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ws9

*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: Fri, 04 Dec 2009 05:36:45 -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/04/t1259930255jtkd42ta3kz0ymi.htm/, Retrieved Fri, 04 Dec 2009 13:37:37 +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/04/t1259930255jtkd42ta3kz0ymi.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 «

5594 5585 5710 5511 5403 5826 5884 5965 5960 6064 6046 5954 5952 5960 5983 5996 6021 6094 6202 6276 6306 6342 6345 6328 6191 6261 6253 6198 6247 6293 6381 6448 6470 6516 6532 6526 6533 6498 6507 6464 6453 6468 6497 6808 6793 6907 6792 6757 6734 6654 6589 6469 6521 6448 6410 6528 6445 6458 6215 6167

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	-0.203267	-1.3935	0.085007
2	-0.026792	-0.1837	0.427528
3	0.0881	0.604	0.274379
4	0.045968	0.3151	0.377025
5	0.069192	0.4744	0.31872
6	-0.187889	-1.2881	0.102008
7	0.284712	1.9519	0.028462
8	-0.070229	-0.4815	0.316209
9	0.09894	0.6783	0.250454
10	0.043539	0.2985	0.383324
11	-0.049644	-0.3403	0.367558
12	-0.148797	-1.0201	0.156452
13	0.070327	0.4821	0.315973
14	-0.07476	-0.5125	0.305341
15	-0.088585	-0.6073	0.273284
16	0.048832	0.3348	0.369641
17	-0.046983	-0.3221	0.374403
18	0.07117	0.4879	0.313939
19	-0.249998	-1.7139	0.046568
20	0.181762	1.2461	0.109452
21	-0.017605	-0.1207	0.452223
22	-0.145687	-0.9988	0.161507
23	0.085279	0.5846	0.280791
24	-0.029689	-0.2035	0.419797
25	0.035054	0.2403	0.405564
26	-0.222588	-1.526	0.066858
27	0.096068	0.6586	0.25668
28	0.021941	0.1504	0.440539
29	0.077466	0.5311	0.298933
30	0.009127	0.0626	0.475186
31	-0.059084	-0.4051	0.343636
32	0.003574	0.0245	0.490279
33	-0.016772	-0.115	0.454473
34	0.043125	0.2956	0.384401
35	-0.166694	-1.1428	0.129455
36	0.038984	0.2673	0.395218
37	0.034353	0.2355	0.407417
38	0.032554	0.2232	0.412182
39	-0.044202	-0.303	0.381602
40	-0.060711	-0.4162	0.339574
41	0.056278	0.3858	0.350683
42	-0.090454	-0.6201	0.269086
43	-0.043023	-0.2949	0.384666
44	0.016857	0.1156	0.454244
45	-0.01035	-0.071	0.471868
46	6e-04	0.0041	0.498367
47	NA	NA	NA
48	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.203267	-1.3935	0.085007
2	-0.071045	-0.4871	0.314239
3	0.071108	0.4875	0.314087
4	0.081841	0.5611	0.288707
5	0.108986	0.7472	0.229342
6	-0.163903	-1.1237	0.133431
7	0.224484	1.539	0.065257
8	-0.007264	-0.0498	0.480246
9	0.14737	1.0103	0.158759
10	0.054499	0.3736	0.355181
11	-0.024075	-0.165	0.434807
12	-0.280165	-1.9207	0.030423
13	0.072685	0.4983	0.310298
14	-0.209862	-1.4387	0.078425
15	-0.020346	-0.1395	0.444832
16	-0.047238	-0.3238	0.373745
17	-0.023583	-0.1617	0.436125
18	0.009591	0.0658	0.473926
19	-0.111571	-0.7649	0.224079
20	0.097083	0.6656	0.254471
21	0.133619	0.916	0.182161
22	-0.056141	-0.3849	0.35103
23	0.055245	0.3787	0.353293
24	0.02237	0.1534	0.439384
25	-0.059388	-0.4071	0.342875
26	-0.186987	-1.2819	0.103079
27	-0.042483	-0.2912	0.386071
28	-0.045045	-0.3088	0.379415
29	0.215576	1.4779	0.07305
30	0.003291	0.0226	0.491047
31	-0.046935	-0.3218	0.374528
32	-0.049972	-0.3426	0.366718
33	0.013501	0.0926	0.463325
34	-0.002024	-0.0139	0.494494
35	-0.003732	-0.0256	0.489847
36	-0.13787	-0.9452	0.174698
37	-0.018188	-0.1247	0.45065
38	-0.099597	-0.6828	0.249041
39	0.0249	0.1707	0.432594
40	-0.067479	-0.4626	0.322889
41	0.044713	0.3065	0.380276
42	-0.027234	-0.1867	0.426348
43	0.004049	0.0278	0.488987
44	0.014344	0.0983	0.461043
45	-0.020143	-0.1381	0.445377
46	0.024402	0.1673	0.433929
47	NA	NA	NA
48	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259930255jtkd42ta3kz0ymi/1q4wr1259930204.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259930255jtkd42ta3kz0ymi/1q4wr1259930204.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259930255jtkd42ta3kz0ymi/2lrfi1259930204.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259930255jtkd42ta3kz0ymi/2lrfi1259930204.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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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