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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: Thu, 17 Dec 2009 03:41:38 -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/t1261046564k2d11pqh7di54vt.htm/, Retrieved Thu, 17 Dec 2009 11:42:46 +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/t1261046564k2d11pqh7di54vt.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:

shwpaper11

Dataseries X:

» Textbox « » Textfile « » CSV «

14497 14398.3 16629.6 16670.7 16614.8 16869.2 15663.9 16359.9 18447.7 16889 16505 18320.9 15052.1 15699.8 18135.3 16768.7 18883 19021 18101.9 17776.1 21489.9 17065.3 18690 18953.1 16398.9 16895.6 18553 19270 19422.1 17579.4 18637.3 18076.7 20438.6 18075.2 19563 19899.2 19227.5 17789.6 19220.8 21968.9 21131.5 19484.6 22168.7 20866.8 22176.2 23533.8 21479.6 24347.7 22751.6 20328.3 23650.4 23335.7 19614.9 18042.3 17282.5 16847.2 18159.5 16540.9 15952.7 18357.8 16394.3

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	0.667276	5.2116	1e-06
2	0.578023	4.5145	1.5e-05
3	0.617133	4.82	5e-06
4	0.459166	3.5862	0.000334
5	0.414856	3.2401	0.000968
6	0.392377	3.0646	0.001622
7	0.200172	1.5634	0.061567
8	0.174141	1.3601	0.089404
9	0.149952	1.1712	0.123044
10	0.020019	0.1564	0.438137
11	0.07102	0.5547	0.29057
12	0.160169	1.251	0.107863
13	-0.037044	-0.2893	0.386658
14	-0.064428	-0.5032	0.308318
15	-0.048137	-0.376	0.354126
16	-0.052822	-0.4126	0.340689
17	-0.050631	-0.3954	0.346948
18	-0.054879	-0.4286	0.334854
19	-0.041639	-0.3252	0.373066
20	-0.073304	-0.5725	0.284537
21	-0.075316	-0.5882	0.279271
22	-0.056777	-0.4434	0.329508
23	-0.05017	-0.3918	0.348271
24	-0.000941	-0.0073	0.497081
25	-0.039193	-0.3061	0.380283
26	-0.157925	-1.2334	0.111073
27	-0.107834	-0.8422	0.201481
28	-0.064581	-0.5044	0.307901
29	-0.104055	-0.8127	0.209777
30	-0.111076	-0.8675	0.194526
31	-0.08438	-0.659	0.256178
32	-0.202302	-1.58	0.059636
33	-0.187008	-1.4606	0.074632
34	-0.190879	-1.4908	0.070582
35	-0.264733	-2.0676	0.021462
36	-0.205441	-1.6045	0.05688

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.667276	5.2116	1e-06
2	0.239329	1.8692	0.033198
3	0.313678	2.4499	0.008587
4	-0.134386	-1.0496	0.149023
5	0.033667	0.2629	0.396739
6	-0.011911	-0.093	0.463093
7	-0.245874	-1.9203	0.029747
8	-0.003007	-0.0235	0.490669
9	-0.017907	-0.1399	0.444616
10	-0.064825	-0.5063	0.307235
11	0.148038	1.1562	0.126051
12	0.272286	2.1266	0.018753
13	-0.272349	-2.1271	0.018731
14	-0.175683	-1.3721	0.087525
15	-0.094347	-0.7369	0.232013
16	0.207094	1.6175	0.05547
17	-0.057715	-0.4508	0.326877
18	0.019575	0.1529	0.439496
19	0.241929	1.8895	0.031788
20	-0.174898	-1.366	0.088478
21	-0.102765	-0.8026	0.212655
22	0.035455	0.2769	0.391392
23	-0.029413	-0.2297	0.409538
24	-0.064191	-0.5013	0.308967
25	0.081785	0.6388	0.262686
26	-0.131712	-1.0287	0.15384
27	-0.007058	-0.0551	0.478109
28	-0.00841	-0.0657	0.473921
29	0.159301	1.2442	0.109097
30	-0.160679	-1.2549	0.107143
31	-0.037192	-0.2905	0.386218
32	-0.107609	-0.8405	0.201968
33	-0.078968	-0.6168	0.269845
34	-0.128637	-1.0047	0.159509
35	-0.060457	-0.4722	0.319239
36	0.129465	1.0112	0.157968

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261046564k2d11pqh7di54vt/1t9v51261046496.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261046564k2d11pqh7di54vt/1t9v51261046496.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261046564k2d11pqh7di54vt/2oq781261046496.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261046564k2d11pqh7di54vt/2oq781261046496.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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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