*Unverified author*

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 15:51:12 -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/t126109030750ma69svkdbd7x0.htm/, Retrieved Thu, 17 Dec 2009 23:51:50 +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/t126109030750ma69svkdbd7x0.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 «

0.8 1.1 1.3 1.2 1.3 1.1 1.3 1.2 1.6 1.7 1.5 0.9 1.5 1.4 1.6 1.7 1.4 1.8 1.7 1.4 1.2 1 1.7 2.4 2 2.1 2 1.8 2.7 2.3 1.9 2 2.3 2.8 2.4 2.3 2.7 2.7 2.9 3 2.2 2.3 2.8 2.8 2.8 2.2 2.6 2.8 2.5 2.4 2.3 1.9 1.7 2 2.1 1.7 1.8 1.8 1.8 1.3 1.3 1.3 1.2 1.4 2.2 2.9 3.1 3.5 3.6 4.4 4.1 5.1 5.8 5.9 5.4 5.5 4.8 3.2 2.7 2.1 1.9 0.6 0.7 -0.2 -1 -1.7 -0.7

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 -0.439872 -4.0554 5.5e-05 2 -0.029734 -0.2741 0.392323 3 -0.035386 -0.3262 0.372522 4 0.116383 1.073 0.143154 5 -0.041942 -0.3867 0.349978 6 -0.028945 -0.2669 0.395111 7 0.008521 0.0786 0.468784 8 0.100063 0.9225 0.179431 9 -0.134262 -1.2378 0.109593 10 -0.073187 -0.6748 0.250832 11 0.413483 3.8121 0.00013 12 -0.490943 -4.5263 1e-05 13 0.056961 0.5252 0.300423 14 0.033544 0.3093 0.378938 15 0.103687 0.9559 0.170906 16 0.010332 0.0953 0.462167 17 -0.153021 -1.4108 0.080979 18 0.053318 0.4916 0.312145 19 0.108317 0.9986 0.160404 20 -0.135394 -1.2483 0.10768 21 0.023185 0.2138 0.415624 22 0.110351 1.0174 0.155929 23 -0.118269 -1.0904 0.139313 24 0.019731 0.1819 0.428044 25 0.073748 0.6799 0.2492 26 0.016121 0.1486 0.4411 27 -0.049016 -0.4519 0.326243 28 -0.070175 -0.647 0.259694 29 0.08639 0.7965 0.213987 30 0.062626 0.5774 0.282604 31 -0.135766 -1.2517 0.107057 32 0.035359 0.326 0.372616 33 0.042388 0.3908 0.348464 34 0.033048 0.3047 0.380673 35 -0.122701 -1.1312 0.130566 36 0.126284 1.1643 0.123784 37 -0.054418 -0.5017 0.308585 38 -0.009524 -0.0878 0.465118 39 -0.020713 -0.191 0.424506 40 0.034522 0.3183 0.375529 41 0.04857 0.4478 0.32772 42 -0.104787 -0.9661 0.168371 43 0.032684 0.3013 0.381947 44 0.065808 0.6067 0.272828 45 -0.052844 -0.4872 0.313686 46 -0.022749 -0.2097 0.417186 47 0.0488 0.4499 0.326957 48 -0.034232 -0.3156 0.376537 49 -0.027818 -0.2565 0.399106 50 0.091013 0.8391 0.201883 51 -0.069828 -0.6438 0.260726 52 0.052897 0.4877 0.313515 53 -0.086458 -0.7971 0.213805 54 0.063027 0.5811 0.281362 55 -0.009347 -0.0862 0.465764 56 -0.037885 -0.3493 0.363871 57 0.049625 0.4575 0.324232 58 -0.03677 -0.339 0.367723 59 0.047022 0.4335 0.332866 60 -0.027471 -0.2533 0.400337 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 -0.439872 -4.0554 5.5e-05 2 -0.276774 -2.5517 0.006254 3 -0.233414 -2.152 0.017118 4 -0.02922 -0.2694 0.394138 5 -0.004915 -0.0453 0.481981 6 -0.026446 -0.2438 0.403978 7 -0.015651 -0.1443 0.442803 8 0.11219 1.0343 0.151955 9 -0.036646 -0.3379 0.36815 10 -0.183423 -1.6911 0.047243 11 0.380077 3.5041 0.000367 12 -0.272589 -2.5131 0.006927 13 -0.295811 -2.7272 0.003878 14 -0.156035 -1.4386 0.076971 15 -0.149223 -1.3758 0.086254 16 0.103879 0.9577 0.17046 17 -0.050638 -0.4669 0.320896 18 -0.05582 -0.5146 0.304073 19 0.041009 0.3781 0.353154 20 0.041224 0.3801 0.352421 21 0.003798 0.035 0.486074 22 -0.103296 -0.9523 0.171811 23 0.173724 1.6017 0.056471 24 -0.134642 -1.2413 0.108947 25 -0.035457 -0.3269 0.372273 26 -0.014456 -0.1333 0.447144 27 -0.165189 -1.523 0.06574 28 0.148869 1.3725 0.086758 29 -0.044521 -0.4105 0.34125 30 0.008009 0.0738 0.470656 31 -0.008822 -0.0813 0.467683 32 -0.041884 -0.3862 0.350174 33 0.022537 0.2078 0.417947 34 0.043365 0.3998 0.34515 35 0.015553 0.1434 0.443159 36 0.009273 0.0855 0.466036 37 0.056502 0.5209 0.301888 38 -0.023341 -0.2152 0.415067 39 -0.053397 -0.4923 0.31189 40 0.036656 0.338 0.368116 41 -0.018383 -0.1695 0.432909 42 0.00698 0.0644 0.474419 43 -0.000243 -0.0022 0.499107 44 -0.020799 -0.1918 0.424194 45 -0.059717 -0.5506 0.29169 46 0.156639 1.4441 0.076188 47 -0.03392 -0.3127 0.377628 48 0.003043 0.0281 0.488843 49 -0.043582 -0.4018 0.344419 50 0.07812 0.7202 0.236678 51 0.028877 0.2662 0.395353 52 -0.077581 -0.7153 0.238202 53 0.042188 0.389 0.349142 54 -0.041025 -0.3782 0.353101 55 -0.044064 -0.4063 0.34279 56 -0.029722 -0.274 0.392367 57 -0.031258 -0.2882 0.386954 58 0.028173 0.2597 0.397846 59 0.063306 0.5837 0.280499 60 0.087444 0.8062 0.21119

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/17/t126109030750ma69svkdbd7x0/12bhv1261090270.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/17/t126109030750ma69svkdbd7x0/12bhv1261090270.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/17/t126109030750ma69svkdbd7x0/24jdu1261090270.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/17/t126109030750ma69svkdbd7x0/24jdu1261090270.ps (open in new window)

Parameters (Session):

par1 = 12 ; par2 = 0.0 ; par3 = 2 ; par4 = 0 ; par5 = 1 ; par6 = 2 ; par7 = 0 ; par8 = 0 ; par9 = 1 ; par10 = FALSE ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ; par8 = 0 ; par9 = 1 ; par10 = FALSE ;

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')

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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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