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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: Sun, 06 Dec 2009 08:35:28 -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/06/t1260113993zuzynyao2qvg6zh.htm/, Retrieved Sun, 06 Dec 2009 16:39:56 +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/06/t1260113993zuzynyao2qvg6zh.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 «

9051 8823 8776 8255 7969 8758 8693 8271 7790 7769 8170 8209 9395 9260 9018 8501 8500 9649 9319 8830 8436 8169 8269 7945 9144 8770 8834 7837 7792 8616 8518 7940 7545 7531 7665 7599 8444 8549 7986 7335 7287 7870 7839 7327 7259 6964 7271 6956 7608 7692 7255 6804 6655 7341 7602 7086 6625 6272 6576 6491 7649 7400 6913 6532 6486 7295 7556 7088 6952 6773 6917 7371 8221 7953 8027 7287 8076 8933 9433 9479 9199 9469 10015 10999 13009 13699 13895 13248 13973 15095 15201 14823 14538 14547 14407

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	0.933518	9.0988	0
2	0.853963	8.3234	0
3	0.782388	7.6258	0
4	0.726802	7.084	0
5	0.666127	6.4926	0
6	0.585199	5.7038	0
7	0.505432	4.9263	2e-06
8	0.416646	4.061	5e-05
9	0.322621	3.1445	0.00111
10	0.252214	2.4583	0.007886
11	0.203399	1.9825	0.025157
12	0.173888	1.6949	0.04669
13	0.116581	1.1363	0.129347
14	0.061525	0.5997	0.275077
15	0.020288	0.1977	0.421836
16	-0.003454	-0.0337	0.486605
17	-0.024032	-0.2342	0.407652
18	-0.049277	-0.4803	0.316063
19	-0.073002	-0.7115	0.239248
20	-0.09835	-0.9586	0.170099
21	-0.129785	-1.265	0.104484
22	-0.140862	-1.373	0.0865
23	-0.141972	-1.3838	0.084835
24	-0.137538	-1.3406	0.091631
25	-0.158411	-1.544	0.062956
26	-0.181844	-1.7724	0.039768
27	-0.195405	-1.9046	0.02993
28	-0.192861	-1.8798	0.031601
29	-0.192932	-1.8805	0.031554
30	-0.196722	-1.9174	0.029095
31	-0.197869	-1.9286	0.028384
32	-0.207152	-2.0191	0.023149
33	-0.218258	-2.1273	0.017992
34	-0.216701	-2.1121	0.018649
35	-0.208807	-2.0352	0.022308
36	-0.190615	-1.8579	0.033141

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.933518	9.0988	0
2	-0.136081	-1.3264	0.093951
3	0.029727	0.2897	0.386324
4	0.073419	0.7156	0.237997
5	-0.093382	-0.9102	0.182517
6	-0.17632	-1.7186	0.044476
7	-0.002869	-0.028	0.488873
8	-0.157277	-1.533	0.064306
9	-0.12333	-1.2021	0.116161
10	0.149765	1.4597	0.073832
11	0.082931	0.8083	0.210464
12	0.093054	0.907	0.183357
13	-0.206573	-2.0134	0.023449
14	0.050031	0.4876	0.313464
15	0.003343	0.0326	0.487038
16	0.006141	0.0599	0.476197
17	-0.057382	-0.5593	0.28864
18	-0.026894	-0.2621	0.396893
19	-0.045322	-0.4417	0.329838
20	-0.027887	-0.2718	0.393178
21	-0.033845	-0.3299	0.371109
22	0.111108	1.083	0.140786
23	-0.007092	-0.0691	0.472517
24	-0.020484	-0.1996	0.421091
25	-0.118043	-1.1505	0.126404
26	0.004477	0.0436	0.482644
27	-0.018392	-0.1793	0.429055
28	0.038801	0.3782	0.353067
29	-0.068039	-0.6632	0.254416
30	-0.003328	-0.0324	0.487095
31	0.028626	0.279	0.39042
32	-0.083562	-0.8145	0.208708
33	0.036159	0.3524	0.362648
34	0.01618	0.1577	0.437514
35	-0.045086	-0.4394	0.330669
36	0.038592	0.3761	0.353823

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/06/t1260113993zuzynyao2qvg6zh/1ti561260113726.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/06/t1260113993zuzynyao2qvg6zh/1ti561260113726.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/06/t1260113993zuzynyao2qvg6zh/272xs1260113726.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/06/t1260113993zuzynyao2qvg6zh/272xs1260113726.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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