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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, 27 Nov 2009 04:51:56 -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/27/t1259322757lfe6irb2mkmdbvx.htm/, Retrieved Fri, 27 Nov 2009 12:52:39 +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/27/t1259322757lfe6irb2mkmdbvx.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 «

3.75 3.75 3.55 3.5 3.5 3.1 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3.21 3.25 3.25 3.45 3.5 3.5 3.64 3.75 3.93 4 4.17 4.25 4.39 4.5 4.5 4.65 4.75 4.75 4.9 5 5 5 5 5 5 5 5 5 5 5 5 5.18 5.25 5.25 4.49 3.92 3.25

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	0.526178	4.0417	7.8e-05
2	0.332253	2.5521	0.006659
3	0.114257	0.8776	0.191854
4	0.074005	0.5684	0.285947
5	0.082081	0.6305	0.26541
6	0.139566	1.072	0.144037
7	0.137776	1.0583	0.147121
8	0.127497	0.9793	0.165709
9	0.086671	0.6657	0.254087
10	0.11418	0.877	0.192013
11	0.084577	0.6496	0.259221
12	0.090123	0.6922	0.245748
13	0.093336	0.7169	0.238123
14	0.09358	0.7188	0.237551
15	0.05524	0.4243	0.336442
16	0.031552	0.2424	0.404673
17	-0.049192	-0.3779	0.353448
18	-0.002293	-0.0176	0.493002
19	-0.035413	-0.272	0.393281
20	-0.042159	-0.3238	0.373605
21	0.023535	0.1808	0.428581
22	-0.014666	-0.1127	0.455343
23	-0.031106	-0.2389	0.405995
24	-0.040483	-0.311	0.378465
25	-0.075911	-0.5831	0.281029
26	-0.105746	-0.8122	0.209957
27	-0.111884	-0.8594	0.196801
28	-0.096078	-0.738	0.231723
29	-0.045436	-0.349	0.364166
30	-0.087833	-0.6747	0.251265
31	-0.057709	-0.4433	0.329594
32	-0.074267	-0.5705	0.285268
33	-0.109911	-0.8442	0.200973
34	-0.090967	-0.6987	0.243732
35	-0.090292	-0.6935	0.245343
36	-0.089956	-0.691	0.24615

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.526178	4.0417	7.8e-05
2	0.076596	0.5883	0.279273
3	-0.121686	-0.9347	0.176879
4	0.051339	0.3943	0.347376
5	0.073791	0.5668	0.2865
6	0.089233	0.6854	0.247884
7	0.016517	0.1269	0.449738
8	0.01932	0.1484	0.441267
9	0.002115	0.0162	0.493547
10	0.082333	0.6324	0.26478
11	-0.010622	-0.0816	0.467624
12	0.014444	0.1109	0.456017
13	0.040918	0.3143	0.377201
14	0.018128	0.1392	0.444867
15	-0.032075	-0.2464	0.403125
16	-0.016565	-0.1272	0.449592
17	-0.093205	-0.7159	0.238431
18	0.064271	0.4937	0.311685
19	-0.053526	-0.4111	0.34123
20	-0.065913	-0.5063	0.307272
21	0.101387	0.7788	0.219614
22	-0.070242	-0.5395	0.295772
23	-0.038825	-0.2982	0.383291
24	0.007413	0.0569	0.477391
25	-0.057856	-0.4444	0.329189
26	-0.06239	-0.4792	0.316774
27	-0.01349	-0.1036	0.458911
28	-0.021884	-0.1681	0.433541
29	0.045247	0.3475	0.364708
30	-0.076994	-0.5914	0.278256
31	0.013926	0.107	0.45759
32	0.001218	0.0094	0.496283
33	-0.069324	-0.5325	0.298193
34	0.008371	0.0643	0.474475
35	-0.005445	-0.0418	0.483389
36	-0.036889	-0.2833	0.388951

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259322757lfe6irb2mkmdbvx/147b71259322714.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259322757lfe6irb2mkmdbvx/147b71259322714.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259322757lfe6irb2mkmdbvx/2aldv1259322714.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259322757lfe6irb2mkmdbvx/2aldv1259322714.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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