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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 16:46:11 -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/03/t12597976213nuwpice62eykkg.htm/, Retrieved Thu, 03 Dec 2009 00:47:04 +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/03/t12597976213nuwpice62eykkg.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 «

595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528 533 536 537 524 536 587 597 581 564 564

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
0	1	6.8557	0
1	0.130074	0.8917	0.188537
2	0.239179	1.6397	0.05387
3	0.336613	2.3077	0.012733
4	0.22194	1.5215	0.067412
5	0.065188	0.4469	0.328497
6	0.190323	1.3048	0.099158
7	0.020438	0.1401	0.444584
8	0.15339	1.0516	0.149183
9	0.022985	0.1576	0.437732
10	-0.081669	-0.5599	0.710896
11	0.289017	1.9814	0.026706
12	-0.148853	-1.0205	0.843638
13	-0.074863	-0.5132	0.694905
14	0.100728	0.6906	0.24662
15	0.067018	0.4595	0.324014
16	-0.109154	-0.7483	0.771004
17	0.089974	0.6168	0.270162
18	-0.165698	-1.136	0.869135
19	-0.026648	-0.1827	0.572086
20	-0.146065	-1.0014	0.839112
21	-0.205897	-1.4116	0.917667
22	-0.090432	-0.62	0.730865
23	-0.182002	-1.2477	0.890847
24	-0.195024	-1.337	0.906174
25	-0.07395	-0.507	0.692728
26	-0.128428	-0.8805	0.808455
27	-0.237266	-1.6266	0.944747
28	-0.101052	-0.6928	0.75407
29	-0.137963	-0.9458	0.825464
30	-0.100748	-0.6907	0.753422
31	-0.046344	-0.3177	0.623946
32	-0.071487	-0.4901	0.686826
33	-0.05132	-0.3518	0.636733
34	0.007919	0.0543	0.478467
35	-0.016389	-0.1124	0.544491
36	-0.006332	-0.0434	0.51722
37	-0.017085	-0.1171	0.546373
38	-0.017711	-0.1214	0.548062
39	0.004059	0.0278	0.488958
40	-0.000548	-0.0038	0.50149
41	-0.015966	-0.1095	0.543347
42	-0.003171	-0.0217	0.508626
43	0.014033	0.0962	0.461884
44	-0.000337	-0.0023	0.500916
45	0.000519	0.0036	0.498587
46	-0.000996	-0.0068	0.502711
47	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
0	0.130074	0.8917	0.188537
1	0.226085	1.55	0.06393
2	0.303515	2.0808	0.021464
3	0.147487	1.0111	0.158568
4	-0.095052	-0.6516	0.741097
5	0.022421	0.1537	0.439249
6	-0.108369	-0.7429	0.769392
7	0.113982	0.7814	0.219237
8	-0.026812	-0.1838	0.572524
9	-0.161511	-1.1073	0.863093
10	0.31528	2.1615	0.017893
11	-0.244519	-1.6763	0.949844
12	-0.068649	-0.4706	0.679961
13	0.051995	0.3565	0.361546
14	0.118677	0.8136	0.209986
15	0.009349	0.0641	0.474584
16	-0.059509	-0.408	0.657428
17	-0.186181	-1.2764	0.895956
18	-0.095941	-0.6577	0.743043
19	-0.083308	-0.5711	0.714685
20	-0.065487	-0.449	0.672236
21	-0.080746	-0.5536	0.708751
22	0.00801	0.0549	0.478221
23	0.052162	0.3576	0.361119
24	-0.042328	-0.2902	0.613524
25	-0.055912	-0.3833	0.648391
26	-0.072693	-0.4984	0.689721
27	-0.095802	-0.6568	0.742739
28	0.108961	0.747	0.229392
29	-0.042137	-0.2889	0.613027
30	0.097015	0.6651	0.254617
31	0.01086	0.0745	0.470484
32	-0.039351	-0.2698	0.605743
33	0.04712	0.323	0.37405
34	0.045932	0.3149	0.377118
35	0.018635	0.1278	0.449443
36	-0.036035	-0.247	0.597025
37	0.013825	0.0948	0.462448
38	-0.048226	-0.3306	0.628799
39	-0.092102	-0.6314	0.734588
40	-0.013007	-0.0892	0.535338
41	-0.05092	-0.3491	0.635708
42	0.064233	0.4404	0.330848
43	0.037664	0.2582	0.398686
44	-0.082975	-0.5688	0.713915
45	-0.123238	-0.8449	0.798771
46	NA	NA	NA
47	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/03/t12597976213nuwpice62eykkg/1wgji1259797569.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t12597976213nuwpice62eykkg/1wgji1259797569.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t12597976213nuwpice62eykkg/2wg6k1259797569.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t12597976213nuwpice62eykkg/2wg6k1259797569.ps (open in new window)

Parameters (Session):

par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ;

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 (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='lags',ylab='ACF')

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 1:par1) {

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(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-1,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(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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