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rev 81

*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 14:07:22 -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/t1259356092sl45rmrpxwzevmg.htm/, Retrieved Fri, 27 Nov 2009 22:08:15 +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/t1259356092sl45rmrpxwzevmg.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 «

126.51 131.02 136.51 138.04 132.92 129.61 122.96 124.04 121.29 124.56 118.53 113.14 114.15 122.17 129.23 131.19 129.12 128.28 126.83 138.13 140.52 146.83 135.14 131.84 125.7 128.98 133.25 136.76 133.24 128.54 121.08 120.23 119.08 125.75 126.89 126.6 121.89 123.44 126.46 129.49 127.78 125.29 119.02 119.96 122.86 131.89 132.73 135.01 136.71 142.73 144.43 144.93 138.75 130.22 122.19 128.4 140.43 153.5 149.33 142.97

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.063126	-0.4281	0.335274
2	0.04176	0.2832	0.389135
3	-0.464993	-3.1537	0.001419
4	-0.059081	-0.4007	0.345246
5	-0.160609	-1.0893	0.140846
6	0.023453	0.1591	0.437157
7	0.319567	2.1674	0.017708
8	0.023561	0.1598	0.436869
9	0.087286	0.592	0.278373
10	-0.217694	-1.4765	0.073316
11	0.125149	0.8488	0.200194
12	-0.303658	-2.0595	0.022565
13	0.068546	0.4649	0.322098
14	0.061815	0.4192	0.338494
15	0.237403	1.6101	0.057104
16	-0.006448	-0.0437	0.482655
17	-0.066124	-0.4485	0.327957
18	-0.121954	-0.8271	0.206216
19	-0.181689	-1.2323	0.112054
20	-0.049667	-0.3369	0.368878
21	0.181853	1.2334	0.111848
22	0.230781	1.5652	0.062192
23	0.032022	0.2172	0.414512
24	-0.1189	-0.8064	0.212075
25	-0.140416	-0.9523	0.172949
26	-0.108803	-0.7379	0.232151
27	-0.04322	-0.2931	0.38537
28	0.127199	0.8627	0.196387
29	0.130751	0.8868	0.1899
30	0.020905	0.1418	0.443935
31	-0.061649	-0.4181	0.338901
32	-0.060575	-0.4108	0.341549
33	-0.040703	-0.2761	0.391868
34	-0.069983	-0.4746	0.318642
35	-0.016205	-0.1099	0.456481
36	0.091519	0.6207	0.268927

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.063126	-0.4281	0.335274
2	0.037926	0.2572	0.399075
3	-0.462568	-3.1373	0.001486
4	-0.139137	-0.9437	0.175133
5	-0.196925	-1.3356	0.094124
6	-0.306153	-2.0764	0.021734
7	0.25723	1.7446	0.043865
8	-0.156742	-1.0631	0.146648
9	-0.047097	-0.3194	0.375424
10	0.056819	0.3854	0.35087
11	0.079812	0.5413	0.295452
12	-0.243674	-1.6527	0.052604
13	0.015753	0.1068	0.45769
14	0.136354	0.9248	0.179949
15	-0.006244	-0.0423	0.483202
16	0.050348	0.3415	0.367149
17	0.06073	0.4119	0.341167
18	-0.206044	-1.3975	0.08449
19	-0.027179	-0.1843	0.42728
20	-0.098791	-0.67	0.253094
21	0.072219	0.4898	0.313297
22	0.034755	0.2357	0.407349
23	0.014915	0.1012	0.459933
24	-0.108269	-0.7343	0.233241
25	-0.057356	-0.389	0.349532
26	-0.024356	-0.1652	0.434759
27	-0.04526	-0.307	0.380126
28	-0.010402	-0.0705	0.472031
29	0.00903	0.0612	0.475714
30	-0.162808	-1.1042	0.137621
31	0.013454	0.0913	0.463845
32	-0.103708	-0.7034	0.242682
33	0.00712	0.0483	0.480847
34	-0.027959	-0.1896	0.425217
35	-0.14992	-1.0168	0.157282
36	-0.061837	-0.4194	0.33844

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259356092sl45rmrpxwzevmg/1mo851259356040.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259356092sl45rmrpxwzevmg/1mo851259356040.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259356092sl45rmrpxwzevmg/2q4dg1259356040.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259356092sl45rmrpxwzevmg/2q4dg1259356040.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 2 ; 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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