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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 04:49:21 -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/t1261050633eu0ed8n7yohpf92.htm/, Retrieved Thu, 17 Dec 2009 12:50:38 +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/t1261050633eu0ed8n7yohpf92.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 «

1322.4 1089.2 1147.3 1196.4 1190.2 1146 1139.8 1045.6 1050.9 1117.3 1120 1052.1 1065.8 1092.5 1422 1367.5 1136.3 1293.7 1154.8 1206.7 1199 1265 1247.1 1116.5 1153.9 1077.4 1132.5 1058.8 1195.1 1263.4 1023.1 1141 1116.3 1135.6 1210.5 1230 1136.5 1068.7 1372.5 1049.9 1302.2 1305.9 1173.5 1277.4 1238.6 1508.6 1423.4 1375.1 1344.1 1287.5 1446.9 1451 1604.4 1501.5 1522.8 1328 1420.5 1648 1631.1 1396.6 1663.4 1283 1582.4 1785.2 1853.6 1994.1 2042.8 1586.1 1942.4 1763.6 1819.9 1836 1449.9 1513.3 1677.7 1494.4 1375.3 1577.7 1537.7 1356.6 1469.6

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.43863	-3.9232	9.2e-05
2	-0.029948	-0.2679	0.394748
3	0.12864	1.1506	0.126663
4	-0.207954	-1.86	0.033281
5	0.071445	0.639	0.262317
6	0.160403	1.4347	0.077637
7	-0.072526	-0.6487	0.259197
8	0.014744	0.1319	0.447708
9	-0.041708	-0.373	0.355051
10	-0.135657	-1.2134	0.114282
11	0.015095	0.135	0.446469
12	0.224391	2.007	0.024063
13	-0.22195	-1.9852	0.025276
14	0.190965	1.708	0.045753
15	-0.13401	-1.1986	0.117107
16	-0.094402	-0.8444	0.200494
17	0.145697	1.3031	0.098131
18	-0.042458	-0.3798	0.352568
19	0.033834	0.3026	0.381482
20	0.050208	0.4491	0.327295
21	-0.064204	-0.5743	0.283703
22	-0.070922	-0.6343	0.263834
23	0.051728	0.4627	0.322428
24	0.031441	0.2812	0.389635
25	0.026531	0.2373	0.406515
26	0.055108	0.4929	0.311717
27	-0.218817	-1.9572	0.026908
28	0.144658	1.2939	0.099719
29	-0.085311	-0.763	0.223839
30	0.035071	0.3137	0.377288
31	0.082087	0.7342	0.232483
32	-0.056136	-0.5021	0.308489
33	0.000853	0.0076	0.496966
34	-0.061025	-0.5458	0.293352
35	-0.026632	-0.2382	0.406167
36	0.065949	0.5899	0.278473

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.43863	-3.9232	9.2e-05
2	-0.275313	-2.4625	0.007973
3	-0.011888	-0.1063	0.457795
4	-0.199966	-1.7885	0.038737
5	-0.131161	-1.1731	0.122111
6	0.120527	1.078	0.142131
7	0.133626	1.1952	0.117773
8	0.078155	0.699	0.243278
9	-0.021583	-0.193	0.423707
10	-0.171245	-1.5317	0.064775
11	-0.227197	-2.0321	0.02273
12	0.104036	0.9305	0.177449
13	-0.099796	-0.8926	0.187374
14	0.092453	0.8269	0.20537
15	-0.038066	-0.3405	0.367198
16	-0.036647	-0.3278	0.371966
17	0.020176	0.1805	0.428623
18	-0.008232	-0.0736	0.470744
19	0.0096	0.0859	0.465893
20	-0.002892	-0.0259	0.489713
21	0.055977	0.5007	0.308988
22	-0.040262	-0.3601	0.359856
23	-0.031932	-0.2856	0.38796
24	-0.015838	-0.1417	0.443851
25	0.086089	0.77	0.221782
26	0.047984	0.4292	0.334472
27	-0.153509	-1.373	0.08679
28	0.011605	0.1038	0.458796
29	-0.079066	-0.7072	0.240752
30	0.036789	0.329	0.371489
31	-0.021943	-0.1963	0.42245
32	0.008979	0.0803	0.468096
33	0.045591	0.4078	0.342264
34	-0.018373	-0.1643	0.434942
35	-0.073366	-0.6562	0.256789
36	-0.066683	-0.5964	0.276284

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261050633eu0ed8n7yohpf92/1ogdp1261050559.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261050633eu0ed8n7yohpf92/1ogdp1261050559.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261050633eu0ed8n7yohpf92/2ltzj1261050559.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261050633eu0ed8n7yohpf92/2ltzj1261050559.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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