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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: Sat, 19 Dec 2009 06:51:40 -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/19/t12612307426x3v847m3tfqmsf.htm/, Retrieved Sat, 19 Dec 2009 14:52:24 +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/19/t12612307426x3v847m3tfqmsf.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 «

353.4 329.08 331.89 339.94 330.8 361.26 358.02 356.15 322.56 306.1 303.99 322.23 330.2 343.91 367.07 375.22 375.35 389.81 371.18 387.18 395.43 387.86 392.46 375.11 417.03 408.79 412.68 403.67 414.95 415.35 408.2 424.19 414.03 417.8 418.66 431.35 435.7 438.78 443.38 451.67 440.19 450.23 450.54 448.13 463.55 458.93 467.83 461.93 466.51 481.6 467.19 445.66 450.91 456.5 444.27 458.28 475.49 462.69 472.26 453.55 459.21 470.42 487.39 500.7 514.76 533.4 544.75 562.06 561.88 584.41 581.5 605.37 615.93 636.02 640.43 645.5 654.17 669.12 670.63 639.95 651.99 687.31 705.27 757.02 740.74 786.16 790.82 757.12 801.34 848.28 885.14 954.29 899.47 947.28 914.62 955.4 970.43 980.28 1049.34 1101.75 1111.75 1090.82 1133.84 1120.67 957.28 1017.01 1098.67 1163.63 1129.23 1279.64 1238.33 1286.37 1335.18 1301.84 1372.71 1328.72 1320.41 1282.71 1362.93 1388.91 1469.25 1394.46 1366.42 1498.58 1452.43 1420.6 1454 etc...

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	0.060278	0.9319	0.176171
2	0.010362	0.1602	0.436433
3	0.073025	1.1289	0.130029
4	0.089349	1.3813	0.084238
5	0.019809	0.3062	0.379847
6	-0.088565	-1.3692	0.086114
7	0.08335	1.2886	0.099398
8	0.069203	1.0699	0.142882
9	0.022949	0.3548	0.36153
10	-0.020687	-0.3198	0.374694
11	0.043534	0.673	0.250795
12	0.051297	0.793	0.214274
13	-0.049609	-0.7669	0.221939
14	0.01434	0.2217	0.412373
15	-0.084664	-1.3089	0.095916
16	0.00423	0.0654	0.473956
17	0.035351	0.5465	0.292612
18	0.013667	0.2113	0.416424
19	0.076024	1.1753	0.120521
20	-0.057015	-0.8814	0.189483
21	0.011696	0.1808	0.428335
22	-0.032048	-0.4954	0.310369
23	-0.044284	-0.6846	0.247126
24	0.057676	0.8916	0.186741
25	0.030449	0.4707	0.319129
26	-0.049602	-0.7668	0.221969
27	0.023755	0.3672	0.356883
28	-0.023403	-0.3618	0.35891
29	-0.025724	-0.3977	0.345609
30	0.005228	0.0808	0.467823
31	0.009974	0.1542	0.438792
32	-0.036918	-0.5707	0.284358
33	-0.014056	-0.2173	0.414078
34	-0.004719	-0.0729	0.470954
35	-0.022999	-0.3556	0.361243
36	-0.001469	-0.0227	0.490953

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.060278	0.9319	0.176171
2	0.006753	0.1044	0.458471
3	0.072263	1.1172	0.132524
4	0.081354	1.2577	0.104863
5	0.009408	0.1454	0.442242
6	-0.097595	-1.5088	0.066337
7	0.083192	1.2861	0.099823
8	0.053498	0.8271	0.204515
9	0.025735	0.3979	0.345546
10	-0.021809	-0.3372	0.368148
11	0.027554	0.426	0.335257
12	0.024288	0.3755	0.353819
13	-0.043206	-0.668	0.252404
14	0.022011	0.3403	0.366974
15	-0.104281	-1.6121	0.054126
16	0.003353	0.0518	0.479352
17	0.050119	0.7748	0.219607
18	0.025186	0.3894	0.348674
19	0.071037	1.0982	0.136611
20	-0.069609	-1.0761	0.141479
21	-0.007209	-0.1115	0.455674
22	-0.03166	-0.4895	0.312483
23	-0.031805	-0.4917	0.311696
24	0.079128	1.2233	0.111211
25	0.033879	0.5238	0.300466
26	-0.072143	-1.1153	0.13292
27	0.041609	0.6433	0.260336
28	-0.058183	-0.8995	0.18465
29	-0.018895	-0.2921	0.385226
30	0.022268	0.3443	0.365479
31	0.011686	0.1807	0.428391
32	-0.035667	-0.5514	0.290939
33	-0.003904	-0.0604	0.475962
34	0.013023	0.2013	0.420303
35	-0.040507	-0.6262	0.265882
36	-0.001737	-0.0269	0.4893

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/19/t12612307426x3v847m3tfqmsf/1tpyt1261230698.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t12612307426x3v847m3tfqmsf/1tpyt1261230698.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t12612307426x3v847m3tfqmsf/2akmc1261230698.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t12612307426x3v847m3tfqmsf/2akmc1261230698.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 0.0 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 0.0 ; 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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