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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 12:10:41 -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/t1259867558gm6i5fpkrloitxt.htm/, Retrieved Thu, 03 Dec 2009 20:12:40 +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/t1259867558gm6i5fpkrloitxt.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 «

19 18 19 19 22 23 20 14 14 14 15 11 17 16 20 24 23 20 21 19 23 23 23 23 27 26 17 24 26 24 27 27 26 24 23 23 24 17 21 19 22 22 18 16 14 12 14 16 8 3 0 5 1 1 3 6 7 8 14 14 13

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
1	-0.16226	-1.2569	0.106837
2	-0.12929	-1.0015	0.16031
3	0.037528	0.2907	0.386146
4	0.014635	0.1134	0.455062
5	-0.058316	-0.4517	0.326553
6	0.036367	0.2817	0.389571
7	-0.02042	-0.1582	0.437426
8	0.043515	0.3371	0.368623
9	-0.055343	-0.4287	0.334843
10	-0.03872	-0.2999	0.382636
11	0.145914	1.1302	0.131436
12	-0.016469	-0.1276	0.449458
13	-0.026922	-0.2085	0.417759
14	-0.226149	-1.7517	0.042464
15	0.086026	0.6664	0.25387
16	0.112247	0.8695	0.19403
17	-0.10997	-0.8518	0.198849
18	0.033129	0.2566	0.399175
19	0.049574	0.384	0.351168
20	0.05533	0.4286	0.33488
21	-0.308383	-2.3887	0.010035
22	-0.034562	-0.2677	0.394918
23	0.064564	0.5001	0.309415
24	-0.033549	-0.2599	0.397928
25	-0.119837	-0.9283	0.178498
26	0.194258	1.5047	0.068822
27	-0.017639	-0.1366	0.445889
28	-0.005584	-0.0433	0.482821
29	-0.113014	-0.8754	0.192423
30	-0.004604	-0.0357	0.485834
31	0.122917	0.9521	0.172429
32	-0.065446	-0.5069	0.307026
33	-0.092586	-0.7172	0.238026
34	-0.001446	-0.0112	0.495551
35	0.025809	0.1999	0.42111
36	0.018969	0.1469	0.441838

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.16226	-1.2569	0.106837
2	-0.159826	-1.238	0.110268
3	-0.013424	-0.104	0.458764
4	-0.001466	-0.0114	0.495487
5	-0.054223	-0.42	0.337989
6	0.019216	0.1488	0.441088
7	-0.027304	-0.2115	0.41661
8	0.046491	0.3601	0.360013
9	-0.04797	-0.3716	0.355761
10	-0.05012	-0.3882	0.34961
11	0.124965	0.968	0.168471
12	0.018345	0.1421	0.44374
13	0.019987	0.1548	0.438743
14	-0.257379	-1.9937	0.025371
15	-0.001207	-0.0093	0.496287
16	0.088228	0.6834	0.24849
17	-0.070428	-0.5455	0.293705
18	0.038242	0.2962	0.384043
19	-0.010919	-0.0846	0.466438
20	0.13261	1.0272	0.154226
21	-0.322159	-2.4954	0.007674
22	-0.16571	-1.2836	0.102111
23	-0.057709	-0.447	0.328237
24	-0.066645	-0.5162	0.303795
25	-0.049056	-0.38	0.352647
26	0.095997	0.7436	0.230013
27	0.032303	0.2502	0.401637
28	-0.021909	-0.1697	0.432906
29	-0.153908	-1.1922	0.118944
30	-0.060257	-0.4668	0.321184
31	0.026302	0.2037	0.419626
32	0.056257	0.4358	0.332286
33	-0.03986	-0.3088	0.37929
34	-0.082658	-0.6403	0.262219
35	-0.163782	-1.2687	0.104733
36	-0.044827	-0.3472	0.364816

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259867558gm6i5fpkrloitxt/1jrp51259867438.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259867558gm6i5fpkrloitxt/1jrp51259867438.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259867558gm6i5fpkrloitxt/2tdnx1259867438.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259867558gm6i5fpkrloitxt/2tdnx1259867438.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1.4 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1.4 ; 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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