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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 06:58:46 -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/t1259330399eobxn9k33uvfnye.htm/, Retrieved Fri, 27 Nov 2009 15:00:02 +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/t1259330399eobxn9k33uvfnye.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 «

5560 3922 3759 4138 4634 3996 4308 4143 4429 5219 4929 5755 5592 4163 4962 5208 4755 4491 5732 5731 5040 6102 4904 5369 5578 4619 4731 5011 5299 4146 4625 4736 4219 5116 4205 4121 5103 4300 4578 3809 5526 4247 3830 4394 4826 4409 4569 4106 4794 3914 3793 4405 4022 4100 4788 3163 3585 3903 4178 3863 4187

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	0 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.388258	2.7178	0.00453
2	0.260445	1.8231	0.037195
3	0.467458	3.2722	0.00098
4	0.335715	2.35	0.011423
5	0.191025	1.3372	0.09367
6	0.170969	1.1968	0.118575
7	0.214939	1.5046	0.069426
8	0.060764	0.4253	0.336222
9	-0.058451	-0.4092	0.342104
10	0.072047	0.5043	0.308146
11	-0.136121	-0.9528	0.172672
12	-0.225324	-1.5773	0.060584
13	-0.039691	-0.2778	0.391153
14	-0.188667	-1.3207	0.096374
15	-0.222335	-1.5563	0.063031
16	-0.184829	-1.2938	0.1009
17	-0.140906	-0.9863	0.164405
18	-0.143165	-1.0022	0.160597
19	-0.067753	-0.4743	0.318708
20	-0.097055	-0.6794	0.250046
21	-0.068969	-0.4828	0.315701
22	0.0326	0.2282	0.410221
23	0.043643	0.3055	0.380639
24	-0.086824	-0.6078	0.273074
25	0.08158	0.5711	0.285284
26	0.158305	1.1081	0.136606
27	-0.012234	-0.0856	0.46605
28	-0.038134	-0.2669	0.395319
29	0.045339	0.3174	0.376153
30	-0.012312	-0.0862	0.465837
31	-0.125539	-0.8788	0.191906
32	-0.018103	-0.1267	0.449841
33	-0.019541	-0.1368	0.44588
34	-0.099164	-0.6941	0.245433
35	-0.081835	-0.5728	0.284685
36	-0.071669	-0.5017	0.309068

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.388258	2.7178	0.00453
2	0.129172	0.9042	0.185156
3	0.394268	2.7599	0.004055
4	0.070143	0.491	0.312809
5	-0.02704	-0.1893	0.425328
6	-0.093416	-0.6539	0.258114
7	0.045191	0.3163	0.376545
8	-0.121255	-0.8488	0.200063
9	-0.141842	-0.9929	0.16282
10	0.052475	0.3673	0.357479
11	-0.228803	-1.6016	0.057834
12	-0.092452	-0.6472	0.260273
13	0.099308	0.6952	0.245122
14	-0.102956	-0.7207	0.237261
15	0.042881	0.3002	0.382661
16	-0.051543	-0.3608	0.359901
17	0.034389	0.2407	0.405387
18	0.049078	0.3435	0.366328
19	0.196449	1.3751	0.087671
20	-0.14053	-0.9837	0.165045
21	0.064953	0.4547	0.325676
22	0.091552	0.6409	0.262299
23	-0.048618	-0.3403	0.367533
24	-0.145236	-1.0167	0.157156
25	0.126057	0.8824	0.190935
26	-0.015442	-0.1081	0.45718
27	-0.09762	-0.6833	0.248806
28	-0.12051	-0.8436	0.201504
29	-0.105249	-0.7367	0.232396
30	-0.047581	-0.3331	0.370251
31	-0.038669	-0.2707	0.393885
32	-0.015251	-0.1068	0.45771
33	0.052613	0.3683	0.357121
34	0.128327	0.8983	0.186712
35	-0.025584	-0.1791	0.429302
36	-0.069393	-0.4858	0.314654

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259330399eobxn9k33uvfnye/1kvq41259330324.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259330399eobxn9k33uvfnye/1kvq41259330324.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259330399eobxn9k33uvfnye/28sat1259330324.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259330399eobxn9k33uvfnye/28sat1259330324.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 = 0 ; 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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