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Thee

*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: Thu, 17 Dec 2009 02:27:16 -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/17/t1261042098ht9nx8ezqcbqhec.htm/, Retrieved Thu, 17 Dec 2009 10:28:21 +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/17/t1261042098ht9nx8ezqcbqhec.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 «

1.56 1.57 1.56 1.56 1.56 1.56 1.55 1.56 1.55 1.54 1.54 1.53 1.53 1.53 1.53 1.52 1.52 1.52 1.52 1.52 1.51 1.51 1.51 1.52 1.51 1.5 1.5 1.5 1.5 1.5 1.5 1.49 1.47 1.45 1.45 1.44

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	-0.012962	-0.0767	0.469655
2	-0.000365	-0.0022	0.499144
3	-0.024509	-0.145	0.442772
4	0.007257	0.0429	0.483
5	-0.091967	-0.5441	0.294916
6	0.088361	0.5228	0.30222
7	0.06262	0.3705	0.356635
8	-0.148425	-0.8781	0.19294
9	0.087814	0.5195	0.303336
10	-0.198311	-1.1732	0.124314
11	0.057097	0.3378	0.368769
12	-0.042127	-0.2492	0.402321
13	0.043953	0.26	0.398183
14	-0.130351	-0.7712	0.222891
15	-0.061844	-0.3659	0.358331
16	0.118485	0.701	0.24398
17	-0.055819	-0.3302	0.371597
18	0.049429	0.2924	0.385843
19	-0.124874	-0.7388	0.232487
20	-0.000456	-0.0027	0.49893
21	-0.04377	-0.2589	0.398597
22	0.1733	1.0253	0.156138
23	0.035737	0.2114	0.416892
24	0.048334	0.2859	0.388302
25	-0.031721	-0.1877	0.426113
26	-0.038293	-0.2265	0.411048
27	0.086125	0.5095	0.306792
28	-0.12492	-0.739	0.232406
29	0.01707	0.101	0.460069
30	-0.026244	-0.1553	0.438754
31	-0.069557	-0.4115	0.341605
32	-0.149612	-0.8851	0.191067
33	0.049886	0.2951	0.38482
34	-0.049338	-0.2919	0.386047
35	NA	NA	NA
36	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.012962	-0.0767	0.469655
2	-0.000533	-0.0032	0.49875
3	-0.024525	-0.1451	0.442735
4	0.006626	0.0392	0.484478
5	-0.091893	-0.5436	0.295066
6	0.086269	0.5104	0.306497
7	0.065141	0.3854	0.351144
8	-0.154723	-0.9154	0.183136
9	0.095942	0.5676	0.286965
10	-0.214982	-1.2718	0.105907
11	0.078831	0.4664	0.321919
12	-0.041405	-0.245	0.403961
13	-0.00631	-0.0373	0.485217
14	-0.087461	-0.5174	0.304058
15	-0.111274	-0.6583	0.257324
16	0.16247	0.9612	0.171527
17	-0.061889	-0.3661	0.358233
18	0.002668	0.0158	0.493748
19	-0.105774	-0.6258	0.267764
20	-0.071549	-0.4233	0.337337
21	0.074112	0.4385	0.331876
22	0.083858	0.4961	0.311459
23	0.056381	0.3336	0.370353
24	0.016697	0.0988	0.460939
25	-0.086249	-0.5103	0.306538
26	0.072174	0.427	0.336001
27	0.049588	0.2934	0.385486
28	-0.140714	-0.8325	0.205393
29	-0.059889	-0.3543	0.362616
30	-0.002682	-0.0159	0.493715
31	-0.07096	-0.4198	0.338596
32	-0.090943	-0.538	0.296982
33	-0.017427	-0.1031	0.459236
34	-0.065886	-0.3898	0.349528
35	NA	NA	NA
36	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261042098ht9nx8ezqcbqhec/1k2551261042034.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261042098ht9nx8ezqcbqhec/1k2551261042034.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261042098ht9nx8ezqcbqhec/2zd6n1261042034.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261042098ht9nx8ezqcbqhec/2zd6n1261042034.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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