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SMP

*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 12:34:54 -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/t1259782679haraw15umnu8jzt.htm/, Retrieved Wed, 02 Dec 2009 20:38:04 +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/t1259782679haraw15umnu8jzt.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 «

111.5 108.1 124.5 106.3 111.1 121.3 116.5 117.4 123.6 98.4 107.2 118.9 111.9 115.2 124.4 104.6 117 126.2 117.5 122.2 124.1 105.8 107.5 125.6 112.1 120.1 130.6 109.8 122.1 129.5 132.1 133.3 128.4 114.7 114.1 136.9 123.4 134 137 127.8 140.1 140.4 157.8 151.8 141.1 138.8 141.1 139.5 150.7 144.4 146 143.6 143.1 156.4 164.8 145.1 153.4 133.2 131.4 145.9

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	-0.582351	-3.9924	0.000114
2	-0.074623	-0.5116	0.305668
3	0.442496	3.0336	0.001964
4	-0.373511	-2.5607	0.00686
5	0.106679	0.7314	0.234097
6	0.146025	1.0011	0.160954
7	-0.247533	-1.697	0.048155
8	0.174621	1.1971	0.118628
9	-0.002726	-0.0187	0.492585
10	-0.153653	-1.0534	0.148774
11	0.194728	1.335	0.094156
12	-0.102912	-0.7055	0.241982
13	-0.119511	-0.8193	0.208368
14	0.199057	1.3647	0.089428
15	-0.089502	-0.6136	0.27122
16	-0.054336	-0.3725	0.355593
17	0.069821	0.4787	0.317197
18	-0.00367	-0.0252	0.490017
19	-0.068572	-0.4701	0.320227
20	0.080281	0.5504	0.292334
21	-0.012225	-0.0838	0.466781
22	-0.112391	-0.7705	0.222426
23	0.181497	1.2443	0.109783
24	-0.128467	-0.8807	0.191475
25	0.017796	0.122	0.451708
26	0.050551	0.3466	0.365234
27	-0.008456	-0.058	0.477008
28	-0.101408	-0.6952	0.245171
29	0.098564	0.6757	0.251265
30	0.024186	0.1658	0.43451
31	-0.105399	-0.7226	0.23676
32	0.068233	0.4678	0.321052
33	0.038664	0.2651	0.39606
34	-0.110035	-0.7544	0.227197
35	0.117139	0.8031	0.21299
36	-0.077739	-0.533	0.298289

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.582351	-3.9924	0.000114
2	-0.62608	-4.2922	4.4e-05
3	0.018003	0.1234	0.451149
4	0.013839	0.0949	0.462408
5	0.082748	0.5673	0.286608
6	0.10032	0.6878	0.247493
7	-0.031958	-0.2191	0.413764
8	-0.009218	-0.0632	0.47494
9	0.014596	0.1001	0.460359
10	-0.059885	-0.4106	0.341634
11	0.020606	0.1413	0.444132
12	0.008042	0.0551	0.478133
13	-0.199568	-1.3682	0.088883
14	-0.201764	-1.3832	0.086566
15	-0.033301	-0.2283	0.410202
16	0.085023	0.5829	0.281379
17	-0.037144	-0.2546	0.400054
18	0.016981	0.1164	0.45391
19	-0.065349	-0.448	0.328101
20	-0.018262	-0.1252	0.450451
21	0.067834	0.465	0.322023
22	-0.098481	-0.6752	0.251444
23	0.019529	0.1339	0.447034
24	-0.038379	-0.2631	0.396808
25	0.01388	0.0952	0.462298
26	-0.132499	-0.9084	0.184159
27	0.122219	0.8379	0.203166
28	-0.077605	-0.532	0.298603
29	-0.164703	-1.1291	0.132284
30	-0.030214	-0.2071	0.4184
31	0.06984	0.4788	0.317151
32	0.003827	0.0262	0.489591
33	0.07529	0.5162	0.304081
34	-0.045875	-0.3145	0.377266
35	0.00245	0.0168	0.493336
36	-0.046289	-0.3173	0.376194

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259782679haraw15umnu8jzt/1m6161259782489.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259782679haraw15umnu8jzt/1m6161259782489.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259782679haraw15umnu8jzt/28rfh1259782489.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259782679haraw15umnu8jzt/28rfh1259782489.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 0.4 ; 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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