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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 07:04:10 -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/t126114510445y1cj4mlh0d0n1.htm/, Retrieved Fri, 18 Dec 2009 15:05:06 +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/t126114510445y1cj4mlh0d0n1.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 «

562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528 533 536 537 524 536 587 597 581 564 558

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	5 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.154301	1.1751	0.122374
2	0.271991	2.0714	0.021389
3	0.311951	2.3757	0.010419
4	0.234546	1.7862	0.039643
5	0.083935	0.6392	0.262594
6	0.163876	1.248	0.108515
7	0.012728	0.0969	0.461556
8	0.120369	0.9167	0.181547
9	0.023614	0.1798	0.428953
10	-0.067774	-0.5161	0.303856
11	0.286251	2.18	0.016664
12	-0.074042	-0.5639	0.287503
13	-0.010284	-0.0783	0.468922
14	0.17209	1.3106	0.09758
15	0.070066	0.5336	0.297825
16	-0.007303	-0.0556	0.477919
17	0.0808	0.6154	0.270363
18	-0.083882	-0.6388	0.262725
19	0.045017	0.3428	0.36648
20	-0.049086	-0.3738	0.354948
21	-0.16101	-1.2262	0.112536
22	-0.054512	-0.4151	0.339782
23	-0.126178	-0.9609	0.170285
24	-0.220097	-1.6762	0.04954
25	-0.089155	-0.679	0.249924
26	-0.189082	-1.44	0.077621
27	-0.211203	-1.6085	0.056581
28	-0.15972	-1.2164	0.114382
29	-0.113887	-0.8673	0.194667
30	-0.104432	-0.7953	0.214833
31	-0.011893	-0.0906	0.464071
32	-0.137173	-1.0447	0.150253
33	-0.005577	-0.0425	0.483135
34	-0.036259	-0.2761	0.391711
35	0.012737	0.097	0.461529
36	-0.026448	-0.2014	0.420536

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.154301	1.1751	0.122374
2	0.254235	1.9362	0.028861
3	0.264402	2.0136	0.024348
4	0.138881	1.0577	0.147292
5	-0.084446	-0.6431	0.261339
6	0.001408	0.0107	0.49574
7	-0.113636	-0.8654	0.195186
8	0.070334	0.5356	0.297126
9	-0.001933	-0.0147	0.494153
10	-0.119155	-0.9075	0.183959
11	0.335527	2.5553	0.006627
12	-0.136727	-1.0413	0.151034
13	-0.063192	-0.4813	0.316073
14	0.126022	0.9598	0.170581
15	0.003027	0.0231	0.490845
16	0.01629	0.1241	0.450849
17	-0.076254	-0.5807	0.281834
18	-0.125666	-0.957	0.171258
19	0.020963	0.1596	0.436857
20	-0.046045	-0.3507	0.363553
21	-0.069594	-0.53	0.299063
22	-0.140118	-1.0671	0.145173
23	0.002735	0.0208	0.491728
24	-0.051392	-0.3914	0.348472
25	-0.093864	-0.7148	0.238785
26	-0.058501	-0.4455	0.328799
27	-0.075284	-0.5733	0.284313
28	-0.077298	-0.5887	0.279179
29	0.120591	0.9184	0.181107
30	-0.015744	-0.1199	0.452487
31	0.114742	0.8738	0.192903
32	-0.009565	-0.0728	0.471089
33	-0.008222	-0.0626	0.475143
34	-0.024142	-0.1839	0.427382
35	0.124282	0.9465	0.17391
36	0.013612	0.1037	0.458897

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/18/t126114510445y1cj4mlh0d0n1/1fx1u1261145044.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/18/t126114510445y1cj4mlh0d0n1/1fx1u1261145044.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/18/t126114510445y1cj4mlh0d0n1/2f1wi1261145044.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/18/t126114510445y1cj4mlh0d0n1/2f1wi1261145044.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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

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 (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='lags',ylab='ACF')

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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