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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: Mon, 30 Nov 2009 07:07:44 -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/30/t1259590153yuir74f412xt7wx.htm/, Retrieved Mon, 30 Nov 2009 15:09:15 +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/30/t1259590153yuir74f412xt7wx.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 «

220206 220115 218444 214912 210705 209673 237041 242081 241878 242621 238545 240337 244752 244576 241572 240541 236089 236997 264579 270349 269645 267037 258113 262813 267413 267366 264777 258863 254844 254868 277267 285351 286602 283042 276687 277915 277128 277103 275037 270150 267140 264993 287259 291186 292300 288186 281477 282656 280190 280408 276836 275216 274352 271311 289802 290726 292300 278506 269826 265861 269034 264176 255198 253353 246057 235372 258556 260993 254663 250643 243422 247105 248541 245039 237080 237085 225554 226839 247934 248333 246969 245098 246263 255765 264319 268347 273046 273963 267430 271993 292710 295881 293299 288576

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	0.896962	8.6964	0
2	0.765866	7.4253	0
3	0.656475	6.3648	0
4	0.576022	5.5847	0
5	0.535861	5.1954	1e-06
6	0.479362	4.6476	5e-06
7	0.408255	3.9582	7.3e-05
8	0.326531	3.1658	0.001042
9	0.27743	2.6898	0.00423
10	0.263586	2.5556	0.006103
11	0.281974	2.7338	0.00374
12	0.284641	2.7597	0.003478
13	0.180929	1.7542	0.04133
14	0.06417	0.6222	0.267674
15	-0.032641	-0.3165	0.376176
16	-0.09407	-0.912	0.18204
17	-0.111301	-1.0791	0.141652
18	-0.14033	-1.3605	0.088455
19	-0.17248	-1.6723	0.048899
20	-0.209454	-2.0307	0.022553
21	-0.220333	-2.1362	0.01763
22	-0.20279	-1.9661	0.026118
23	-0.167906	-1.6279	0.053446
24	-0.143557	-1.3918	0.083629
25	-0.205031	-1.9878	0.024869
26	-0.274218	-2.6586	0.004611
27	-0.328439	-3.1843	0.000984
28	-0.34991	-3.3925	0.000507
29	-0.333757	-3.2359	0.000837
30	-0.332013	-3.219	0.000883
31	-0.329492	-3.1945	0.000953
32	-0.327724	-3.1774	0.001006
33	-0.30182	-2.9263	0.002151
34	-0.258207	-2.5034	0.007013
35	-0.20108	-1.9495	0.027106
36	-0.160227	-1.5535	0.061837

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.896962	8.6964	0
2	-0.197872	-1.9184	0.029045
3	0.058979	0.5718	0.284404
4	0.05444	0.5278	0.299436
5	0.136814	1.3265	0.093951
6	-0.151208	-1.466	0.07299
7	-0.040309	-0.3908	0.348411
8	-0.078058	-0.7568	0.225531
9	0.148821	1.4429	0.07619
10	0.047077	0.4564	0.324567
11	0.145328	1.409	0.081066
12	-0.1077	-1.0442	0.149537
13	-0.476601	-4.6208	6e-06
14	0.015695	0.1522	0.439692
15	-0.012639	-0.1225	0.451366
16	0.013607	0.1319	0.447663
17	0.029167	0.2828	0.388983
18	-0.031307	-0.3035	0.381079
19	0.062309	0.6041	0.273613
20	-0.003191	-0.0309	0.487694
21	0.031727	0.3076	0.379532
22	-0.045161	-0.4379	0.331248
23	-0.052154	-0.5056	0.307143
24	-0.006213	-0.0602	0.476046
25	-0.206422	-2.0013	0.02412
26	0.029388	0.2849	0.388162
27	-0.033304	-0.3229	0.373747
28	0.019825	0.1922	0.423995
29	-0.016226	-0.1573	0.437665
30	-0.02401	-0.2328	0.408217
31	0.028967	0.2808	0.389724
32	0.016254	0.1576	0.437558
33	0.027626	0.2678	0.394702
34	-0.059272	-0.5747	0.283446
35	0.019993	0.1938	0.42336
36	-0.054621	-0.5296	0.298828

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/30/t1259590153yuir74f412xt7wx/130bn1259590063.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/30/t1259590153yuir74f412xt7wx/130bn1259590063.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/30/t1259590153yuir74f412xt7wx/2bt7g1259590063.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/30/t1259590153yuir74f412xt7wx/2bt7g1259590063.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; 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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