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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: Fri, 18 Dec 2009 04:26:25 -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/18/t1261135643m3ib3f6ipguvh19.htm/, Retrieved Fri, 18 Dec 2009 12:27:25 +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/18/t1261135643m3ib3f6ipguvh19.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 «

613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528 533 536 537 524 536 587 597 581

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	0.241678	1.872	0.03304
2	-0.253626	-1.9646	0.027049
3	-0.271106	-2.1	0.019972
4	-0.173703	-1.3455	0.091764
5	0.08484	0.6572	0.256794
6	0.225592	1.7474	0.04284
7	0.088356	0.6844	0.248177
8	-0.221791	-1.718	0.045478
9	-0.279503	-2.165	0.017187
10	-0.219943	-1.7037	0.046809
11	0.242854	1.8811	0.032404
12	0.733511	5.6818	0
13	0.125812	0.9745	0.166852
14	-0.249632	-1.9336	0.028939
15	-0.244737	-1.8957	0.031408
16	-0.166839	-1.2923	0.100599
17	0.0396	0.3067	0.380051
18	0.148861	1.1531	0.126727
19	0.039873	0.3089	0.379252
20	-0.232537	-1.8012	0.038346
21	-0.253486	-1.9635	0.027114
22	-0.168124	-1.3023	0.098898
23	0.193766	1.5009	0.069312
24	0.513861	3.9803	9.4e-05
25	0.051634	0.4	0.345305
26	-0.22278	-1.7256	0.044779
27	-0.15347	-1.1888	0.119606
28	-0.105001	-0.8133	0.209622
29	0.034687	0.2687	0.394546
30	0.098432	0.7625	0.224389
31	0.027782	0.2152	0.415171
32	-0.192384	-1.4902	0.070705
33	-0.16908	-1.3097	0.097647
34	-0.065107	-0.5043	0.307943
35	0.143223	1.1094	0.135843
36	0.295294	2.2873	0.012859

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.241678	1.872	0.03304
2	-0.33139	-2.5669	0.006386
3	-0.130529	-1.0111	0.158021
4	-0.169981	-1.3167	0.096479
5	0.071934	0.5572	0.289732
6	0.080296	0.622	0.26816
7	-0.004881	-0.0378	0.484984
8	-0.204669	-1.5854	0.059071
9	-0.12563	-0.9731	0.167199
10	-0.243725	-1.8879	0.03194
11	0.252297	1.9543	0.027666
12	0.598931	4.6393	1e-05
13	-0.193654	-1.5	0.069424
14	0.058468	0.4529	0.326129
15	-0.023664	-0.1833	0.427589
16	-0.101129	-0.7833	0.218253
17	-0.089341	-0.692	0.245793
18	-0.17392	-1.3472	0.091494
19	-0.053345	-0.4132	0.340462
20	-0.032052	-0.2483	0.402385
21	-0.022062	-0.1709	0.432442
22	-0.012292	-0.0952	0.46223
23	-0.105422	-0.8166	0.208695
24	-0.041117	-0.3185	0.37561
25	-0.044783	-0.3469	0.364943
26	-0.070103	-0.543	0.294566
27	0.100982	0.7822	0.218585
28	-0.016947	-0.1313	0.448001
29	0.027954	0.2165	0.414654
30	-0.035039	-0.2714	0.393504
31	0.00614	0.0476	0.481112
32	-0.009169	-0.071	0.471807
33	0.021587	0.1672	0.433881
34	0.039528	0.3062	0.380263
35	-0.08669	-0.6715	0.252239
36	-0.163316	-1.265	0.105374

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/18/t1261135643m3ib3f6ipguvh19/1xr221261135582.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/18/t1261135643m3ib3f6ipguvh19/1xr221261135582.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/18/t1261135643m3ib3f6ipguvh19/2088y1261135582.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/18/t1261135643m3ib3f6ipguvh19/2088y1261135582.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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