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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 05:17:00 -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/t1259324267nc6isaxlmg9gecf.htm/, Retrieved Fri, 27 Nov 2009 13:17:49 +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/t1259324267nc6isaxlmg9gecf.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 «

8,2 8,3 8,1 7,4 7,3 7,7 8 8 7,7 6,9 6,6 6,9 7,5 7,9 7,7 6,5 6,1 6,4 6,8 7,1 7,3 7,2 7 7 7 7,3 7,5 7,2 7,7 8 7,9 8 8 7,9 7,9 8 8,1 8,1 8,2 8 8,3 8,5 8,6 8,7 8,7 8,5 8,4 8,5 8,7 8,7 8,6 7,9 8,1 8,2 8,5 8,6 8,5 8,3 8,2 8,7

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	0.531832	3.1464	0.001684
2	-0.082924	-0.4906	0.313392
3	-0.415977	-2.461	0.009467
4	-0.483178	-2.8585	0.003562
5	-0.267771	-1.5842	0.061077
6	0.031121	0.1841	0.427494
7	0.329861	1.9515	0.029519
8	0.351881	2.0818	0.022372
9	0.087517	0.5178	0.303942
10	-0.088984	-0.5264	0.300953
11	-0.25069	-1.4831	0.073498
12	-0.317288	-1.8771	0.03443
13	-0.144604	-0.8555	0.19905
14	0.08907	0.5269	0.300778
15	0.173891	1.0288	0.155326
16	0.098085	0.5803	0.282722
17	0.008087	0.0478	0.481055
18	-0.037375	-0.2211	0.413145
19	-0.106237	-0.6285	0.266876
20	-0.038324	-0.2267	0.410978
21	0.059179	0.3501	0.364179
22	0.027605	0.1633	0.435605
23	-0.032199	-0.1905	0.425012
24	-0.073434	-0.4344	0.333317
25	-0.011107	-0.0657	0.473992
26	-0.005845	-0.0346	0.486307
27	-0.044061	-0.2607	0.397939
28	-0.035779	-0.2117	0.416796
29	-0.022365	-0.1323	0.447748
30	0.032415	0.1918	0.424516
31	0.07874	0.4658	0.322112
32	0.062263	0.3684	0.357415
33	0.013479	0.0797	0.468448
34	-0.016887	-0.0999	0.460496
35	NA	NA	NA
36	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.531832	3.1464	0.001684
2	-0.510028	-3.0174	0.002365
3	-0.147253	-0.8712	0.194802
4	-0.259161	-1.5332	0.067107
5	0.003292	0.0195	0.492285
6	-0.057589	-0.3407	0.367682
7	0.223406	1.3217	0.097423
8	-0.110745	-0.6552	0.258319
9	-0.066046	-0.3907	0.349182
10	0.130722	0.7734	0.22225
11	-0.21191	-1.2537	0.109135
12	-0.083434	-0.4936	0.312336
13	0.041665	0.2465	0.403369
14	-0.033655	-0.1991	0.421667
15	-0.182263	-1.0783	0.144142
16	-0.000125	-7e-04	0.499706
17	-0.032995	-0.1952	0.423181
18	-0.027329	-0.1617	0.436245
19	-0.024017	-0.1421	0.443913
20	0.129663	0.7671	0.224085
21	-0.117534	-0.6953	0.245717
22	-0.063542	-0.3759	0.354623
23	-0.012389	-0.0733	0.470994
24	-0.126983	-0.7512	0.228764
25	0.078238	0.4629	0.323165
26	-0.146532	-0.8669	0.195952
27	-0.095652	-0.5659	0.287541
28	-0.185452	-1.0972	0.140034
29	0.080541	0.4765	0.318344
30	-0.032069	-0.1897	0.42531
31	-0.012524	-0.0741	0.470679
32	-0.009051	-0.0535	0.4788
33	-0.043441	-0.257	0.399341
34	0.041717	0.2468	0.403253
35	NA	NA	NA
36	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259324267nc6isaxlmg9gecf/1rrre1259324219.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259324267nc6isaxlmg9gecf/1rrre1259324219.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259324267nc6isaxlmg9gecf/2mvbv1259324219.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259324267nc6isaxlmg9gecf/2mvbv1259324219.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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