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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, 22 Nov 2010 14:37:57 +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/Nov/22/t1290436555euic2d7s42sd13r.htm/, Retrieved Mon, 22 Nov 2010 15:35:56 +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/Nov/22/t1290436555euic2d7s42sd13r.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 «

-1.8207657603853E-14 -0.018785294593818 -1.3322676295502E-15 -1.3322676295502E-15 -1.3322676295502E-15 -1.3322676295502E-15 -1.3322676295502E-15 -1.3322676295502E-15 -1.3322676295502E-15 -1.3322676295502E-15 -1.3322676295502E-15 -1.3322676295502E-15 -1.3322676295502E-15 0.018785294593799 -1.8207657603853E-14 -1.8207657603853E-14 -0.018785294593818 -1.3322676295502E-15 -1.3322676295502E-15 -1.3322676295502E-15 -1.3322676295502E-15 -1.3322676295502E-15 -1.3322676295502E-15 -1.3322676295502E-15 0.018785294593799 -0.018785294593818 -1.3322676295502E-15 0.018785294593799 -0.018785294593818 0.018785294593799 -1.8207657603853E-14 -1.8207657603853E-14 -0.018785294593818 -1.3322676295502E-15 0.018785294593799 -1.8207657603853E-14 -1.8207657603853E-14 -1.8207657603853E-14 -1.8207657603853E-14 -1.8207657603853E-14 -1.8207657603853E-14 -1.8207657603853E-14 -1.8207657603853E-14 -1.8207657603853E-14 -1.8207657603853E-14 -1.8207657603853E-14 -0.018785294593818 -1.3322676295502E etc...

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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.245687	-3.4745	0.000314
2	-0.048622	-0.6876	0.246246
3	-0.114094	-1.6135	0.054103
4	0.009836	0.1391	0.444752
5	-0.172197	-2.4352	0.00788
6	0.083376	1.1791	0.119877
7	-0.025465	-0.3601	0.359564
8	0.140549	1.9877	0.024107
9	-0.083799	-1.1851	0.118693
10	0.027413	0.3877	0.349336
11	-0.114846	-1.6242	0.052958
12	0.02695	0.3811	0.351757
13	-0.057839	-0.818	0.207174
14	0.070445	0.9962	0.160169
15	0.003262	0.0461	0.481626
16	0.112719	1.5941	0.056248
17	-0.056614	-0.8006	0.212142
18	0.002803	0.0396	0.484211
19	-0.086695	-1.2261	0.11081
20	-0.026413	-0.3735	0.354571
21	0.091023	1.2873	0.099746
22	0.062825	0.8885	0.187674
23	-0.110953	-1.5691	0.059102

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.245687	-3.4745	0.000314
2	-0.115985	-1.6403	0.05126
3	-0.1682	-2.3787	0.009157
4	-0.080906	-1.1442	0.126956
5	-0.24403	-3.4511	0.000341
6	-0.077319	-1.0935	0.137753
7	-0.103147	-1.4587	0.073105
8	0.05364	0.7586	0.224496
9	-0.063018	-0.8912	0.186944
10	-0.03479	-0.492	0.311628
11	-0.121504	-1.7183	0.043642
12	-0.074534	-1.0541	0.146561
13	-0.094787	-1.3405	0.090803
14	-0.053054	-0.7503	0.226979
15	-0.038357	-0.5425	0.294054
16	0.042707	0.604	0.273273
17	-0.004447	-0.0629	0.474958
18	-0.011015	-0.1558	0.438184
19	-0.05461	-0.7723	0.220426
20	-0.093946	-1.3286	0.092747
21	0.076308	1.0792	0.140907
22	0.062101	0.8782	0.190434
23	-0.085356	-1.2071	0.114406

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/22/t1290436555euic2d7s42sd13r/1icov1290436673.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/22/t1290436555euic2d7s42sd13r/1icov1290436673.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/22/t1290436555euic2d7s42sd13r/2b3ny1290436673.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/22/t1290436555euic2d7s42sd13r/2b3ny1290436673.ps (open in new window)

Parameters (Session):

par1 = Default ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

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