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AC JDB

*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: Mon, 21 Dec 2009 06:26:58 -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/21/t12614021772114v8rizgoata5.htm/, Retrieved Mon, 21 Dec 2009 14:29:39 +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/21/t12614021772114v8rizgoata5.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 «

102.9 105.9 117.6 113.6 115.9 118.9 77.6 81.2 123.1 136.6 112.1 95.1 96.3 105.7 115.8 105.7 105.7 111.1 82.4 60 107.3 99.3 113.5 108.9 100.2 103.9 138.7 120.2 100.2 143.2 70.9 85.2 133 136.6 117.9 106.3 122.3 125.5 148.4 126.3 99.6 140.4 80.3 92.6 138.5 110.9 119.6 105 109 129.4 148.6 101.4 134.8 143.7 81.6 90.3 141.5 140.7 140.2 100.2 125.7 119.6 134.7 109 116.3 146.9 97.4 89.4 132.1 139.8 129 112.5 121.9 121.7 123.1 131.6 119.3 132.5 98.3 85.1 131.7 129.3 90.7 78.6 68.9 79.1 83.5 74.1 59.7 93.3 61.3 56.6 98.5

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	0.354272	3.4165	0.000471
2	0.059907	0.5777	0.282425
3	0.265911	2.5644	0.005969
4	0.236954	2.2851	0.01229
5	0.248692	2.3983	0.009234
6	0.237699	2.2923	0.012072
7	0.129882	1.2525	0.106757
8	0.085693	0.8264	0.205348
9	0.048417	0.4669	0.320827
10	-0.203253	-1.9601	0.026488
11	0.018018	0.1738	0.431216
12	0.439534	4.2387	2.6e-05
13	-0.008512	-0.0821	0.467378
14	-0.239276	-2.3075	0.011623
15	-0.051065	-0.4925	0.311779
16	-0.063801	-0.6153	0.269939
17	-0.024386	-0.2352	0.407296
18	-0.019469	-0.1878	0.425738
19	-0.023523	-0.2269	0.410519
20	-0.037812	-0.3646	0.358101
21	-0.046989	-0.4531	0.325751
22	-0.24956	-2.4067	0.009038
23	-0.002566	-0.0247	0.490156
24	0.35003	3.3756	0.000538
25	-0.047758	-0.4606	0.323094
26	-0.274984	-2.6519	0.004706
27	-0.089904	-0.867	0.194085
28	-0.063602	-0.6134	0.27057
29	-0.051132	-0.4931	0.311553
30	-0.069114	-0.6665	0.253369
31	-0.058277	-0.562	0.287733
32	-0.091752	-0.8848	0.189266
33	-0.111379	-1.0741	0.142779
34	-0.212984	-2.0539	0.021394
35	-0.086016	-0.8295	0.204469
36	0.213919	2.063	0.020952

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.354272	3.4165	0.000471
2	-0.075017	-0.7234	0.235613
3	0.310121	2.9907	0.001781
4	0.039695	0.3828	0.351367
5	0.221089	2.1321	0.017817
6	0.049815	0.4804	0.316036
7	0.00958	0.0924	0.463293
8	-0.045687	-0.4406	0.330266
9	-0.08888	-0.8571	0.19679
10	-0.374541	-3.6119	0.000246
11	0.176338	1.7005	0.046186
12	0.442595	4.2682	2.4e-05
13	-0.25829	-2.4909	0.007259
14	-0.120978	-1.1667	0.123164
15	-0.052129	-0.5027	0.308176
16	-0.083038	-0.8008	0.212648
17	-0.0437	-0.4214	0.337209
18	-0.031786	-0.3065	0.379941
19	0.189059	1.8232	0.035742
20	-0.042054	-0.4055	0.343003
21	0.079696	0.7686	0.22205
22	-0.064519	-0.6222	0.267667
23	0.131153	1.2648	0.104553
24	0.018517	0.1786	0.429333
25	-0.1641	-1.5825	0.058463
26	-0.204977	-1.9767	0.025517
27	-0.042141	-0.4064	0.342693
28	-0.018103	-0.1746	0.430896
29	0.005538	0.0534	0.478762
30	0.000231	0.0022	0.499114
31	0.121626	1.1729	0.121911
32	-0.089373	-0.8619	0.195486
33	0.011773	0.1135	0.454927
34	0.084607	0.8159	0.208315
35	-0.180095	-1.7368	0.042869
36	-0.060019	-0.5788	0.28206

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/21/t12614021772114v8rizgoata5/1pnls1261402015.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t12614021772114v8rizgoata5/1pnls1261402015.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t12614021772114v8rizgoata5/22oq91261402015.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t12614021772114v8rizgoata5/22oq91261402015.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; 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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