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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: Wed, 02 Dec 2009 09:37:11 -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/Dec/02/t1259772035xc7k5q15flpv5qs.htm/, Retrieved Wed, 02 Dec 2009 17:40:38 +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/Dec/02/t1259772035xc7k5q15flpv5qs.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 «

1111.92 1131.13 1144.94 1113.89 1107.30 1120.68 1140.84 1101.72 1104.24 1114.58 1130.20 1173.78 1211.92 1181.27 1203.60 1180.59 1156.85 1191.50 1191.33 1234.18 1220.33 1228.81 1207.01 1249.48 1248.29 1280.08 1280.66 1302.88 1310.61 1270.05 1270.06 1278.53 1303.80 1335.83 1377.76 1400.63 1418.03 1437.90 1406.80 1420.83 1482.37 1530.63 1504.66 1455.18 1473.96 1527.29 1545.79 1479.63 1467.97 1378.60 1330.45 1326.41 1385.97 1399.62 1276.69 1269.42 1287.83 1164.17 968.67 888.61

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	-0.336145	-2.2798	0.01365
2	-0.140538	-0.9532	0.172742
3	-0.165757	-1.1242	0.133377
4	0.205166	1.3915	0.085383
5	-0.007431	-0.0504	0.480012
6	-0.092782	-0.6293	0.26614
7	0.042087	0.2854	0.388291
8	-0.04009	-0.2719	0.393457
9	0.126155	0.8556	0.198321
10	-0.182968	-1.241	0.110458
11	0.27969	1.8969	0.032062
12	-0.197976	-1.3427	0.092973
13	-0.061169	-0.4149	0.340084
14	0.069583	0.4719	0.319602
15	0.108356	0.7349	0.233063
16	-0.010041	-0.0681	0.473001
17	-0.191227	-1.297	0.100556
18	0.064059	0.4345	0.332991
19	0.028115	0.1907	0.424804
20	0.053174	0.3606	0.360009
21	-0.037478	-0.2542	0.400242
22	-0.003534	-0.024	0.490492
23	0.093761	0.6359	0.263991
24	-0.205078	-1.3909	0.085473
25	0.13553	0.9192	0.181391
26	-0.083745	-0.568	0.286404
27	0.077148	0.5232	0.301659
28	-0.007224	-0.049	0.480568
29	0.068446	0.4642	0.322339
30	-0.137596	-0.9332	0.177789
31	0.07428	0.5038	0.308406
32	-0.024414	-0.1656	0.434606
33	-0.062206	-0.4219	0.337532
34	0.093466	0.6339	0.264636
35	-0.110702	-0.7508	0.228293
36	0.129867	0.8808	0.191503

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.336145	-2.2798	0.01365
2	-0.285828	-1.9386	0.029351
3	-0.396027	-2.686	0.005013
4	-0.120254	-0.8156	0.209465
5	-0.112159	-0.7607	0.225359
6	-0.196926	-1.3356	0.094123
7	-0.064357	-0.4365	0.332263
8	-0.164826	-1.1179	0.134706
9	0.004384	0.0297	0.488204
10	-0.188792	-1.2805	0.103403
11	0.210876	1.4302	0.079705
12	-0.002099	-0.0142	0.494352
13	-0.128129	-0.869	0.194676
14	0.074534	0.5055	0.307806
15	0.048833	0.3312	0.370999
16	0.107584	0.7297	0.234646
17	-0.027796	-0.1885	0.425647
18	-0.060319	-0.4091	0.342182
19	-0.04112	-0.2789	0.390789
20	-0.134435	-0.9118	0.183318
21	0.061731	0.4187	0.338699
22	-0.081499	-0.5528	0.291554
23	0.145647	0.9878	0.164203
24	-0.142161	-0.9642	0.169998
25	-0.015016	-0.1018	0.459662
26	-0.110857	-0.7519	0.227979
27	-0.117371	-0.7961	0.215046
28	0.139086	0.9433	0.175222
29	0.083683	0.5676	0.286544
30	-0.10457	-0.7092	0.24088
31	0.116684	0.7914	0.216389
32	-0.10422	-0.7069	0.24161
33	-0.028343	-0.1922	0.424203
34	-0.074117	-0.5027	0.308793
35	-0.080418	-0.5454	0.29405
36	-0.064438	-0.437	0.332063

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259772035xc7k5q15flpv5qs/1tbt81259771830.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259772035xc7k5q15flpv5qs/1tbt81259771830.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259772035xc7k5q15flpv5qs/2gulm1259771830.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259772035xc7k5q15flpv5qs/2gulm1259771830.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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