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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 04:54:33 -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/t1261050985pctgb5bdpalr5z1.htm/, Retrieved Thu, 17 Dec 2009 12:56:27 +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/t1261050985pctgb5bdpalr5z1.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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.452102	-3.7281	0.000198
2	-0.029027	-0.2394	0.405773
3	0.258793	2.1341	0.018223
4	-0.256732	-2.1171	0.018957
5	0.070567	0.5819	0.281276
6	0.164231	1.3543	0.090064
7	-0.193343	-1.5943	0.057748
8	0.15763	1.2998	0.099021
9	-0.029429	-0.2427	0.404494
10	-0.153065	-1.2622	0.105593
11	0.226298	1.8661	0.03317
12	-0.277303	-2.2867	0.012666
13	-0.014775	-0.1218	0.451693
14	0.182808	1.5075	0.068161
15	-0.058573	-0.483	0.315323
16	-0.07262	-0.5988	0.275634
17	0.183514	1.5133	0.06742
18	-0.192114	-1.5842	0.058892
19	0.029819	0.2459	0.403254
20	0.084537	0.6971	0.244056
21	-0.056475	-0.4657	0.321457
22	0.016765	0.1383	0.445226
23	0.11888	0.9803	0.165204
24	-0.167055	-1.3776	0.086426
25	0.081627	0.6731	0.251579
26	0.035296	0.2911	0.385948
27	-0.175072	-1.4437	0.07671
28	0.195177	1.6095	0.056074
29	-0.078904	-0.6507	0.25873
30	0.013732	0.1132	0.455089
31	0.016349	0.1348	0.446577
32	-0.00491	-0.0405	0.483912
33	-0.006636	-0.0547	0.47826
34	-0.039747	-0.3278	0.372049
35	0.024223	0.1997	0.421136
36	-0.00895	-0.0738	0.470692

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.452102	-3.7281	0.000198
2	-0.293391	-2.4194	0.009114
3	0.15015	1.2382	0.109955
4	-0.07723	-0.6369	0.263178
5	-0.056228	-0.4637	0.322184
6	0.132376	1.0916	0.139431
7	0.013273	0.1095	0.456584
8	0.098186	0.8097	0.21048
9	0.016391	0.1352	0.446442
10	-0.10917	-0.9002	0.185586
11	0.074353	0.6131	0.270918
12	-0.223628	-1.8441	0.034764
13	-0.242874	-2.0028	0.024594
14	-0.070835	-0.5841	0.280537
15	0.186126	1.5348	0.064733
16	0.002966	0.0245	0.49028
17	0.106216	0.8759	0.192089
18	0.038939	0.3211	0.37456
19	-0.00298	-0.0246	0.490235
20	-0.005054	-0.0417	0.48344
21	0.041607	0.3431	0.366289
22	-0.076571	-0.6314	0.264942
23	0.104032	0.8579	0.19699
24	-0.095573	-0.7881	0.216684
25	-0.107857	-0.8894	0.188458
26	0.016418	0.1354	0.446354
27	-0.002407	-0.0198	0.492113
28	0.050487	0.4163	0.339241
29	0.025749	0.2123	0.416241
30	0.127249	1.0493	0.148872
31	-0.062149	-0.5125	0.304983
32	0.031315	0.2582	0.398504
33	0.110907	0.9146	0.181826
34	-0.144523	-1.1918	0.118748
35	0.016389	0.1351	0.446449
36	-0.105046	-0.8662	0.194706

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261050985pctgb5bdpalr5z1/1yhiu1261050872.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261050985pctgb5bdpalr5z1/1yhiu1261050872.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261050985pctgb5bdpalr5z1/2jiac1261050872.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261050985pctgb5bdpalr5z1/2jiac1261050872.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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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