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W9 d=D=1

*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, 03 Dec 2010 18:34:45 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/03/t1291401165je5aa63zbi9rid9.htm/, Retrieved Fri, 03 Dec 2010 19:32:47 +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/2010/Dec/03/t1291401165je5aa63zbi9rid9.htm/},
    year = {2010},
}
@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 = {2010},
    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 «

14731798.37 16471559.62 15213975.95 17637387.4 17972385.83 16896235.55 16697955.94 19691579.52 15930700.75 17444615.98 17699369.88 15189796.81 15672722.75 17180794.3 17664893.45 17862884.98 16162288.88 17463628.82 16772112.17 19106861.48 16721314.25 18161267.85 18509941.2 17802737.97 16409869.75 17967742.04 20286602.27 19537280.81 18021889.62 20194317.23 19049596.62 20244720.94 21473302.24 19673603.19 21053177.29 20159479.84 18203628.31 21289464.94 20432335.71 17180395.07 15816786.32 15071819.75 14521120.61 15668789.39 14346884.11 13881008.13 15465943.69 14238232.92 13557713.21 16127590.29 16793894.2 16014007.43 16867867.15 16014583.21 15878594.85 18664899.14 17962530.06 17332692.2 19542066.35 17203555.19

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	-0.228513	-1.5666	0.061958
2	-0.010512	-0.0721	0.471427
3	0.459195	3.1481	0.001427
4	-0.246099	-1.6872	0.049099
5	0.158062	1.0836	0.142031
6	0.226237	1.551	0.063804
7	-0.371867	-2.5494	0.007057
8	0.071585	0.4908	0.312939
9	0.047658	0.3267	0.372664
10	-0.236299	-1.62	0.055964
11	0.029061	0.1992	0.421471
12	-0.15795	-1.0828	0.1422
13	-0.20728	-1.421	0.080953
14	0.019029	0.1305	0.44838
15	0.007685	0.0527	0.479104
16	-0.140361	-0.9623	0.17042
17	-0.035152	-0.241	0.405305
18	-0.01825	-0.1251	0.450483
19	-0.076707	-0.5259	0.300724
20	0.192755	1.3215	0.096372
21	-0.172409	-1.182	0.12158
22	-0.002379	-0.0163	0.493527
23	0.187156	1.2831	0.102878
24	-0.105961	-0.7264	0.235588
25	0.06776	0.4645	0.322203
26	0.126194	0.8651	0.195678
27	-0.177176	-1.2147	0.115282
28	0.108817	0.746	0.229688
29	0.080561	0.5523	0.29168
30	-0.066206	-0.4539	0.326001
31	0.042836	0.2937	0.385151
32	0.010701	0.0734	0.470914
33	-0.021846	-0.1498	0.440794
34	0.033524	0.2298	0.409612
35	0.00423	0.029	0.488495
36	-0.089229	-0.6117	0.271833

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.228513	-1.5666	0.061958
2	-0.066186	-0.4538	0.326048
3	0.467884	3.2077	0.001205
4	-0.055656	-0.3816	0.352253
5	0.110283	0.7561	0.226691
6	0.100275	0.6874	0.24759
7	-0.263022	-1.8032	0.038886
8	-0.242657	-1.6636	0.051426
9	-0.092951	-0.6372	0.26353
10	0.017172	0.1177	0.453393
11	-0.065069	-0.4461	0.328791
12	-0.153859	-1.0548	0.148453
13	-0.114753	-0.7867	0.217701
14	-0.10953	-0.7509	0.228228
15	0.152183	1.0433	0.151069
16	0.060634	0.4157	0.339766
17	-0.0445	-0.3051	0.380828
18	-0.103456	-0.7093	0.240833
19	-0.143856	-0.9862	0.164536
20	0.147878	1.0138	0.157934
21	-0.222251	-1.5237	0.067145
22	0.005947	0.0408	0.483826
23	0.069612	0.4772	0.317704
24	0.004456	0.0305	0.487881
25	-0.122737	-0.8414	0.202181
26	-0.018631	-0.1277	0.449454
27	0.028134	0.1929	0.423944
28	-0.094019	-0.6446	0.261173
29	-0.054337	-0.3725	0.355592
30	0.115971	0.7951	0.215289
31	-0.088072	-0.6038	0.274442
32	0.006866	0.0471	0.481328
33	0.014634	0.1003	0.460257
34	-0.017589	-0.1206	0.452268
35	-0.117231	-0.8037	0.21281
36	-0.06769	-0.4641	0.322373

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/03/t1291401165je5aa63zbi9rid9/1bowe1291401283.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/03/t1291401165je5aa63zbi9rid9/1bowe1291401283.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/03/t1291401165je5aa63zbi9rid9/2mydh1291401283.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/03/t1291401165je5aa63zbi9rid9/2mydh1291401283.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

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