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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, 12 Dec 2010 00:34:35 +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/12/t1292114313guifypktcpxl5lx.htm/, Retrieved Sun, 12 Dec 2010 01:38:33 +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/12/t1292114313guifypktcpxl5lx.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 «

100918 105017 108666 116083 117359 102191 102617 106640 108783 112534 113149 117125 107597 108745 111311 115669 114585 101628 97493 99180 100247 97657 95378 89406 82880 82662 83469 86371 86822 73899 71415 76335 76844 78192 80651 81485 78872 81632 84822 92175 92844 77443 77550 80367 83117 86622 90999 90276 91982 96279 106810 109483 110159 98305 99450 101536 99925 102850 101993 108928 107605

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.087494	0.6062	0.273628
2	0.370404	2.5662	0.006728
3	0.160457	1.1117	0.135906
4	0.27658	1.9162	0.030653
5	0.217255	1.5052	0.069414
6	0.083782	0.5805	0.282161
7	0.0594	0.4115	0.341255
8	-0.07565	-0.5241	0.301305
9	0.13425	0.9301	0.178484
10	-0.082935	-0.5746	0.284125
11	0.092959	0.644	0.261308
12	-0.244621	-1.6948	0.048298
13	-0.083886	-0.5812	0.281919
14	-0.053459	-0.3704	0.356366
15	0.002267	0.0157	0.493768
16	-0.216435	-1.4995	0.070146
17	-0.064561	-0.4473	0.328338
18	-0.118177	-0.8188	0.208486
19	-0.112817	-0.7816	0.219138
20	-0.026056	-0.1805	0.428752
21	-0.223432	-1.548	0.064098
22	-0.092262	-0.6392	0.262862
23	-0.194909	-1.3504	0.091615
24	-0.039835	-0.276	0.391871
25	-0.096804	-0.6707	0.25282
26	-0.024266	-0.1681	0.433597
27	-0.265895	-1.8422	0.035816
28	0.041822	0.2898	0.386626
29	-0.044987	-0.3117	0.378317
30	-0.068186	-0.4724	0.319389
31	-0.019845	-0.1375	0.44561
32	-0.103444	-0.7167	0.238523
33	0.086176	0.597	0.276642
34	-0.05382	-0.3729	0.35544
35	0.111843	0.7749	0.221108
36	-0.078606	-0.5446	0.294275
37	0.0625	0.433	0.333473
38	-0.012653	-0.0877	0.465255
39	0.024743	0.1714	0.432305
40	0.01964	0.1361	0.446169
41	-0.036863	-0.2554	0.399756
42	0.088169	0.6109	0.272089
43	0.011624	0.0805	0.468074
44	-0.010798	-0.0748	0.470338
45	0.028613	0.1982	0.421849
46	-0.03085	-0.2137	0.415831
47	0.016074	0.1114	0.455895
48	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.087494	0.6062	0.273628
2	0.365547	2.5326	0.007323
3	0.125518	0.8696	0.19442
4	0.155086	1.0745	0.143993
5	0.135442	0.9384	0.176376
6	-0.08853	-0.6134	0.271268
7	-0.124028	-0.8593	0.197225
8	-0.203341	-1.4088	0.082671
9	0.087555	0.6066	0.273487
10	-0.022713	-0.1574	0.43781
11	0.110224	0.7637	0.224405
12	-0.193152	-1.3382	0.093569
13	-0.159101	-1.1023	0.137917
14	0.049828	0.3452	0.365719
15	0.137748	0.9543	0.172346
16	-0.17057	-1.1817	0.121564
17	0.051187	0.3546	0.362207
18	-0.005909	-0.0409	0.483758
19	-0.110991	-0.769	0.222839
20	-0.02624	-0.1818	0.428255
21	-0.093407	-0.6471	0.260311
22	-0.058691	-0.4066	0.343046
23	-0.031179	-0.216	0.414946
24	-0.007478	-0.0518	0.479448
25	0.035936	0.249	0.402222
26	0.078398	0.5432	0.294768
27	-0.191825	-1.329	0.095065
28	0.012369	0.0857	0.466033
29	0.027486	0.1904	0.424889
30	-0.048473	-0.3358	0.369231
31	0.007038	0.0488	0.480656
32	-0.035305	-0.2446	0.403905
33	0.077452	0.5366	0.297009
34	-0.067139	-0.4652	0.321962
35	-0.010651	-0.0738	0.47074
36	-0.001859	-0.0129	0.494889
37	-0.044735	-0.3099	0.378976
38	0.035217	0.244	0.404138
39	-0.130987	-0.9075	0.184336
40	-0.074181	-0.5139	0.304826
41	0.093974	0.6511	0.259052
42	0.093661	0.6489	0.259747
43	-0.061444	-0.4257	0.336116
44	-0.133082	-0.922	0.180565
45	0.052888	0.3664	0.35783
46	-0.114297	-0.7919	0.216165
47	0.020828	0.1443	0.442933
48	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/12/t1292114313guifypktcpxl5lx/1zbw91292114072.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/12/t1292114313guifypktcpxl5lx/1zbw91292114072.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/12/t1292114313guifypktcpxl5lx/2zbw91292114072.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/12/t1292114313guifypktcpxl5lx/2zbw91292114072.ps (open in new window)

Parameters (Session):

Parameters (R input):

par1 = 48 ; 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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