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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 10:22:50 -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/t1260897864hqphq4o5dy235bl.htm/, Retrieved Tue, 15 Dec 2009 18:24:27 +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/t1260897864hqphq4o5dy235bl.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 «

8.7 8.2 8.3 8.5 8.6 8.5 8.2 8.1 7.9 8.6 8.7 8.7 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8 8.2 8.1 8.1 8 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.4 6.1 6.5 7.7 7.9 7.5 6.9 6.6 6.9 7.7 8 8 7.7 7.3 7.4 8.1 8.3 8.2

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	0.216574	1.4689	0.074336
2	-0.24387	-1.654	0.052468
3	-0.412884	-2.8003	0.00372
4	-0.410705	-2.7855	0.003868
5	-0.056721	-0.3847	0.351117
6	0.174894	1.1862	0.120819
7	0.345735	2.3449	0.011702
8	0.24795	1.6817	0.049705
9	-0.095436	-0.6473	0.260336
10	-0.115635	-0.7843	0.218449
11	-0.09758	-0.6618	0.255694
12	-0.253661	-1.7204	0.046039
13	-0.049011	-0.3324	0.370545
14	0.198297	1.3449	0.092623
15	0.191861	1.3013	0.099824
16	0.006655	0.0451	0.482097
17	-0.057888	-0.3926	0.348208
18	-0.046172	-0.3132	0.377789
19	-0.126676	-0.8592	0.197355
20	0.012682	0.086	0.465915
21	0.188605	1.2792	0.103624
22	0.053284	0.3614	0.359732
23	-0.075989	-0.5154	0.304378
24	-0.173672	-1.1779	0.122447
25	-0.018644	-0.1265	0.449962
26	0.103457	0.7017	0.243208
27	0.089872	0.6095	0.272582
28	0.042506	0.2883	0.38721
29	-0.033977	-0.2304	0.409384
30	-0.176964	-1.2002	0.118098
31	-0.004435	-0.0301	0.488067
32	0.025833	0.1752	0.430842
33	0.051496	0.3493	0.364244
34	0.046733	0.317	0.376355
35	-8.2e-05	-6e-04	0.499778
36	0.034738	0.2356	0.407394

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.216574	1.4689	0.074336
2	-0.305084	-2.0692	0.022087
3	-0.321478	-2.1804	0.017191
4	-0.409155	-2.775	0.003976
5	-0.202921	-1.3763	0.087699
6	-0.244594	-1.6589	0.051969
7	-0.036401	-0.2469	0.403048
8	-0.025713	-0.1744	0.431161
9	-0.136602	-0.9265	0.179516
10	0.124397	0.8437	0.201601
11	0.168664	1.1439	0.129284
12	-0.185172	-1.2559	0.107747
13	-0.033421	-0.2267	0.410842
14	0.117309	0.7956	0.215166
15	-0.025902	-0.1757	0.430661
16	-0.209049	-1.4178	0.081488
17	-0.020128	-0.1365	0.446005
18	-0.014649	-0.0994	0.460643
19	-0.146921	-0.9965	0.162118
20	0.102981	0.6985	0.244205
21	0.195288	1.3245	0.095939
22	-0.014218	-0.0964	0.461799
23	0.120249	0.8156	0.209474
24	-0.037223	-0.2525	0.400906
25	-0.027979	-0.1898	0.425165
26	0.103011	0.6987	0.244144
27	0.093866	0.6366	0.26376
28	-0.24277	-1.6465	0.053234
29	-0.034342	-0.2329	0.408428
30	-0.029069	-0.1972	0.422288
31	-0.017865	-0.1212	0.452045
32	-0.162388	-1.1014	0.138233
33	0.101302	0.6871	0.247745
34	-0.051563	-0.3497	0.364073
35	-0.046752	-0.3171	0.376307
36	0.069794	0.4734	0.319097

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260897864hqphq4o5dy235bl/15ila1260897768.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260897864hqphq4o5dy235bl/15ila1260897768.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260897864hqphq4o5dy235bl/2mp8m1260897768.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260897864hqphq4o5dy235bl/2mp8m1260897768.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 0.5 ; par3 = 2 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 0.5 ; par3 = 2 ; 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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