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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: Tue, 24 Nov 2009 09:55:29 -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/24/t12590817752q9683gwils8skt.htm/, Retrieved Tue, 24 Nov 2009 17:56:17 +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/24/t12590817752q9683gwils8skt.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 «

116222 110924 103753 99983 93302 91496 119321 139261 133739 123913 113438 109416 109406 105645 101328 97686 93093 91382 122257 139183 139887 131822 116805 113706 113012 110452 107005 102841 98173 98181 137277 147579 146571 138920 130340 128140 127059 122860 117702 113537 108366 111078 150739 159129 157928 147768 137507 136919 136151 133001 125554 119647 114158 116193 152803 161761 160942 149470 139208 134588 130322 126611 122401 117352 112135 112879 148729 157230 157221 146681 136524 132111

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	-0.055239	-0.4243	0.336445
2	-0.1434	-1.1015	0.137582
3	-0.167081	-1.2834	0.10219
4	0.073519	0.5647	0.287206
5	0.150495	1.156	0.126176
6	0.104926	0.806	0.211753
7	0.151432	1.1632	0.124721
8	-0.100172	-0.7694	0.222352
9	0.14035	1.0781	0.142699
10	0.009667	0.0743	0.470531
11	-0.172619	-1.3259	0.09499
12	0.013839	0.1063	0.457853
13	0.005347	0.0411	0.48369
14	0.271417	2.0848	0.020712
15	-0.005054	-0.0388	0.484582
16	0.027471	0.211	0.416804
17	-0.071378	-0.5483	0.29279
18	-0.077294	-0.5937	0.277489
19	-0.015783	-0.1212	0.451959
20	-0.035551	-0.2731	0.392876
21	0.129133	0.9919	0.162651
22	0.033475	0.2571	0.398988
23	0.031723	0.2437	0.404167
24	-0.114735	-0.8813	0.190867
25	-0.206075	-1.5829	0.059396
26	-0.054129	-0.4158	0.339543
27	0.01265	0.0972	0.461461
28	0.17118	1.3149	0.096823
29	0.004586	0.0352	0.486008
30	-0.1657	-1.2728	0.104047
31	-0.145386	-1.1167	0.134319
32	0.039094	0.3003	0.382507
33	-0.010139	-0.0779	0.469093
34	-0.030159	-0.2317	0.408803
35	0.04119	0.3164	0.376413
36	-0.063998	-0.4916	0.312422

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.055239	-0.4243	0.336445
2	-0.146899	-1.1284	0.131869
3	-0.188921	-1.4511	0.07602
4	0.026662	0.2048	0.419218
5	0.11247	0.8639	0.195571
6	0.119957	0.9214	0.180295
7	0.248104	1.9057	0.030781
8	0.018865	0.1449	0.44264
9	0.24086	1.8501	0.034656
10	0.081966	0.6296	0.265697
11	-0.22016	-1.6911	0.048049
12	-0.050463	-0.3876	0.349848
13	-0.173427	-1.3321	0.093973
14	0.116185	0.8924	0.187892
15	0.03309	0.2542	0.400125
16	0.099795	0.7665	0.223206
17	0.155749	1.1963	0.118177
18	-0.006826	-0.0524	0.479182
19	-0.110043	-0.8453	0.20069
20	-0.144616	-1.1108	0.135577
21	-0.121254	-0.9314	0.177729
22	-0.049496	-0.3802	0.352585
23	-0.019713	-0.1514	0.440081
24	-0.025195	-0.1935	0.423606
25	-0.067481	-0.5183	0.303082
26	-0.101225	-0.7775	0.219978
27	-0.063591	-0.4885	0.313519
28	0.039151	0.3007	0.38234
29	0.052398	0.4025	0.344394
30	-0.130894	-1.0054	0.1594
31	-0.10229	-0.7857	0.217593
32	0.090387	0.6943	0.245118
33	-0.035374	-0.2717	0.393394
34	0.06239	0.4792	0.316775
35	0.094524	0.7261	0.235338
36	-0.059178	-0.4546	0.32555

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/24/t12590817752q9683gwils8skt/1j61r1259081728.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t12590817752q9683gwils8skt/1j61r1259081728.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t12590817752q9683gwils8skt/2rduk1259081728.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t12590817752q9683gwils8skt/2rduk1259081728.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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