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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: Sun, 29 Nov 2009 06:52:09 -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/29/t12595027851t79cev36basobq.htm/, Retrieved Sun, 29 Nov 2009 14:53:07 +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/29/t12595027851t79cev36basobq.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:

ws8r4l3

Dataseries X:

» Textbox « » Textfile « » CSV «

2.05 2.11 2.09 2.05 2.08 2.06 2.06 2.08 2.07 2.06 2.07 2.06 2.09 2.07 2.09 2.28 2.33 2.35 2.52 2.63 2.58 2.70 2.81 2.97 3.04 3.28 3.33 3.50 3.56 3.57 3.69 3.82 3.79 3.96 4.06 4.05 4.03 3.94 4.02 3.88 4.02 4.03 4.09 3.99 4.01 4.01 4.19 4.30 4.27 3.82 3.15 2.49 1.81 1.26 1.06 0.84 0.78 0.70 0.36 0.35

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	0.16964	1.0036	0.161229
2	0.225706	1.3353	0.0952
3	-0.174934	-1.0349	0.153901
4	-0.164386	-0.9725	0.168732
5	-0.278817	-1.6495	0.053996
6	0.053888	0.3188	0.375884
7	0.042204	0.2497	0.402147
8	0.152672	0.9032	0.186292
9	-0.018276	-0.1081	0.457258
10	-0.162917	-0.9638	0.170872
11	-0.161198	-0.9537	0.173398
12	-0.294575	-1.7427	0.045081
13	0.16677	0.9866	0.165299
14	-0.040274	-0.2383	0.406532
15	0.301229	1.7821	0.041706
16	0.115823	0.6852	0.248859
17	0.069073	0.4086	0.342646
18	-0.114529	-0.6776	0.251252
19	0.032902	0.1947	0.423396
20	-0.139272	-0.8239	0.207776
21	0.063123	0.3734	0.355536
22	0.061501	0.3638	0.359081
23	0.111572	0.6601	0.256765
24	-0.047331	-0.28	0.390557
25	-0.118015	-0.6982	0.244836
26	-0.06102	-0.361	0.360135
27	-0.176466	-1.044	0.151825
28	-0.071774	-0.4246	0.336856
29	0.000927	0.0055	0.497827
30	0.012209	0.0722	0.471415
31	0.029002	0.1716	0.432379
32	0.024484	0.1448	0.442831
33	-0.09111	-0.539	0.296644
34	-0.017831	-0.1055	0.458295
35	NA	NA	NA
36	NA	NA	NA
37	NA	NA	NA
38	NA	NA	NA
39	NA	NA	NA
40	NA	NA	NA
41	NA	NA	NA
42	NA	NA	NA
43	NA	NA	NA
44	NA	NA	NA
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.16964	1.0036	0.161229
2	0.202763	1.1996	0.119183
3	-0.257552	-1.5237	0.068285
4	-0.162766	-0.9629	0.171093
5	-0.150868	-0.8925	0.189098
6	0.184178	1.0896	0.141665
7	0.074385	0.4401	0.331298
8	-0.025886	-0.1531	0.439582
9	-0.135134	-0.7995	0.214707
10	-0.230493	-1.3636	0.090698
11	0.021961	0.1299	0.448686
12	-0.181499	-1.0738	0.145139
13	0.319995	1.8931	0.033317
14	-0.176912	-1.0466	0.151224
15	0.096657	0.5718	0.285545
16	0.065197	0.3857	0.351024
17	-0.116017	-0.6864	0.248502
18	0.134337	0.7947	0.216058
19	0.003977	0.0235	0.490682
20	0.009889	0.0585	0.476839
21	-0.092415	-0.5467	0.294015
22	0.064517	0.3817	0.3525
23	0.09731	0.5757	0.284253
24	-0.198794	-1.1761	0.12375
25	0.076882	0.4548	0.326015
26	-0.074787	-0.4424	0.330445
27	0.032755	0.1938	0.423734
28	-0.153902	-0.9105	0.184395
29	-0.013902	-0.0822	0.467461
30	0.002009	0.0119	0.495292
31	-0.062051	-0.3671	0.357878
32	0.008655	0.0512	0.479727
33	-0.123655	-0.7316	0.234656
34	0.036276	0.2146	0.415657
35	NA	NA	NA
36	NA	NA	NA
37	NA	NA	NA
38	NA	NA	NA
39	NA	NA	NA
40	NA	NA	NA
41	NA	NA	NA
42	NA	NA	NA
43	NA	NA	NA
44	NA	NA	NA
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/29/t12595027851t79cev36basobq/1vg5y1259502727.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/29/t12595027851t79cev36basobq/1vg5y1259502727.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/29/t12595027851t79cev36basobq/2mqhu1259502727.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/29/t12595027851t79cev36basobq/2mqhu1259502727.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 2 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 2 ; par5 = 12 ; par6 = White Noise ; 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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