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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 14:26:19 -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/t125935724564zwiyq98a9irxp.htm/, Retrieved Fri, 27 Nov 2009 22:27:28 +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/t125935724564zwiyq98a9irxp.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 «

95.6 74.3 88.5 88 84.3 112.8 105.3 97.2 112.4 123.2 143.7 205.1 102.8 89.4 90.7 101.1 93.6 119.3 106.4 105.2 106.5 117.6 144.2 195.5 109.5 84.9 102.9 93.9 104.6 115.2 104.9 114.9 115.1 126.4 156.7 197.3 116.1 89.1 107.8 100.4 113.6 128.3 113.3 113.7 116.1 133.6 167.7 214.6 120.3 106 103.9 118 116.3 134.8 117.8 123.3 125.2 135.8 158.9 217.9

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	-0.059734	-0.4138	0.340414
2	0.385595	2.6715	0.005141
3	-0.110364	-0.7646	0.22412
4	0.11002	0.7622	0.224823
5	-0.015392	-0.1066	0.457761
6	0.081745	0.5663	0.2869
7	0.014638	0.1014	0.459821
8	-0.005683	-0.0394	0.484377
9	-0.010926	-0.0757	0.469988
10	-0.114837	-0.7956	0.215088
11	-0.203037	-1.4067	0.082982
12	-0.217151	-1.5045	0.069507
13	0.025624	0.1775	0.429921
14	-0.052809	-0.3659	0.358033
15	0.166295	1.1521	0.127488
16	-0.078178	-0.5416	0.295288
17	-0.104175	-0.7217	0.236976
18	-0.07744	-0.5365	0.297039
19	-0.045889	-0.3179	0.375959
20	-0.085617	-0.5932	0.277926
21	0.091822	0.6362	0.263847
22	-0.166733	-1.1552	0.126872
23	0.167366	1.1595	0.125985
24	-0.273461	-1.8946	0.032089
25	0.043275	0.2998	0.382805
26	-0.259622	-1.7987	0.039176
27	-0.011418	-0.0791	0.468638
28	-0.078606	-0.5446	0.294276
29	0.02682	0.1858	0.426686
30	-0.016225	-0.1124	0.455485
31	-0.016298	-0.1129	0.455285
32	0.037866	0.2623	0.397089
33	0.012663	0.0877	0.465229
34	0.090933	0.63	0.265841
35	0.033568	0.2326	0.408544
36	0.146993	1.0184	0.156798

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.059734	-0.4138	0.340414
2	0.383395	2.6562	0.005347
3	-0.086191	-0.5972	0.276606
4	-0.04997	-0.3462	0.365351
5	0.071156	0.493	0.312135
6	0.056976	0.3947	0.347392
7	0.001676	0.0116	0.495393
8	-0.055946	-0.3876	0.350011
9	-0.014138	-0.098	0.461189
10	-0.109427	-0.7581	0.226039
11	-0.250173	-1.7332	0.044736
12	-0.191216	-1.3248	0.095758
13	0.199765	1.384	0.086378
14	0.095807	0.6638	0.255007
15	0.096339	0.6675	0.25384
16	-0.031488	-0.2182	0.414116
17	-0.237203	-1.6434	0.053419
18	-0.030499	-0.2113	0.416772
19	0.063955	0.4431	0.329845
20	-0.129493	-0.8972	0.187058
21	0.08026	0.5561	0.290378
22	-0.237834	-1.6478	0.052967
23	0.030985	0.2147	0.415466
24	-0.154152	-1.068	0.145433
25	-0.036069	-0.2499	0.401868
26	0.041037	0.2843	0.388696
27	-0.063643	-0.4409	0.330621
28	-0.149215	-1.0338	0.153208
29	-0.065589	-0.4544	0.325788
30	-0.011593	-0.0803	0.468158
31	0.020549	0.1424	0.443693
32	0.145447	1.0077	0.15933
33	0.000854	0.0059	0.497653
34	-0.071894	-0.4981	0.310347
35	-0.011122	-0.0771	0.469451
36	-0.066718	-0.4622	0.323

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t125935724564zwiyq98a9irxp/1n8b31259357177.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t125935724564zwiyq98a9irxp/1n8b31259357177.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t125935724564zwiyq98a9irxp/2pjtp1259357177.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t125935724564zwiyq98a9irxp/2pjtp1259357177.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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