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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, 13 Dec 2009 05:15:51 -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/13/t126070663233oainncj8939su.htm/, Retrieved Sun, 13 Dec 2009 13:17:14 +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/13/t126070663233oainncj8939su.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 «

5560 3922 3759 4138 4634 3996 4308 4143 4429 5219 4929 5755 5592 4163 4962 5208 4755 4491 5732 5731 5040 6102 4904 5369 5578 4619 4731 5011 5299 4146 4625 4736 4219 5116 4205 4121 5103 4300 4578 3809 5526 4247 3830 4394 4826 4409 4569 4106 4794 3914 3793 4405 4022 4100 4788 3163 3585 3903 4178 3863 4187

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	0.336146	2.6254	0.005463
2	0.303183	2.3679	0.010537
3	0.444923	3.475	0.000473
4	0.33412	2.6096	0.005695
5	0.239909	1.8738	0.032878
6	0.208503	1.6285	0.054291
7	0.209784	1.6385	0.053236
8	0.177894	1.3894	0.084882
9	0.168306	1.3145	0.096798
10	0.173792	1.3574	0.089834
11	0.006263	0.0489	0.480573
12	0.192242	1.5015	0.069198
13	0.035408	0.2765	0.391531
14	-0.004636	-0.0362	0.485619
15	-0.017094	-0.1335	0.447116
16	-0.051052	-0.3987	0.345742
17	-0.052055	-0.4066	0.342876
18	-0.032196	-0.2515	0.401154
19	-0.108239	-0.8454	0.200604
20	-0.114654	-0.8955	0.187027
21	0.003842	0.03	0.48808
22	-0.080517	-0.6289	0.265894
23	-0.14065	-1.0985	0.138149
24	-0.036639	-0.2862	0.387863
25	-0.074509	-0.5819	0.281379
26	-0.097335	-0.7602	0.225028
27	-0.116325	-0.9085	0.183588
28	-0.131609	-1.0279	0.154029
29	-0.138069	-1.0784	0.142561
30	-0.123637	-0.9656	0.16902
31	-0.235901	-1.8424	0.035136
32	-0.216739	-1.6928	0.047799
33	-0.118308	-0.924	0.179559
34	-0.208679	-1.6298	0.054145
35	-0.23875	-1.8647	0.033518
36	-0.130954	-1.0228	0.155225

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.336146	2.6254	0.005463
2	0.214417	1.6746	0.049562
3	0.345991	2.7023	0.004453
4	0.128907	1.0068	0.159005
5	0.003915	0.0306	0.487855
6	-0.061037	-0.4767	0.317635
7	-0.006719	-0.0525	0.47916
8	0.014411	0.1126	0.455378
9	0.05113	0.3993	0.345518
10	0.057671	0.4504	0.327001
11	-0.177428	-1.3858	0.085433
12	0.138639	1.0828	0.141579
13	-0.130949	-1.0227	0.155234
14	-0.014469	-0.113	0.455197
15	-0.117986	-0.9215	0.18021
16	-0.059948	-0.4682	0.320652
17	-0.017045	-0.1331	0.447267
18	0.071669	0.5598	0.288849
19	-0.058936	-0.4603	0.323466
20	-0.052097	-0.4069	0.342757
21	0.124427	0.9718	0.167493
22	-0.075871	-0.5926	0.27783
23	0.022894	0.1788	0.429342
24	-0.028441	-0.2221	0.412478
25	0.01628	0.1272	0.449618
26	-0.020913	-0.1633	0.435396
27	-0.039758	-0.3105	0.378612
28	-0.086215	-0.6734	0.25163
29	-0.042485	-0.3318	0.370583
30	-0.03229	-0.2522	0.40087
31	-0.188889	-1.4753	0.072641
32	-0.008136	-0.0635	0.47477
33	-0.008327	-0.065	0.47418
34	-0.02129	-0.1663	0.434244
35	-0.057691	-0.4506	0.326944
36	0.047574	0.3716	0.355751

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/13/t126070663233oainncj8939su/1fmxz1260706549.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t126070663233oainncj8939su/1fmxz1260706549.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t126070663233oainncj8939su/2h8lq1260706549.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t126070663233oainncj8939su/2h8lq1260706549.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 0.3 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 0.3 ; 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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