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W7 V2

*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: Sat, 28 Nov 2009 04:48:39 -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/28/t1259408970ql1ic31d4p236dt.htm/, Retrieved Sat, 28 Nov 2009 12:49:32 +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/28/t1259408970ql1ic31d4p236dt.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 8.1 7.7 7.5 7.6 7.8 7.8 7.8 7.5 7.5 7.1 7.5 7.5 7.6 7.7 7.7 7.9 8.1 8.2 8.2 8.2 7.9 7.3 6.9 6.6 6.7 6.9 7 7.1 7.2 7.1 6.9 7 6.8 6.4 6.7 6.6 6.4 6.3 6.2 6.5 6.8 6.8 6.4 6.1 5.8 6.1 7.2 7.3 6.9 6.1 5.8 6.2 7.1 7.7 7.9 7.7 7.4 7.5 8 8.1

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	0.883108	6.1818	0
2	0.665564	4.6589	1.2e-05
3	0.440933	3.0865	0.001664
4	0.305988	2.1419	0.018598
5	0.261901	1.8333	0.036418
6	0.245022	1.7152	0.046318
7	0.204673	1.4327	0.079145
8	0.129752	0.9083	0.184091
9	0.055656	0.3896	0.349263
10	0.005065	0.0355	0.48593
11	-0.017315	-0.1212	0.452012
12	-0.056022	-0.3922	0.348323
13	-0.095731	-0.6701	0.252965
14	-0.139534	-0.9767	0.166749
15	-0.171197	-1.1984	0.118267
16	-0.179269	-1.2549	0.107736
17	-0.168186	-1.1773	0.12238
18	-0.139121	-0.9738	0.167458
19	-0.110404	-0.7728	0.221668
20	-0.103152	-0.7221	0.236843
21	-0.144965	-1.0148	0.157603
22	-0.232012	-1.6241	0.055388
23	-0.33316	-2.3321	0.011924
24	-0.384234	-2.6896	0.004876
25	-0.374573	-2.622	0.005807
26	-0.328825	-2.3018	0.012819
27	-0.273945	-1.9176	0.030499
28	-0.248846	-1.7419	0.043899
29	-0.242248	-1.6957	0.048141
30	-0.230817	-1.6157	0.056289
31	-0.194089	-1.3586	0.090244
32	-0.142734	-0.9991	0.161319
33	-0.086027	-0.6022	0.274914
34	-0.038723	-0.2711	0.393742
35	0.019818	0.1387	0.445117
36	0.08224	0.5757	0.283732

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.883108	6.1818	0
2	-0.519336	-3.6354	0.000333
3	0.04075	0.2853	0.388326
4	0.318376	2.2286	0.015229
5	0.013	0.091	0.463932
6	-0.207135	-1.4499	0.076723
7	-0.045039	-0.3153	0.376948
8	0.041795	0.2926	0.385545
9	0.054703	0.3829	0.351717
10	-0.079272	-0.5549	0.290743
11	-0.052731	-0.3691	0.356815
12	-0.197442	-1.3821	0.086606
13	0.174072	1.2185	0.114434
14	-0.03512	-0.2458	0.403417
15	-0.137537	-0.9628	0.170198
16	0.017352	0.1215	0.451912
17	0.085285	0.597	0.27663
18	0.056995	0.399	0.345827
19	-0.066811	-0.4677	0.321045
20	-0.169731	-1.1881	0.120257
21	-0.197921	-1.3855	0.086095
22	-0.080944	-0.5666	0.286783
23	0.028878	0.2021	0.42032
24	0.049848	0.3489	0.364315
25	-0.132756	-0.9293	0.178646
26	-0.112775	-0.7894	0.216833
27	0.163031	1.1412	0.129663
28	-0.011038	-0.0773	0.469362
29	-0.091788	-0.6425	0.261766
30	-0.016696	-0.1169	0.45372
31	0.049865	0.3491	0.364272
32	0.023691	0.1658	0.434483
33	0.104958	0.7347	0.23301
34	-0.039599	-0.2772	0.391398
35	0.052121	0.3648	0.358398
36	0.021764	0.1523	0.43977

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259408970ql1ic31d4p236dt/1ubvu1259408917.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259408970ql1ic31d4p236dt/1ubvu1259408917.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259408970ql1ic31d4p236dt/2kwci1259408917.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259408970ql1ic31d4p236dt/2kwci1259408917.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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