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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: Mon, 23 Nov 2009 08:32:19 -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/Nov/23/t12589904028n02f8qm207ixos.htm/, Retrieved Mon, 23 Nov 2009 16:33:24 +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/Nov/23/t12589904028n02f8qm207ixos.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 «

100.03 100.25 99.6 100.16 100.49 99.72 100.14 98.48 100.38 101.45 98.42 98.6 100.06 98.62 100.84 100.02 97.95 98.32 98.27 97.22 99.28 100.38 99.02 100.32 99.81 100.6 101.19 100.47 101.77 102.32 102.39 101.16 100.63 101.48 101.44 100.09 100.7 100.78 99.81 98.45 98.49 97.48 97.91 96.94 98.53 96.82 95.76 95.27 97.32 96.68 97.87 97.42 97.94 99.52 100.99 99.92 101.97 101.58 99.54 100.83

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	-0.186791	-1.2806	0.103314
2	-0.036465	-0.25	0.401841
3	0.31876	2.1853	0.016942
4	-0.176154	-1.2077	0.116611
5	0.064971	0.4454	0.32903
6	0.27438	1.8811	0.033084
7	-0.205514	-1.4089	0.082718
8	0.17753	1.2171	0.114824
9	0.020213	0.1386	0.44519
10	-0.241558	-1.656	0.052188
11	0.179572	1.2311	0.112208
12	-0.354602	-2.431	0.009462
13	-0.129596	-0.8885	0.189408
14	0.143668	0.9849	0.16485
15	-0.167392	-1.1476	0.128475
16	-0.019763	-0.1355	0.446403
17	0.032883	0.2254	0.411309
18	-0.357404	-2.4502	0.009027
19	0.113485	0.778	0.220229
20	0.017554	0.1203	0.452361
21	-0.176274	-1.2085	0.116455
22	0.118217	0.8105	0.210881
23	0.058378	0.4002	0.345404
24	-0.141441	-0.9697	0.168587
25	0.212709	1.4583	0.07571
26	-0.000649	-0.0045	0.498233
27	-0.08702	-0.5966	0.276826
28	0.040772	0.2795	0.390537
29	0.048361	0.3315	0.370854
30	0.077966	0.5345	0.297754
31	0.009609	0.0659	0.473877
32	0.002329	0.016	0.493665
33	-0.016086	-0.1103	0.45633
34	0.073791	0.5059	0.307651
35	-0.123054	-0.8436	0.20158
36	0.0636	0.436	0.332409

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.186791	-1.2806	0.103314
2	-0.073936	-0.5069	0.307305
3	0.31009	2.1259	0.019399
4	-0.071495	-0.4901	0.313156
5	0.045273	0.3104	0.378824
6	0.221536	1.5188	0.067759
7	-0.068849	-0.472	0.319554
8	0.118496	0.8124	0.210339
9	-0.07106	-0.4872	0.314204
10	-0.163584	-1.1215	0.133892
11	0.008996	0.0617	0.475543
12	-0.441736	-3.0284	0.001992
13	-0.160155	-1.098	0.138905
14	-0.099289	-0.6807	0.249704
15	0.064945	0.4452	0.329094
16	0.100592	0.6896	0.24691
17	-0.00974	-0.0668	0.473524
18	-0.090831	-0.6227	0.268244
19	0.045986	0.3153	0.376979
20	0.090693	0.6218	0.268551
21	0.025114	0.1722	0.43202
22	-0.133462	-0.915	0.18244
23	0.117212	0.8036	0.212848
24	-0.173584	-1.19	0.120005
25	0.054027	0.3704	0.356377
26	0.065365	0.4481	0.328063
27	-0.030555	-0.2095	0.417491
28	-0.167353	-1.1473	0.12853
29	-0.021395	-0.1467	0.442008
30	-0.013092	-0.0898	0.464433
31	-0.090061	-0.6174	0.269967
32	0.039359	0.2698	0.394237
33	-0.044193	-0.303	0.381624
34	0.076367	0.5235	0.301527
35	-0.058555	-0.4014	0.344961
36	-0.037005	-0.2537	0.40042

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/23/t12589904028n02f8qm207ixos/19h6z1258990338.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/23/t12589904028n02f8qm207ixos/19h6z1258990338.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/23/t12589904028n02f8qm207ixos/2whbq1258990338.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/23/t12589904028n02f8qm207ixos/2whbq1258990338.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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