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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 15:19:48 -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/t1261261567xoptlke1tlt3jeg.htm/, Retrieved Sat, 19 Dec 2009 23:26:10 +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/t1261261567xoptlke1tlt3jeg.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 «

19915 19843 19761 20858 21968 23061 22661 22269 21857 21568 21274 20987 19683 19381 19071 20772 22485 24181 23479 22782 22067 21489 20903 20330 19736 19483 19242 20334 21423 22523 21986 21462 20908 20575 20237 19904 19610 19251 18941 20450 21946 23409 22741 22069 21539 21189 20960 20704 19697 19598 19456 20316 21083 22158 21469 20892 20578 20233 19947 20049

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	-0.165884	-1.1251	0.133196
2	-0.138582	-0.9399	0.176087
3	-0.22467	-1.5238	0.067204
4	-0.011645	-0.079	0.468697
5	0.003708	0.0252	0.490021
6	0.046589	0.316	0.376722
7	-0.025492	-0.1729	0.431747
8	-0.085655	-0.5809	0.282058
9	0.256213	1.7377	0.044475
10	0.1106	0.7501	0.2285
11	-0.040127	-0.2722	0.393362
12	-0.358989	-2.4348	0.009419
13	-0.064116	-0.4349	0.332849
14	0.038369	0.2602	0.397924
15	0.219348	1.4877	0.071828
16	0.021913	0.1486	0.441251
17	-0.020367	-0.1381	0.445368
18	-0.166665	-1.1304	0.132088
19	0.104907	0.7115	0.240179
20	0.062	0.4205	0.338037
21	-0.076609	-0.5196	0.302922
22	-0.148375	-1.0063	0.15976
23	0.127582	0.8653	0.195682
24	0.031314	0.2124	0.416373
25	0.155674	1.0558	0.148279
26	0.020667	0.1402	0.444568
27	-0.209511	-1.421	0.081034
28	-0.074247	-0.5036	0.308484
29	0.06768	0.459	0.324188
30	0.150193	1.0187	0.156847
31	-0.095068	-0.6448	0.261136
32	0.005926	0.0402	0.484057
33	-0.010526	-0.0714	0.471698
34	0.072491	0.4917	0.312649
35	0.001094	0.0074	0.497056
36	-0.136036	-0.9226	0.180504

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.165884	-1.1251	0.133196
2	-0.170799	-1.1584	0.126337
3	-0.296488	-2.0109	0.02511
4	-0.171275	-1.1616	0.125686
5	-0.161683	-1.0966	0.139264
6	-0.121492	-0.824	0.207096
7	-0.148657	-1.0082	0.159307
8	-0.235373	-1.5964	0.058626
9	0.13925	0.9444	0.17494
10	0.181607	1.2317	0.112157
11	0.130113	0.8825	0.191055
12	-0.199164	-1.3508	0.091685
13	-0.15263	-1.0352	0.152996
14	-0.138486	-0.9393	0.176253
15	-0.009696	-0.0658	0.473925
16	-0.06153	-0.4173	0.339193
17	-0.019351	-0.1312	0.448077
18	-0.233351	-1.5827	0.060175
19	-0.096981	-0.6578	0.256987
20	-0.059021	-0.4003	0.345394
21	-0.008576	-0.0582	0.476935
22	-0.092472	-0.6272	0.266822
23	0.123841	0.8399	0.202647
24	-0.12474	-0.846	0.200958
25	0.045036	0.3054	0.380701
26	0.074469	0.5051	0.307959
27	0.010899	0.0739	0.470697
28	-0.040763	-0.2765	0.391713
29	-0.011039	-0.0749	0.470321
30	-0.001756	-0.0119	0.495275
31	-0.03156	-0.214	0.415727
32	-0.044413	-0.3012	0.382301
33	0.048418	0.3284	0.372055
34	-0.020354	-0.138	0.445403
35	0.025716	0.1744	0.431152
36	-0.180898	-1.2269	0.11305

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261261567xoptlke1tlt3jeg/1ofsm1261261187.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261261567xoptlke1tlt3jeg/1ofsm1261261187.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261261567xoptlke1tlt3jeg/2wp1q1261261187.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261261567xoptlke1tlt3jeg/2wp1q1261261187.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 2 ; 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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