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D=0 d=1

*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 09:06:47 -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/t12609796772980lkkyk3iw9uf.htm/, Retrieved Wed, 16 Dec 2009 17:07:59 +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/t12609796772980lkkyk3iw9uf.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 «

91.98 91.72 90.27 91.89 92.07 92.92 93.34 93.6 92.41 93.6 93.77 93.6 93.6 93.51 92.66 94.2 94.37 94.45 94.62 94.37 93.43 94.79 94.88 94.79 94.62 94.71 93.77 95.73 95.99 95.82 95.47 95.82 94.71 96.33 96.5 96.16 96.33 96.33 95.05 96.84 96.92 97.44 97.78 97.69 96.67 98.29 98.2 98.71 98.54 98.2 96.92 99.06 99.65 99.82 99.99 100.33 99.31 101.1 101.1 100.93 100.85 100.93 99.6 101.88 101.81 102.38 102.74 102.82 101.72 103.47 102.98 102.68 102.9 103.03 101.29 103.69 103.68 104.2 104.08 104.16 103.05 104.66 104.46 104.95 105.85 106.23 104.86 107.44 108.23 108.45 109.39 110.15 109.13 110.28 110.17 109.99 109.26 109.11 107.06 109.53 108.92 109.24 109.12 109 107.23 109.49 109.04 109.02 109.23

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	-0.432916	-4.499	9e-06
2	0.042432	0.441	0.330059
3	-0.016114	-0.1675	0.43366
4	0.029346	0.305	0.380489
5	-0.425751	-4.4245	1.2e-05
6	0.797857	8.2916	0
7	-0.427689	-4.4447	1.1e-05
8	0.005946	0.0618	0.47542
9	-0.023312	-0.2423	0.404518
10	0.00808	0.084	0.466616
11	-0.352388	-3.6621	0.000195
12	0.748765	7.7814	0
13	-0.409369	-4.2543	2.2e-05
14	0.00069	0.0072	0.497145
15	-0.002662	-0.0277	0.488989
16	-0.008245	-0.0857	0.46594
17	-0.378291	-3.9313	7.5e-05
18	0.709287	7.3711	0
19	-0.383248	-3.9828	6.2e-05
20	-0.00019	-0.002	0.499214
21	-0.013497	-0.1403	0.444355
22	0.0422	0.4386	0.330931
23	-0.350879	-3.6464	0.000205
24	0.697307	7.2466	0
25	-0.33873	-3.5202	0.000316
26	0.02675	0.278	0.390774
27	-0.020901	-0.2172	0.414225
28	0.011435	0.1188	0.452814
29	-0.328727	-3.4162	0.000448
30	0.624611	6.4911	0
31	-0.337614	-3.5086	0.000329
32	0.019385	0.2015	0.420361
33	-0.003541	-0.0368	0.485357
34	0.002971	0.0309	0.487712
35	-0.287294	-2.9856	0.001751
36	0.60141	6.25	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.432916	-4.499	9e-06
2	-0.178424	-1.8542	0.033217
3	-0.09115	-0.9473	0.17281
4	-0.011604	-0.1206	0.452117
5	-0.53179	-5.5265	0
6	0.639012	6.6408	0
7	-0.082313	-0.8554	0.197105
8	-0.204769	-2.128	0.017805
9	-0.129858	-1.3495	0.089995
10	-0.147725	-1.5352	0.063829
11	0.025531	0.2653	0.39563
12	0.255442	2.6546	0.00457
13	-0.04521	-0.4698	0.319711
14	-0.118656	-1.2331	0.110106
15	-0.052863	-0.5494	0.291942
16	-0.063329	-0.6581	0.255927
17	-0.251609	-2.6148	0.005102
18	0.022331	0.2321	0.408461
19	0.040997	0.426	0.33546
20	-0.017834	-0.1853	0.426658
21	-0.135308	-1.4062	0.081274
22	0.018492	0.1922	0.423981
23	-0.034176	-0.3552	0.361579
24	0.069478	0.722	0.235918
25	0.095804	0.9956	0.160829
26	0.051973	0.5401	0.295113
27	-0.023537	-0.2446	0.403613
28	-0.110183	-1.1451	0.127358
29	0.002353	0.0245	0.490267
30	-0.095079	-0.9881	0.162658
31	-0.057045	-0.5928	0.277267
32	0.043326	0.4503	0.326714
33	0.025068	0.2605	0.397482
34	-0.058725	-0.6103	0.271477
35	0.006786	0.0705	0.471956
36	0.023994	0.2494	0.40178

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/16/t12609796772980lkkyk3iw9uf/1fpfz1260979605.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t12609796772980lkkyk3iw9uf/1fpfz1260979605.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t12609796772980lkkyk3iw9uf/26vbv1260979605.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t12609796772980lkkyk3iw9uf/26vbv1260979605.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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