*Unverified author*

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 15:48:39 -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/t1261090158uaspbbvi6h78k1l.htm/, Retrieved Thu, 17 Dec 2009 23:49:20 +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/t1261090158uaspbbvi6h78k1l.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 «

0.8 1.1 1.3 1.2 1.3 1.1 1.3 1.2 1.6 1.7 1.5 0.9 1.5 1.4 1.6 1.7 1.4 1.8 1.7 1.4 1.2 1 1.7 2.4 2 2.1 2 1.8 2.7 2.3 1.9 2 2.3 2.8 2.4 2.3 2.7 2.7 2.9 3 2.2 2.3 2.8 2.8 2.8 2.2 2.6 2.8 2.5 2.4 2.3 1.9 1.7 2 2.1 1.7 1.8 1.8 1.8 1.3 1.3 1.3 1.2 1.4 2.2 2.9 3.1 3.5 3.6 4.4 4.1 5.1 5.8 5.9 5.4 5.5 4.8 3.2 2.7 2.1 1.9 0.6 0.7 -0.2 -1 -1.7 -0.7

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 0.902878 8.4215 0 2 0.769544 7.1778 0 3 0.636006 5.9323 0 4 0.49861 4.6507 6e-06 5 0.350354 3.2679 0.000776 6 0.189636 1.7688 0.040216 7 0.049006 0.4571 0.324372 8 -0.091879 -0.857 0.196903 9 -0.217783 -2.0313 0.022636 10 -0.308899 -2.8812 0.002494 11 -0.359068 -3.3492 6e-04 12 -0.411102 -3.8345 0.000119 13 -0.396748 -3.7006 0.000188 14 -0.347099 -3.2375 0.000854 15 -0.290454 -2.7092 0.004061 16 -0.247724 -2.3106 0.01161 17 -0.213641 -1.9927 0.024714 18 -0.148044 -1.3809 0.085429 19 -0.092714 -0.8648 0.194769 20 -0.046504 -0.4338 0.332769 21 0.000558 0.0052 0.497928 22 0.037158 0.3466 0.364868 23 0.056777 0.5296 0.298875 24 0.076448 0.7131 0.238857 25 0.085561 0.7981 0.213504 26 0.085172 0.7944 0.214553 27 0.078392 0.7312 0.233313 28 0.074335 0.6933 0.244969 29 0.090686 0.8459 0.199976 30 0.090869 0.8476 0.199501 31 0.07757 0.7235 0.235649 32 0.070916 0.6615 0.255033 33 0.068123 0.6354 0.263415 34 0.058677 0.5473 0.292787 35 0.03651 0.3405 0.367136 36 0.023687 0.2209 0.412831 37 0.012122 0.1131 0.455119 38 0.004129 0.0385 0.484683 39 0.001953 0.0182 0.492755 40 0.005406 0.0504 0.479951 41 -0.008806 -0.0821 0.467364 42 -0.031854 -0.2971 0.383543 43 -0.032323 -0.3015 0.38188 44 -0.036148 -0.3372 0.3684 45 -0.046551 -0.4342 0.332609 46 -0.065438 -0.6104 0.271605 47 -0.075287 -0.7022 0.242205 48 -0.071029 -0.6625 0.254698 49 -0.068976 -0.6434 0.260838 50 -0.07019 -0.6547 0.257197 51 -0.079003 -0.7369 0.231586 52 -0.09243 -0.8621 0.195493 53 -0.103657 -0.9668 0.168151 54 -0.09686 -0.9035 0.184391 55 -0.097707 -0.9113 0.182316 56 -0.102683 -0.9578 0.170419 57 -0.101685 -0.9485 0.172762 58 -0.095797 -0.8935 0.187019 59 -0.084211 -0.7855 0.217156 60 -0.095115 -0.8872 0.188716 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.902878 8.4215 0 2 -0.246985 -2.3037 0.011811 3 -0.042687 -0.3982 0.345746 4 -0.110411 -1.0298 0.152969 5 -0.14701 -1.3712 0.086916 6 -0.167331 -1.5608 0.061105 7 0.001646 0.0154 0.493892 8 -0.18045 -1.6831 0.047968 9 -0.044252 -0.4128 0.340401 10 0.02793 0.2605 0.397543 11 0.053827 0.5021 0.308446 12 -0.201678 -1.8811 0.03165 13 0.348829 3.2537 0.000812 14 -0.060301 -0.5625 0.287627 15 -0.030481 -0.2843 0.388426 16 -0.141575 -1.3205 0.095061 17 -0.025788 -0.2405 0.405242 18 0.018824 0.1756 0.430517 19 -0.023213 -0.2165 0.414547 20 -0.044622 -0.4162 0.339142 21 0.062536 0.5833 0.280601 22 -0.067746 -0.6319 0.264556 23 0.078219 0.7296 0.233804 24 -0.023882 -0.2228 0.412125 25 0.010743 0.1002 0.460206 26 -0.035776 -0.3337 0.369704 27 0.062019 0.5785 0.28222 28 -0.034541 -0.3222 0.374047 29 0.063777 0.5949 0.276737 30 -0.026176 -0.2441 0.403845 31 -0.019102 -0.1782 0.429501 32 0.017116 0.1596 0.436766 33 0.046324 0.4321 0.333377 34 -0.102588 -0.9569 0.170641 35 -0.01636 -0.1526 0.439536 36 0.062375 0.5818 0.281105 37 -0.040969 -0.3821 0.351648 38 0.068616 0.64 0.261924 39 0.04051 0.3779 0.35323 40 -0.006821 -0.0636 0.474709 41 -0.071076 -0.663 0.254555 42 -5e-05 -5e-04 0.499815 43 0.053638 0.5003 0.309063 44 -0.11488 -1.0715 0.143447 45 0.001634 0.0152 0.493937 46 -0.006365 -0.0594 0.476397 47 -0.060516 -0.5645 0.286947 48 0.110065 1.0266 0.153723 49 -0.000404 -0.0038 0.498502 50 -0.032414 -0.3023 0.381557 51 -0.097184 -0.9065 0.183595 52 0.019823 0.1849 0.426872 53 -0.065503 -0.611 0.271406 54 -0.000237 -0.0022 0.499122 55 -0.03744 -0.3492 0.363887 56 0.001347 0.0126 0.495004 57 -0.006693 -0.0624 0.475182 58 -0.007797 -0.0727 0.471095 59 -0.028744 -0.2681 0.394626 60 -0.098122 -0.9152 0.181302

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261090158uaspbbvi6h78k1l/10v7a1261090118.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/17/t1261090158uaspbbvi6h78k1l/10v7a1261090118.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/17/t1261090158uaspbbvi6h78k1l/2qutp1261090118.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/17/t1261090158uaspbbvi6h78k1l/2qutp1261090118.ps (open in new window)

Parameters (Session):

par1 = 12 ; par2 = 0.0 ; par3 = 2 ; par4 = 0 ; par5 = 1 ; par6 = 2 ; par7 = 0 ; par8 = 0 ; par9 = 1 ; par10 = FALSE ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ; par8 = 0 ; par9 = 1 ; par10 = FALSE ;

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')

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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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