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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: Tue, 24 Nov 2009 10:53:19 -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/24/t1259085395svtspwmvr5f4br5.htm/, Retrieved Tue, 24 Nov 2009 18:56:37 +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/t1259085395svtspwmvr5f4br5.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 «

90398 90269 90390 88219 87032 87175 92603 93571 94118 92159 89528 89955 89587 89488 88521 86587 85159 84915 91378 92729 92194 89664 86285 86858 87184 86629 85220 84816 84831 84957 90951 92134 91790 86625 83324 82719 83614 81640 78665 77828 75728 72187 79357 81329 77304 75576 72932 74291 74988 73302 70483 69848 66466 67610 75091 76207 73454 72008 71362 74250

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	0.199651	1.5336	0.065243
2	-0.285103	-2.1899	0.016248
3	-0.325974	-2.5039	0.007535
4	-0.204735	-1.5726	0.060579
5	0.137192	1.0538	0.148137
6	0.236207	1.8143	0.037356
7	0.069416	0.5332	0.297951
8	-0.229051	-1.7594	0.041849
9	-0.32796	-2.5191	0.007247
10	-0.204204	-1.5685	0.061054
11	0.261621	2.0096	0.02453
12	0.684671	5.2591	1e-06
13	0.077407	0.5946	0.2772
14	-0.260856	-2.0037	0.024852
15	-0.273833	-2.1034	0.019854
16	-0.133326	-1.0241	0.154984
17	0.134892	1.0361	0.152185
18	0.144331	1.1086	0.136044
19	0.055107	0.4233	0.336815
20	-0.25978	-1.9954	0.025311
21	-0.270238	-2.0757	0.021143
22	-0.078474	-0.6028	0.274486
23	0.175334	1.3468	0.091603
24	0.453724	3.4851	0.000467
25	0.078121	0.6001	0.275383
26	-0.20422	-1.5686	0.06104
27	-0.203975	-1.5668	0.061259
28	-0.069218	-0.5317	0.298474
29	0.122004	0.9371	0.176256
30	0.123099	0.9455	0.17412
31	0.021592	0.1659	0.43442
32	-0.191208	-1.4687	0.073614
33	-0.168951	-1.2977	0.099714
34	-0.028518	-0.219	0.413684
35	0.106374	0.8171	0.208586
36	0.293111	2.2514	0.014048

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.199651	1.5336	0.065243
2	-0.338455	-2.5997	0.005885
3	-0.214331	-1.6463	0.052509
4	-0.220254	-1.6918	0.04798
5	0.065607	0.5039	0.30809
6	0.024523	0.1884	0.425618
7	-0.017011	-0.1307	0.448244
8	-0.207641	-1.5949	0.058036
9	-0.22054	-1.694	0.047769
10	-0.285918	-2.1962	0.016011
11	0.097931	0.7522	0.227454
12	0.516158	3.9647	0.000101
13	-0.120223	-0.9234	0.179767
14	0.066443	0.5104	0.305851
15	-0.000409	-0.0031	0.498751
16	0.003967	0.0305	0.487898
17	-0.106788	-0.8203	0.207687
18	-0.146765	-1.1273	0.132084
19	0.050675	0.3892	0.349249
20	-0.175666	-1.3493	0.091195
21	0.038112	0.2927	0.385371
22	-0.012009	-0.0922	0.463409
23	-0.22357	-1.7173	0.045588
24	-0.018847	-0.1448	0.442694
25	0.043942	0.3375	0.368461
26	-0.043065	-0.3308	0.370988
27	-0.053363	-0.4099	0.341685
28	0.004175	0.0321	0.487262
29	0.019262	0.148	0.441443
30	-0.03785	-0.2907	0.386139
31	-0.056558	-0.4344	0.332781
32	0.109108	0.8381	0.202686
33	-0.040993	-0.3149	0.376985
34	0.007051	0.0542	0.478494
35	-0.00633	-0.0486	0.480692
36	-0.087224	-0.67	0.252742

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259085395svtspwmvr5f4br5/1ou2z1259085198.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259085395svtspwmvr5f4br5/1ou2z1259085198.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259085395svtspwmvr5f4br5/2afxq1259085198.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259085395svtspwmvr5f4br5/2afxq1259085198.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; 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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