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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: Thu, 03 Dec 2009 09:02:34 -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/t1259856238lmftcjzz0uu61fl.htm/, Retrieved Thu, 03 Dec 2009 17:04:01 +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/t1259856238lmftcjzz0uu61fl.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 «

24 22 25 24 29 26 26 21 23 22 21 16 19 16 25 27 23 22 23 20 24 23 20 21 22 17 21 19 23 22 15 23 21 18 18 18 18 10 13 10 9 9 6 11 9 10 9 16 10 7 7 14 11 10 6 8 13 12 15 16 16

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	-0.386483	-2.9937	0.001999
2	0.013613	0.1054	0.458186
3	-0.101998	-0.7901	0.216299
4	0.094497	0.732	0.233519
5	0.022423	0.1737	0.431347
6	-0.011234	-0.087	0.465472
7	-0.116004	-0.8986	0.186239
8	0.077161	0.5977	0.276149
9	-0.047669	-0.3692	0.356622
10	-0.048717	-0.3774	0.35362
11	-0.022275	-0.1725	0.431795
12	0.218439	1.692	0.047914
13	-0.116823	-0.9049	0.184567
14	0.008474	0.0656	0.473941
15	-0.007086	-0.0549	0.478206
16	0.05743	0.4448	0.329015
17	-0.006107	-0.0473	0.481215
18	-0.058375	-0.4522	0.326389
19	-0.012555	-0.0972	0.461426
20	0.078937	0.6114	0.271608
21	-0.1077	-0.8342	0.203727
22	-0.075966	-0.5884	0.279226
23	-0.003682	-0.0285	0.48867
24	0.074321	0.5757	0.283489
25	-0.023448	-0.1816	0.428244
26	-0.112509	-0.8715	0.193479
27	0.140072	1.085	0.141133
28	-0.086774	-0.6721	0.252035
29	0.067378	0.5219	0.301828
30	0.013403	0.1038	0.45883
31	-0.00856	-0.0663	0.473679
32	0.058517	0.4533	0.325995
33	0.045518	0.3526	0.362819
34	-0.139838	-1.0832	0.14153
35	-0.000968	-0.0075	0.497023
36	-0.025747	-0.1994	0.421298

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.386483	-2.9937	0.001999
2	-0.159595	-1.2362	0.110598
3	-0.190089	-1.4724	0.073066
4	-0.030592	-0.237	0.406746
5	0.041868	0.3243	0.373415
6	0.024023	0.1861	0.426503
7	-0.112975	-0.8751	0.192505
8	-0.019375	-0.1501	0.440603
9	-0.064933	-0.503	0.308413
10	-0.140294	-1.0867	0.140756
11	-0.117195	-0.9078	0.18381
12	0.190099	1.4725	0.073056
13	0.049419	0.3828	0.351611
14	0.014347	0.1111	0.455941
15	0.056375	0.4367	0.331955
16	0.040347	0.3125	0.377863
17	-0.010315	-0.0799	0.468291
18	-0.057453	-0.445	0.328951
19	-0.015929	-0.1234	0.451106
20	0.044528	0.3449	0.365682
21	-0.06976	-0.5404	0.295476
22	-0.138034	-1.0692	0.14463
23	-0.124359	-0.9633	0.169637
24	-0.088042	-0.682	0.24894
25	-0.059579	-0.4615	0.323055
26	-0.170263	-1.3188	0.096116
27	0.04895	0.3792	0.352952
28	-0.101311	-0.7848	0.217843
29	-0.062318	-0.4827	0.315527
30	0.065903	0.5105	0.305794
31	0.008586	0.0665	0.473596
32	0.032939	0.2551	0.399742
33	0.192024	1.4874	0.071072
34	0.049037	0.3798	0.352702
35	-0.073427	-0.5688	0.28582
36	-0.11481	-0.8893	0.188694

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259856238lmftcjzz0uu61fl/1u9t11259856152.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259856238lmftcjzz0uu61fl/1u9t11259856152.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259856238lmftcjzz0uu61fl/2dy4q1259856152.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259856238lmftcjzz0uu61fl/2dy4q1259856152.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; 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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