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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: Wed, 16 Dec 2009 07:16:06 -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/16/t12609731213n3f1jov3latai5.htm/, Retrieved Wed, 16 Dec 2009 15:18:43 +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/16/t12609731213n3f1jov3latai5.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 «

19915 19843 19761 20858 21968 23061 22661 22269 21857 21568 21274 20987 19683 19381 19071 20772 22485 24181 23479 22782 22067 21489 20903 20330 19736 19483 19242 20334 21423 22523 21986 21462 20908 20575 20237 19904 19610 19251 18941 20450 21946 23409 22741 22069 21539 21189 20960 20704 19697 19598 19456 20316 21083 22158 21469 20892 20578 20233 19947 20049

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	0.526069	4.0408	7.8e-05
2	0.120528	0.9258	0.179163
3	-0.365585	-2.8081	0.003373
4	-0.33635	-2.5836	0.006138
5	-0.316645	-2.4322	0.00903
6	-0.168755	-1.2962	0.099972
7	-0.278575	-2.1398	0.01826
8	-0.283565	-2.1781	0.016704
9	-0.294642	-2.2632	0.013659
10	0.122385	0.9401	0.175511
11	0.4322	3.3198	0.000774
12	0.764159	5.8696	0
13	0.413754	3.1781	0.00118
14	0.077932	0.5986	0.275863
15	-0.302453	-2.3232	0.011818
16	-0.274312	-2.107	0.019688
17	-0.249152	-1.9138	0.030252
18	-0.157955	-1.2133	0.11493
19	-0.191602	-1.4717	0.073204
20	-0.175736	-1.3499	0.091109
21	-0.190389	-1.4624	0.074469
22	0.079899	0.6137	0.270881
23	0.301438	2.3154	0.012044
24	0.537458	4.1283	5.8e-05
25	0.291492	2.239	0.01447
26	0.051795	0.3978	0.346091
27	-0.235563	-1.8094	0.037743
28	-0.206251	-1.5842	0.059242
29	-0.177839	-1.366	0.088561
30	-0.07678	-0.5898	0.278803
31	-0.118379	-0.9093	0.183449
32	-0.114361	-0.8784	0.191638
33	-0.126149	-0.969	0.168258
34	0.064701	0.497	0.310526
35	0.199141	1.5296	0.065726
36	0.373582	2.8695	0.002849

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.526069	4.0408	7.8e-05
2	-0.215999	-1.6591	0.0512
3	-0.477233	-3.6657	0.000265
4	0.188039	1.4444	0.076965
5	-0.211635	-1.6256	0.054682
6	-0.219401	-1.6852	0.048612
7	-0.34649	-2.6614	0.005004
8	-0.316668	-2.4324	0.009026
9	-0.376313	-2.8905	0.002687
10	0.121713	0.9349	0.176826
11	0.041163	0.3162	0.376491
12	0.357804	2.7483	0.003967
13	-0.265751	-2.0413	0.022852
14	-0.071407	-0.5485	0.292712
15	0.143814	1.1047	0.136897
16	-0.056016	-0.4303	0.334285
17	-0.018186	-0.1397	0.444692
18	-0.118801	-0.9125	0.182602
19	0.219816	1.6884	0.048304
20	0.056497	0.434	0.332949
21	-0.123512	-0.9487	0.173318
22	-0.06788	-0.5214	0.302022
23	0.00041	0.0031	0.498749
24	0.015047	0.1156	0.454189
25	-0.133866	-1.0282	0.154016
26	-0.013163	-0.1011	0.459905
27	-0.046145	-0.3544	0.362134
28	0.037437	0.2876	0.387345
29	-0.045204	-0.3472	0.364831
30	0.065735	0.5049	0.307749
31	-0.130486	-1.0023	0.16015
32	-0.065313	-0.5017	0.308881
33	0.143714	1.1039	0.137061
34	-0.015921	-0.1223	0.451541
35	-0.10422	-0.8005	0.213307
36	-0.019853	-0.1525	0.43966

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/16/t12609731213n3f1jov3latai5/14uj71260972965.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t12609731213n3f1jov3latai5/14uj71260972965.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t12609731213n3f1jov3latai5/2q6j51260972965.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t12609731213n3f1jov3latai5/2q6j51260972965.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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