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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: Tue, 15 Dec 2009 08:22:15 -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/15/t1260890625zho61us2ysb0hze.htm/, Retrieved Tue, 15 Dec 2009 16:23:47 +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/15/t1260890625zho61us2ysb0hze.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 «

2350.44 2440.25 2408.64 2472.81 2407.6 2454.62 2448.05 2497.84 2645.64 2756.76 2849.27 2921.44 2981.85 3080.58 3106.22 3119.31 3061.26 3097.31 3161.69 3257.16 3277.01 3295.32 3363.99 3494.17 3667.03 3813.06 3917.96 3895.51 3801.06 3570.12 3701.61 3862.27 3970.1 4138.52 4199.75 4290.89 4443.91 4502.64 4356.98 4591.27 4696.96 4621.4 4562.84 4202.52 4296.49 4435.23 4105.18 4116.68 3844.49 3720.98 3674.4 3857.62 3801.06 3504.37 3032.6 3047.03 2962.34 2197.82 2014.45 1862.83 1905.41 1810.99 1670.07 1864.44 2052.02 2029.6 2070.83 2293.41 2443.27 2513.17 2466.92

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	0.295663	2.4737	0.007901
2	0.101216	0.8468	0.199987
3	0.228024	1.9078	0.030261
4	0.242761	2.0311	0.023023
5	0.261734	2.1898	0.015936
6	-0.016128	-0.1349	0.446524
7	-0.029644	-0.248	0.402424
8	0.155741	1.303	0.098419
9	0.04542	0.38	0.352543
10	-0.130654	-1.0931	0.139041
11	0.138999	1.1629	0.1244
12	0.014968	0.1252	0.45035
13	-0.01659	-0.1388	0.445001
14	0.083738	0.7006	0.242936
15	-0.024365	-0.2039	0.419531
16	0.074869	0.6264	0.266545
17	-0.10138	-0.8482	0.199606
18	-0.166839	-1.3959	0.083582
19	0.008307	0.0695	0.472393
20	-0.098727	-0.826	0.205803
21	-0.161856	-1.3542	0.090017
22	-0.144767	-1.2112	0.114945
23	-0.117356	-0.9819	0.164773
24	-0.084913	-0.7104	0.239899
25	-0.027011	-0.226	0.410934
26	-0.101536	-0.8495	0.199247
27	-0.012629	-0.1057	0.458076
28	0.062033	0.519	0.302697
29	-0.018317	-0.1533	0.43932
30	-0.022895	-0.1916	0.424323
31	-0.059443	-0.4973	0.310255
32	-0.019558	-0.1636	0.435247
33	-0.05901	-0.4937	0.311526
34	-0.089275	-0.7469	0.228803
35	-0.141465	-1.1836	0.120292
36	-0.043279	-0.3621	0.359186

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.295663	2.4737	0.007901
2	0.015121	0.1265	0.449843
3	0.212719	1.7797	0.03973
4	0.136543	1.1424	0.12859
5	0.175672	1.4698	0.073051
6	-0.196418	-1.6434	0.052397
7	-0.057522	-0.4813	0.315916
8	0.086607	0.7246	0.235556
9	-0.05075	-0.4246	0.336214
10	-0.153371	-1.2832	0.101829
11	0.297634	2.4902	0.007572
12	-0.140942	-1.1792	0.121154
13	-0.011635	-0.0973	0.461367
14	0.145185	1.2147	0.11428
15	-0.057311	-0.4795	0.316541
16	-0.064732	-0.5416	0.29491
17	-0.108656	-0.9091	0.183214
18	-0.077715	-0.6502	0.258842
19	-0.039049	-0.3267	0.372432
20	-0.080181	-0.6708	0.252263
21	0.049857	0.4171	0.338929
22	-0.118924	-0.995	0.161585
23	0.02228	0.1864	0.426333
24	0.003776	0.0316	0.487444
25	0.060601	0.507	0.306867
26	-0.003271	-0.0274	0.489121
27	0.016043	0.1342	0.446806
28	0.094302	0.789	0.216392
29	-0.00558	-0.0467	0.481447
30	-0.141311	-1.1823	0.120545
31	0.038447	0.3217	0.374331
32	-0.034168	-0.2859	0.387909
33	-0.128117	-1.0719	0.143723
34	0.031111	0.2603	0.397702
35	-0.080393	-0.6726	0.251703
36	0.025736	0.2153	0.41507

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260890625zho61us2ysb0hze/1o2x21260890534.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260890625zho61us2ysb0hze/1o2x21260890534.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260890625zho61us2ysb0hze/2v7eb1260890534.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260890625zho61us2ysb0hze/2v7eb1260890534.ps (open in new window)

Parameters (Session):

Parameters (R input):

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

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 (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='lags',ylab='ACF')

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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