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ws4

*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: Tue, 24 Nov 2009 03:32:30 -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/24/t12590587926nkjyt287vkcpxg.htm/, Retrieved Tue, 24 Nov 2009 11:33:14 +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/24/t12590587926nkjyt287vkcpxg.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 «

395.3 395.1 403.5 403.3 405.7 406.7 407.2 412.4 415.9 414 411.8 409.9 412.4 415.9 416.3 417.2 421.8 421.4 415.1 412.4 411.8 408.8 404.5 402.5 409.4 410.7 413.4 415.2 417.7 417.8 417.9 418.4 418.2 416.6 418.9 421 423.5 432.3 432.3 428.6 426.7 427.3 428.5 437 442 444.9 441.4 440.3 447.1 455.3 478.6 486.5 487.8 485.9 483.8 488.4 494 493.6 487.3 482.1 484.2 496.8 501.1 499.8 495.5 498.1 503.8 516.2 526.1 527.1 525.1 528.9 540.1 549 556 568.9 589.1 590.3 603.3 638.8 643 656.7 656.1 654.1 659.9 662.1 669.2 673.1 678.3 677.4 678.5 672.4 665.3 667.9 672.1 662.5 682.3 692.1 702.7 721.4 733.2 747.7 737.6 729.3 706.1 674.3 659 645.7

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	-0.32086	-3.3035	0.000651
2	-0.068606	-0.7063	0.240763
3	0.083309	0.8577	0.196492
4	-0.243686	-2.5089	0.006812
5	0.117055	1.2052	0.115414
6	-0.060903	-0.627	0.265992
7	0.126423	1.3016	0.097937
8	-0.086068	-0.8861	0.188778
9	-0.137986	-1.4207	0.079176
10	0.017905	0.1843	0.427046
11	0.054009	0.5561	0.289671
12	0.064984	0.6691	0.252458
13	0.056416	0.5808	0.28129
14	-0.07977	-0.8213	0.206664
15	0.087718	0.9031	0.184258
16	-0.280346	-2.8863	0.002362
17	0.132704	1.3663	0.087372
18	0.158552	1.6324	0.052782
19	-0.170105	-1.7513	0.04139
20	0.125977	1.297	0.098722
21	-0.116082	-1.1951	0.117351
22	0.114644	1.1803	0.120256
23	-0.055255	-0.5689	0.285318
24	0.053462	0.5504	0.291592
25	0.074076	0.7627	0.223681
26	-0.110518	-1.1378	0.128875
27	-0.062554	-0.644	0.260471
28	0.033779	0.3478	0.36435
29	0.068653	0.7068	0.240613
30	-0.098471	-1.0138	0.156489
31	0.124149	1.2782	0.101987
32	-0.077194	-0.7948	0.214264
33	-0.028403	-0.2924	0.385267
34	-0.021206	-0.2183	0.413797
35	0.048532	0.4997	0.309173
36	0.068029	0.7004	0.242605
37	-0.077837	-0.8014	0.212352
38	0.038967	0.4012	0.344545
39	-0.032872	-0.3384	0.367852
40	-0.024511	-0.2524	0.400625
41	0.016352	0.1684	0.433313
42	0.012535	0.1291	0.448779
43	-0.024456	-0.2518	0.400846
44	0.006735	0.0693	0.472425
45	-0.050794	-0.523	0.301046
46	0.069285	0.7133	0.238604
47	-0.048602	-0.5004	0.308921
48	0.053269	0.5484	0.292271
49	0.00886	0.0912	0.463743
50	-0.049276	-0.5073	0.30649
51	0.099406	1.0234	0.154213
52	-0.049924	-0.514	0.304162
53	0.065275	0.672	0.251509
54	-0.085025	-0.8754	0.19167
55	-0.017388	-0.179	0.429132
56	0.025958	0.2673	0.394898
57	-0.031776	-0.3272	0.372097
58	-0.037906	-0.3903	0.348563
59	0.08627	0.8882	0.18822
60	0.017228	0.1774	0.429777

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.32086	-3.3035	0.000651
2	-0.191246	-1.969	0.025782
3	-0.004949	-0.051	0.479729
4	-0.262206	-2.6996	0.004041
5	-0.059256	-0.6101	0.271558
6	-0.129166	-1.3298	0.093213
7	0.100897	1.0388	0.150631
8	-0.104662	-1.0776	0.141838
9	-0.18776	-1.9331	0.027946
10	-0.206998	-2.1312	0.017693
11	-0.002364	-0.0243	0.490314
12	0.010589	0.109	0.456697
13	0.059564	0.6132	0.270514
14	-0.105754	-1.0888	0.139354
15	0.113242	1.1659	0.123136
16	-0.28385	-2.9224	0.002123
17	-0.00725	-0.0746	0.470321
18	0.022826	0.235	0.407329
19	-0.024242	-0.2496	0.401695
20	-0.06109	-0.629	0.265364
21	-0.022652	-0.2332	0.408023
22	0.126619	1.3036	0.097592
23	0.025481	0.2623	0.396781
24	0.047856	0.4927	0.31162
25	0.008934	0.092	0.463443
26	0.039796	0.4097	0.341416
27	-0.069127	-0.7117	0.239104
28	0.051362	0.5288	0.299025
29	0.101787	1.048	0.14852
30	-0.067437	-0.6943	0.244505
31	0.127869	1.3165	0.095423
32	-0.060592	-0.6238	0.26704
33	0.028675	0.2952	0.384198
34	-0.032312	-0.3327	0.370019
35	-0.017023	-0.1753	0.430606
36	0.043146	0.4442	0.328898
37	-0.030008	-0.3089	0.378983
38	0.079607	0.8196	0.207141
39	-0.007995	-0.0823	0.467275
40	-0.019014	-0.1958	0.422585
41	-0.005758	-0.0593	0.476417
42	-0.070153	-0.7223	0.235861
43	-0.09713	-1	0.159791
44	-0.048158	-0.4958	0.310525
45	0.005244	0.054	0.478521
46	-0.079401	-0.8175	0.207744
47	-0.040253	-0.4144	0.339699
48	0.002682	0.0276	0.489012
49	-0.069464	-0.7152	0.238035
50	-0.018003	-0.1853	0.426655
51	0.005506	0.0567	0.477451
52	0.129255	1.3308	0.093062
53	-0.006499	-0.0669	0.473389
54	-0.003764	-0.0387	0.484581
55	0.000693	0.0071	0.497161
56	0.000726	0.0075	0.497025
57	0.034272	0.3529	0.36245
58	-0.143979	-1.4824	0.070607
59	0.081677	0.8409	0.201143
60	0.05282	0.5438	0.293856

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/24/t12590587926nkjyt287vkcpxg/1e6pg1259058748.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t12590587926nkjyt287vkcpxg/1e6pg1259058748.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t12590587926nkjyt287vkcpxg/2cld21259058748.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t12590587926nkjyt287vkcpxg/2cld21259058748.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 2 ; 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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