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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, 26 Nov 2009 12:15:04 -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/26/t12592630014vbww5yh34ytaxp.htm/, Retrieved Thu, 26 Nov 2009 20:16:43 +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/26/t12592630014vbww5yh34ytaxp.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 «

10872 10625 10407 10463 10556 10646 10702 11353 11346 11451 11964 12574 13031 13812 14544 14931 14886 16005 17064 15168 16050 15839 15137 14954 15648 15305 15579 16348 15928 16171 15937 15713 15594 15683 16438 17032 17696 17745 19394 20148 20108 18584 18441 18391 19178 18079 18483 19644 19195 19650 20830 23595 22937 21814 21928 21777 21383 21467 22052 22680

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	-0.210373	-1.4422	0.077932
2	-0.020828	-0.1428	0.443533
3	0.132596	0.909	0.183985
4	0.23202	1.5906	0.059197
5	-0.238489	-1.635	0.054365
6	-0.072038	-0.4939	0.311849
7	0.177803	1.219	0.114472
8	-0.244304	-1.6749	0.050302
9	-0.051329	-0.3519	0.363244
10	-0.173843	-1.1918	0.11966
11	0.136101	0.9331	0.177779
12	-0.389956	-2.6734	0.005146
13	0.152202	1.0434	0.15104
14	-0.069064	-0.4735	0.319033
15	-0.130021	-0.8914	0.188633
16	0.017714	0.1214	0.451928
17	0.040048	0.2746	0.392432
18	0.072701	0.4984	0.310259
19	-0.076558	-0.5249	0.301076
20	0.288325	1.9767	0.026982
21	-0.144114	-0.988	0.164106
22	0.093991	0.6444	0.261233
23	0.074301	0.5094	0.306434
24	0.039588	0.2714	0.393635
25	-0.135261	-0.9273	0.179253
26	0.135676	0.9302	0.178523
27	0.038698	0.2653	0.39597
28	-0.223623	-1.5331	0.06598
29	0.044499	0.3051	0.380831
30	0.00257	0.0176	0.493009
31	0.057436	0.3938	0.34777
32	-0.218622	-1.4988	0.070307
33	0.108112	0.7412	0.231136
34	0.03699	0.2536	0.400458
35	-0.083878	-0.575	0.284005
36	0.009554	0.0655	0.474028

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.210373	-1.4422	0.077932
2	-0.068099	-0.4669	0.321378
3	0.119403	0.8186	0.208576
4	0.303915	2.0835	0.021333
5	-0.127147	-0.8717	0.193908
6	-0.199539	-1.368	0.088913
7	0.050115	0.3436	0.366351
8	-0.226208	-1.5508	0.063828
9	-0.019283	-0.1322	0.447695
10	-0.243343	-1.6683	0.050955
11	0.028556	0.1958	0.422818
12	-0.28005	-1.9199	0.030474
13	0.07324	0.5021	0.308969
14	-0.071392	-0.4894	0.313403
15	-0.192017	-1.3164	0.097211
16	0.01596	0.1094	0.456669
17	-0.124012	-0.8502	0.199766
18	0.026427	0.1812	0.428505
19	0.031489	0.2159	0.415008
20	0.075933	0.5206	0.302554
21	-0.106924	-0.733	0.233589
22	-0.128485	-0.8808	0.191442
23	0.096582	0.6621	0.255559
24	-0.189767	-1.301	0.099805
25	-0.067286	-0.4613	0.32336
26	0.071919	0.493	0.312137
27	-0.134407	-0.9214	0.180762
28	-0.04055	-0.278	0.391117
29	-0.129364	-0.8869	0.189831
30	-0.035831	-0.2456	0.403514
31	0.069985	0.4798	0.316799
32	-0.053235	-0.365	0.358389
33	-0.067977	-0.466	0.321674
34	-0.022121	-0.1517	0.440055
35	0.012887	0.0883	0.464988
36	-0.030131	-0.2066	0.418619

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592630014vbww5yh34ytaxp/1h32q1259262903.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592630014vbww5yh34ytaxp/1h32q1259262903.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592630014vbww5yh34ytaxp/2adga1259262903.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592630014vbww5yh34ytaxp/2adga1259262903.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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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