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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 08:09:59 -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/t1259334718wlq7a37evwl0t7x.htm/, Retrieved Fri, 27 Nov 2009 16:12:00 +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/t1259334718wlq7a37evwl0t7x.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 «

902.2 891.9 874 930.9 944.2 935.9 937.1 885.1 892.4 987.3 946.3 799.6 875.4 846.2 880.6 885.7 868.9 882.5 789.6 773.3 804.3 817.8 836.7 721.8 760.8 841.4 1045.6 949.2 850.1 957.4 851.8 913.9 888 973.8 927.6 833 879.5 797.3 834.5 735.1 835 892.8 697.2 821.1 732.7 797.6 866.3 826.3 778.6 779.2 951 692.3 841.4 857.3 760.7 841.2 810.3 1007.4 931.3 931.2

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	-0.213292	-1.4623	0.075163
2	-0.281962	-1.933	0.029634
3	0.172102	1.1799	0.121995
4	0.023799	0.1632	0.435546
5	-0.112307	-0.7699	0.222595
6	-0.00109	-0.0075	0.497035
7	0.276004	1.8922	0.032317
8	-0.331918	-2.2755	0.013739
9	-0.02436	-0.167	0.434041
10	0.249509	1.7105	0.046879
11	-0.060055	-0.4117	0.34121
12	-0.309632	-2.1227	0.019536
13	-0.133586	-0.9158	0.182218
14	0.302076	2.0709	0.021941
15	-0.135302	-0.9276	0.179182
16	-0.029452	-0.2019	0.420429
17	0.188496	1.2923	0.101291
18	-0.156011	-1.0696	0.145141
19	-0.106894	-0.7328	0.233652
20	0.047009	0.3223	0.374335
21	0.260157	1.7835	0.040478
22	-0.24316	-1.667	0.051081
23	0.066224	0.454	0.325955
24	0.171174	1.1735	0.123252
25	-0.135035	-0.9258	0.179652
26	0.041167	0.2822	0.389504
27	0.016684	0.1144	0.454712
28	0.017553	0.1203	0.452365
29	-0.111348	-0.7634	0.22453
30	0.073399	0.5032	0.308587
31	0.059467	0.4077	0.342679
32	-0.049787	-0.3413	0.36719
33	-0.006219	-0.0426	0.483086
34	-0.00303	-0.0208	0.491758
35	0.023796	0.1631	0.435556
36	-0.045895	-0.3146	0.377214

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.213292	-1.4623	0.075163
2	-0.343063	-2.3519	0.011459
3	0.02156	0.1478	0.441563
4	-0.022053	-0.1512	0.440238
5	-0.055599	-0.3812	0.352398
6	-0.055012	-0.3771	0.353882
7	0.257043	1.7622	0.042269
8	-0.254615	-1.7455	0.043712
9	-0.001176	-0.0081	0.496799
10	0.04466	0.3062	0.380413
11	0.062284	0.427	0.335666
12	-0.308824	-2.1172	0.019782
13	-0.395647	-2.7124	0.004651
14	-0.031355	-0.215	0.415365
15	-0.021556	-0.1478	0.441574
16	-0.059644	-0.4089	0.342235
17	0.030167	0.2068	0.418525
18	-0.04157	-0.285	0.388451
19	-0.004674	-0.032	0.487287
20	-0.213395	-1.463	0.075066
21	0.071413	0.4896	0.313352
22	-0.051653	-0.3541	0.362419
23	0.164865	1.1303	0.132052
24	-0.167337	-1.1472	0.128551
25	-0.144433	-0.9902	0.163577
26	-0.043596	-0.2989	0.383175
27	0.047182	0.3235	0.373891
28	-0.123152	-0.8443	0.201393
29	0.066678	0.4571	0.324845
30	-0.061505	-0.4217	0.337599
31	-0.080735	-0.5535	0.291275
32	-0.086891	-0.5957	0.277119
33	0.011062	0.0758	0.469936
34	0.121995	0.8364	0.203594
35	0.057874	0.3968	0.346668
36	-0.002714	-0.0186	0.492616

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259334718wlq7a37evwl0t7x/16wle1259334598.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259334718wlq7a37evwl0t7x/16wle1259334598.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259334718wlq7a37evwl0t7x/2d3ss1259334598.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259334718wlq7a37evwl0t7x/2d3ss1259334598.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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