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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: Thu, 17 Dec 2009 02:33:58 -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/17/t1261042518alvrhzndlbk2oyn.htm/, Retrieved Thu, 17 Dec 2009 10:35:20 +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/17/t1261042518alvrhzndlbk2oyn.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 «

43.9 51 51.9 54.3 50.3 57.2 48.8 41.1 58 63 53.8 54.7 55.5 56.1 69.6 69.4 57.2 68 53.3 47.9 60.8 61.7 57.8 51.4 50.5 48.1 58.7 54 56.1 60.4 51.2 50.7 56.4 53.3 52.6 47.7 49.5 48.5 55.3 49.8 57.4 64.6 53 41.5 55.9 58.4 53.5 50.6 58.5 49.1 61.1 52.3 58.4 65.5 61.7 45.1 52.1 59.3 57.9 45 64.9 63.8 69.4 71.1 62.9 73.5 62.7 51.9 73.3 66.7 62.5 70.3

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	0.336279	2.8534	0.002822
2	0.140395	1.1913	0.118725
3	0.31226	2.6496	0.00495
4	0.178899	1.518	0.066696
5	0.147325	1.2501	0.107657
6	0.244711	2.0764	0.020712
7	0.094874	0.805	0.211725
8	0.127832	1.0847	0.140838
9	0.012705	0.1078	0.457224
10	-0.119315	-1.0124	0.157363
11	-0.013849	-0.1175	0.453389
12	0.241256	2.0471	0.022148
13	-0.034934	-0.2964	0.383879
14	-0.190145	-1.6134	0.055513
15	-0.079995	-0.6788	0.249728
16	-0.034972	-0.2967	0.383758
17	-0.070609	-0.5991	0.275481
18	0.02092	0.1775	0.429803
19	-0.050336	-0.4271	0.335285
20	-0.044937	-0.3813	0.352051
21	-0.056887	-0.4827	0.315385
22	-0.194677	-1.6519	0.051456
23	-0.04881	-0.4142	0.339992
24	0.133422	1.1321	0.130669
25	-0.073982	-0.6278	0.266073
26	-0.172894	-1.4671	0.073358
27	-0.06562	-0.5568	0.289695
28	-0.120637	-1.0236	0.154717
29	-0.143976	-1.2217	0.112908
30	-0.018543	-0.1573	0.437706
31	-0.015243	-0.1293	0.448725
32	-0.046742	-0.3966	0.34641
33	-0.031128	-0.2641	0.396218
34	-0.153001	-1.2983	0.099171
35	-0.082069	-0.6964	0.244218
36	0.110743	0.9397	0.17526

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.336279	2.8534	0.002822
2	0.030794	0.2613	0.397305
3	0.28908	2.4529	0.008297
4	-0.010346	-0.0878	0.465143
5	0.089314	0.7579	0.225505
6	0.11908	1.0104	0.157836
7	-0.067815	-0.5754	0.283399
8	0.088762	0.7532	0.226903
9	-0.188177	-1.5967	0.057352
10	-0.125797	-1.0674	0.144674
11	-0.015015	-0.1274	0.449487
12	0.312318	2.6501	0.004943
13	-0.166502	-1.4128	0.081009
14	-0.187382	-1.59	0.05811
15	-0.075824	-0.6434	0.261008
16	0.108345	0.9193	0.180495
17	0.050947	0.4323	0.333406
18	0.02289	0.1942	0.423274
19	-0.080739	-0.6851	0.247742
20	-0.038594	-0.3275	0.372126
21	0.056994	0.4836	0.315066
22	-0.099445	-0.8438	0.200782
23	0.064261	0.5453	0.293626
24	-0.021779	-0.1848	0.426952
25	-0.031547	-0.2677	0.394853
26	-0.081864	-0.6946	0.244758
27	0.029375	0.2493	0.401936
28	-0.121101	-1.0276	0.153794
29	-0.083995	-0.7127	0.23916
30	0.06843	0.5806	0.281647
31	0.092919	0.7884	0.216512
32	0.011648	0.0988	0.460773
33	-0.012692	-0.1077	0.457269
34	-0.069144	-0.5867	0.279619
35	-0.052218	-0.4431	0.329515
36	0.093389	0.7924	0.215355

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261042518alvrhzndlbk2oyn/1qpdq1261042434.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261042518alvrhzndlbk2oyn/1qpdq1261042434.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261042518alvrhzndlbk2oyn/250001261042434.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261042518alvrhzndlbk2oyn/250001261042434.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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