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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, 18 Dec 2009 07:18:09 -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/18/t1261146254lbdwidgdf7m47dy.htm/, Retrieved Fri, 18 Dec 2009 15:24:16 +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/18/t1261146254lbdwidgdf7m47dy.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 «

8.4 8.4 8.4 8.6 8.9 8.8 8.3 7.5 7.2 7.4 8.8 9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.5 8.2 8.1 7.9 8.6 8.7 8.7 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8.00 8.2 8.1 8.1 8.00 7.9 7.9 8.00 8.00 7.9 8.00 7.7 7.2 7.5 7.3 7.00 7.00 7.00 7.2 7.3 7.1 6.8 6.4 6.1 6.5 7.7 7.9 7.5 6.9 6.6 6.9 7.7 8.00 8.00 7.7 7.3 7.4 8.1 8.3 8.2

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	0.193798	1.3286	0.095195
2	-0.203546	-1.3954	0.084721
3	-0.268131	-1.8382	0.036177
4	-0.37054	-2.5403	0.00722
5	-0.115277	-0.7903	0.216662
6	-0.024388	-0.1672	0.433967
7	0.265553	1.8205	0.037524
8	0.330601	2.2665	0.014033
9	-0.077519	-0.5314	0.298807
10	0.001085	0.0074	0.497048
11	-0.039578	-0.2713	0.393661
12	-0.305457	-2.0941	0.020835
13	-0.023361	-0.1602	0.436722
14	0.073864	0.5064	0.307477
15	0.122856	0.8423	0.201955
16	0.075706	0.519	0.303094
17	-0.045755	-0.3137	0.377576
18	0.092634	0.6351	0.264233
19	-0.164667	-1.1289	0.132334
20	-0.092248	-0.6324	0.265088
21	0.128921	0.8838	0.190642
22	-0.027712	-0.19	0.425069
23	0.01115	0.0764	0.469695
24	0.008332	0.0571	0.477345
25	0.06948	0.4763	0.318024
26	0.065799	0.4511	0.326997
27	-0.099972	-0.6854	0.248238
28	-0.089342	-0.6125	0.271581
29	-0.063022	-0.4321	0.333838
30	-0.085689	-0.5875	0.279855
31	0.127118	0.8715	0.193963
32	0.143782	0.9857	0.164659
33	0.047925	0.3286	0.371975
34	0.032715	0.2243	0.411756
35	-0.126828	-0.8695	0.1945
36	-0.105034	-0.7201	0.237522

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.193798	1.3286	0.095195
2	-0.250512	-1.7174	0.046242
3	-0.188743	-1.294	0.101002
4	-0.371694	-2.5482	0.007078
5	-0.127956	-0.8772	0.192413
6	-0.289471	-1.9845	0.026527
7	0.094929	0.6508	0.259172
8	0.048463	0.3322	0.370591
9	-0.203088	-1.3923	0.085192
10	0.149577	1.0254	0.1552
11	0.069492	0.4764	0.317994
12	-0.244454	-1.6759	0.0502
13	0.128118	0.8783	0.192115
14	0.010433	0.0715	0.471642
15	-0.075216	-0.5157	0.304256
16	-0.025883	-0.1774	0.429961
17	0.025292	0.1734	0.431543
18	-0.004715	-0.0323	0.487175
19	-0.150769	-1.0336	0.153302
20	0.161425	1.1067	0.137034
21	-0.034257	-0.2349	0.40767
22	-0.088579	-0.6073	0.273298
23	0.07656	0.5249	0.301071
24	-0.058359	-0.4001	0.345451
25	0.076577	0.525	0.30103
26	0.078783	0.5401	0.295835
27	0.027119	0.1859	0.426655
28	-0.206044	-1.4126	0.082186
29	-0.002253	-0.0154	0.493871
30	0.012874	0.0883	0.465023
31	-0.108982	-0.7471	0.229349
32	0.067504	0.4628	0.322827
33	0.018014	0.1235	0.45112
34	-0.028625	-0.1962	0.422633
35	-0.033405	-0.229	0.409926
36	0.009928	0.0681	0.473011

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/18/t1261146254lbdwidgdf7m47dy/17jri1261145887.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/18/t1261146254lbdwidgdf7m47dy/17jri1261145887.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/18/t1261146254lbdwidgdf7m47dy/2wj7e1261145887.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/18/t1261146254lbdwidgdf7m47dy/2wj7e1261145887.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 2 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 2 ; 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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