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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: Tue, 07 Dec 2010 09:28:30 +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/07/t12917139811lpxluhd1o5go1j.htm/, Retrieved Tue, 07 Dec 2010 10:26:23 +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/07/t12917139811lpxluhd1o5go1j.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 «

46 62 66 59 58 61 41 27 58 70 49 59 44 36 72 45 56 54 53 35 61 52 47 51 52 63 74 45 51 64 36 30 55 64 39 40 63 45 59 55 40 64 27 28 45 57 45 69 60 56 58 50 51 53 37 22 55 70 62 58 39 49 58 47 42 62 39 40 72 70 54 65

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	4 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.673409	-5.1285	2e-06
2	0.24619	1.8749	0.03292
3	-0.114436	-0.8715	0.193532
4	0.075535	0.5753	0.283671
5	-0.020265	-0.1543	0.438941
6	-0.034961	-0.2663	0.395494
7	0.03868	0.2946	0.384683
8	0.007731	0.0589	0.476626
9	-0.028832	-0.2196	0.413486
10	-0.107027	-0.8151	0.209176
11	0.38065	2.8989	0.002639
12	-0.412833	-3.144	0.001313
13	0.15962	1.2156	0.114525
14	-0.0176	-0.134	0.446918
15	0.020602	0.1569	0.437934
16	0.014825	0.1129	0.455248
17	-0.090146	-0.6865	0.247556
18	0.100529	0.7656	0.223507
19	-0.011929	-0.0908	0.463963
20	-0.060507	-0.4608	0.32333
21	-0.004135	-0.0315	0.487493
22	0.106095	0.808	0.211197
23	-0.047849	-0.3644	0.358441
24	-0.140323	-1.0687	0.144824
25	0.267184	2.0348	0.023225
26	-0.265049	-2.0186	0.024083
27	0.20587	1.5679	0.061177
28	-0.205076	-1.5618	0.061887
29	0.22059	1.68	0.049172
30	-0.120305	-0.9162	0.181675
31	-0.039049	-0.2974	0.383615
32	0.063599	0.4844	0.314979
33	0.041636	0.3171	0.376157
34	-0.050409	-0.3839	0.351228
35	-0.049588	-0.3777	0.353533
36	0.113502	0.8644	0.195464

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.673409	-5.1285	2e-06
2	-0.379292	-2.8886	0.002716
3	-0.301748	-2.298	0.012592
4	-0.1991	-1.5163	0.067438
5	-0.088335	-0.6727	0.251892
6	-0.11674	-0.8891	0.18882
7	-0.098561	-0.7506	0.227959
8	-0.009219	-0.0702	0.472136
9	-0.004384	-0.0334	0.48674
10	-0.311409	-2.3716	0.010525
11	0.298667	2.2746	0.013323
12	0.232655	1.7718	0.040836
13	-0.089275	-0.6799	0.249638
14	-0.06737	-0.5131	0.304924
15	-0.054314	-0.4136	0.340332
16	0.014283	0.1088	0.456878
17	-0.043737	-0.3331	0.370133
18	-0.05874	-0.4473	0.328144
19	0.039886	0.3038	0.381198
20	0.061697	0.4699	0.320105
21	-0.121243	-0.9234	0.179823
22	-0.257487	-1.961	0.027345
23	0.276149	2.1031	0.019904
24	0.000401	0.0031	0.498786
25	0.092128	0.7016	0.242859
26	-0.091243	-0.6949	0.244952
27	-0.062845	-0.4786	0.317007
28	-0.086662	-0.66	0.255933
29	-0.005298	-0.0403	0.483977
30	0.028255	0.2152	0.415189
31	-0.026898	-0.2049	0.419203
32	0.0487	0.3709	0.356037
33	-0.068377	-0.5207	0.302265
34	-0.075377	-0.5741	0.284075
35	0.189518	1.4433	0.077154
36	0.016711	0.1273	0.449585

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/07/t12917139811lpxluhd1o5go1j/1bkkp1291714105.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/07/t12917139811lpxluhd1o5go1j/1bkkp1291714105.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/07/t12917139811lpxluhd1o5go1j/2bkkp1291714105.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/07/t12917139811lpxluhd1o5go1j/2bkkp1291714105.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 2 ; 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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