463572
31	-0.026687	-0.2032	0.41983
32	-0.000875	-0.0067	0.497352
33	0.197633	1.5051	0.068859
34	-0.036584	-0.2786	0.390766
35	0.029812	0.227	0.410595
36	-0.061619	-0.4693	0.320315
37	-0.018042	-0.1374	0.445595
38	-0.060771	-0.4628	0.322613
39	0.021022	0.1601	0.43668
40	-0.139592	-1.0631	0.146071
41	0.039631	0.3018	0.381933
42	0.087396	0.6656	0.254156
43	-0.012274	-0.0935	0.462923
44	-0.042774	-0.3258	0.372891
45	0.046103	0.3511	0.363388
46	-0.078714	-0.5995	0.275597
47	-0.032568	-0.248	0.402493
48	-0.062107	-0.473	0.318996
49	-0.028715	-0.2187	0.413831
50	0.007622	0.058	0.476957
51	0.004735	0.0361	0.485677
52	-0.021492	-0.1637	0.435276
53	-0.085096	-0.6481	0.259749
54	0.03969	0.3023	0.381764
55	-0.008965	-0.0683	0.4729
56	-0.052141	-0.3971	0.346377
57	0.027013	0.2057	0.418864
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260907344faswst8i54rxbbv/1diq61260907301.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260907344faswst8i54rxbbv/1diq61260907301.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260907344faswst8i54rxbbv/2h3hm1260907301.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260907344faswst8i54rxbbv/2h3hm1260907301.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -0.5 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = -0.5 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; 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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