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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 04:04:44 -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/t1261047934ymrkhqvqmqheeqf.htm/, Retrieved Thu, 17 Dec 2009 12:05:36 +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/t1261047934ymrkhqvqmqheeqf.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 «

359640 364080 364080 359640 359640 359640 359640 359640 364080 368520 372960 377400 406780 402050 392590 368940 368940 378400 406780 420970 420970 406780 392590 392590 394250 399000 403750 399000 408500 403750 403750 399000 403750 403750 403750 403750 405450 405450 405450 405450 410220 400680 386370 381600 381600 381600 381600 376830 381420 381420 386310 396090 391200 371640 356970 342300 332520 342300 347190 352080 357130 347070 337010 337010 331980

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	0.38515	3.0812	0.001519
2	-0.032537	-0.2603	0.397737
3	-0.45363	-3.629	0.000283
4	-0.394582	-3.1567	0.001217
5	-0.167499	-1.34	0.092493
6	0.206572	1.6526	0.051658
7	0.23471	1.8777	0.032492
8	0.194934	1.5595	0.061908
9	0.01457	0.1166	0.453786
10	-0.024193	-0.1935	0.423572
11	0.04672	0.3738	0.35491
12	0.090827	0.7266	0.235056
13	-0.03021	-0.2417	0.404899
14	0.032056	0.2564	0.399215
15	-0.055833	-0.4467	0.328312
16	0.023223	0.1858	0.4266
17	-0.043998	-0.352	0.363004
18	0.003434	0.0275	0.489084
19	0.010477	0.0838	0.466732
20	0.122617	0.9809	0.16516
21	0.027511	0.2201	0.413251
22	0.015062	0.1205	0.452234
23	-0.055361	-0.4429	0.329671
24	-0.078724	-0.6298	0.265535
25	-0.053548	-0.4284	0.334904
26	0.029894	0.2392	0.405875
27	0.050977	0.4078	0.342386
28	0.009451	0.0756	0.469984
29	-0.11118	-0.8894	0.188548
30	-0.114067	-0.9125	0.182456
31	0.05282	0.4226	0.337015
32	0.166441	1.3315	0.093869
33	0.092087	0.7367	0.231999
34	-0.01561	-0.1249	0.450505
35	-0.201967	-1.6157	0.055536
36	-0.253986	-2.0319	0.02316

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.38515	3.0812	0.001519
2	-0.212382	-1.6991	0.047083
3	-0.438538	-3.5083	0.000415
4	-0.085796	-0.6864	0.247481
5	-0.028794	-0.2304	0.409276
6	0.120822	0.9666	0.168698
7	-0.093549	-0.7484	0.228482
8	0.035436	0.2835	0.388859
9	0.060566	0.4845	0.314834
10	0.113448	0.9076	0.183751
11	0.213672	1.7094	0.046114
12	0.069669	0.5574	0.289615
13	-0.083019	-0.6641	0.254491
14	0.236238	1.8899	0.031651
15	0.020444	0.1636	0.4353
16	0.062203	0.4976	0.310228
17	-0.128863	-1.0309	0.153233
18	-0.028449	-0.2276	0.410343
19	0.074179	0.5934	0.277492
20	0.056441	0.4515	0.326568
21	-0.127089	-1.0167	0.156559
22	-0.10139	-0.8111	0.210152
23	0.017471	0.1398	0.44464
24	-0.00771	-0.0617	0.475506
25	-0.050398	-0.4032	0.344078
26	-0.077686	-0.6215	0.268242
27	-0.015681	-0.1254	0.450281
28	-0.079345	-0.6348	0.263925
29	-0.099014	-0.7921	0.21561
30	-0.102287	-0.8183	0.208112
31	0.144261	1.1541	0.126377
32	0.07796	0.6237	0.267526
33	-0.081247	-0.65	0.259016
34	-0.049074	-0.3926	0.347962
35	-0.035982	-0.2879	0.387195
36	-0.059982	-0.4799	0.316484

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261047934ymrkhqvqmqheeqf/180xo1261047882.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261047934ymrkhqvqmqheeqf/180xo1261047882.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261047934ymrkhqvqmqheeqf/2cljl1261047882.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261047934ymrkhqvqmqheeqf/2cljl1261047882.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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