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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: Mon, 23 Nov 2009 08:17:11 -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/Nov/23/t1258989510sf9mghbjpnc6uyj.htm/, Retrieved Mon, 23 Nov 2009 16:18:32 +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/Nov/23/t1258989510sf9mghbjpnc6uyj.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 «

100.03 100.25 99.6 100.16 100.49 99.72 100.14 98.48 100.38 101.45 98.42 98.6 100.06 98.62 100.84 100.02 97.95 98.32 98.27 97.22 99.28 100.38 99.02 100.32 99.81 100.6 101.19 100.47 101.77 102.32 102.39 101.16 100.63 101.48 101.44 100.09 100.7 100.78 99.81 98.45 98.49 97.48 97.91 96.94 98.53 96.82 95.76 95.27 97.32 96.68 97.87 97.42 97.94 99.52 100.99 99.92 101.97 101.58 99.54 100.83

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	0.725807	5.6221	0
2	0.625547	4.8455	5e-06
3	0.596348	4.6193	1e-05
4	0.417445	3.2335	0.000995
5	0.320893	2.4856	0.007868
6	0.248709	1.9265	0.029392
7	0.018108	0.1403	0.44446
8	-0.043589	-0.3376	0.368407
9	-0.176874	-1.3701	0.087887
10	-0.347458	-2.6914	0.004603
11	-0.360101	-2.7893	0.003534
12	-0.388125	-3.0064	0.001928
13	-0.469332	-3.6354	0.000289
14	-0.448462	-3.4738	0.000479
15	-0.447588	-3.467	0.00049
16	-0.432133	-3.3473	0.000707
17	-0.397276	-3.0773	0.001573
18	-0.3881	-3.0062	0.001929
19	-0.265184	-2.0541	0.022165
20	-0.168842	-1.3078	0.097957
21	-0.116318	-0.901	0.185597
22	-0.036218	-0.2805	0.390014
23	0.027656	0.2142	0.415549
24	0.095076	0.7365	0.232163
25	0.149965	1.1616	0.124994
26	0.161884	1.2539	0.107362
27	0.214129	1.6586	0.051205
28	0.257486	1.9945	0.025324
29	0.233882	1.8116	0.037524
30	0.223573	1.7318	0.044225
31	0.157861	1.2228	0.113096
32	0.106834	0.8275	0.205607
33	0.108158	0.8378	0.202737
34	0.044493	0.3446	0.365784
35	0.004945	0.0383	0.484785
36	0.017377	0.1346	0.446689

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.725807	5.6221	0
2	0.208688	1.6165	0.055618
3	0.189141	1.4651	0.07406
4	-0.232337	-1.7997	0.03847
5	-0.05252	-0.4068	0.342794
6	-0.043183	-0.3345	0.369587
7	-0.335534	-2.599	0.005874
8	0.021539	0.1668	0.434029
9	-0.228031	-1.7663	0.041214
10	-0.147491	-1.1425	0.128901
11	0.0232	0.1797	0.428993
12	0.05038	0.3902	0.34887
13	-0.033028	-0.2558	0.399476
14	-0.075156	-0.5822	0.28132
15	0.012605	0.0976	0.461272
16	-0.01148	-0.0889	0.464719
17	-0.147971	-1.1462	0.128136
18	-0.120499	-0.9334	0.177183
19	0.175935	1.3628	0.089021
20	0.001879	0.0146	0.494217
21	0.016843	0.1305	0.448317
22	-0.029715	-0.2302	0.409371
23	-0.02274	-0.1761	0.430389
24	0.029432	0.228	0.41022
25	-0.11527	-0.8929	0.187744
26	-0.026857	-0.208	0.417955
27	-0.020019	-0.1551	0.438643
28	0.032604	0.2525	0.40074
29	0.020764	0.1608	0.43638
30	-0.021595	-0.1673	0.433858
31	-0.195622	-1.5153	0.067476
32	-0.0555	-0.4299	0.334405
33	0.078807	0.6104	0.271939
34	-0.04069	-0.3152	0.376858
35	-0.0202	-0.1565	0.438095
36	0.0528	0.409	0.342001

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/23/t1258989510sf9mghbjpnc6uyj/16vaq1258989429.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/23/t1258989510sf9mghbjpnc6uyj/16vaq1258989429.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/23/t1258989510sf9mghbjpnc6uyj/2h7331258989429.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/23/t1258989510sf9mghbjpnc6uyj/2h7331258989429.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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