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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: Wed, 25 Nov 2009 08:56:51 -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/25/t1259164709i67y35fgtwjp1fh.htm/, Retrieved Wed, 25 Nov 2009 16:58:32 +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/25/t1259164709i67y35fgtwjp1fh.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 «

8.2 8.3 8.1 7.4 7.3 7.7 8 8 7.7 6.9 6.6 6.9 7.5 7.9 7.7 6.5 6.1 6.4 6.8 7.1 7.3 7.2 7 7 7 7.3 7.5 7.2 7.7 8 7.9 8 8 7.9 7.9 8 8.1 8.1 8.2 8 8.3 8.5 8.6 8.7 8.7 8.5 8.4 8.5 8.7 8.7 8.6 7.9 8.1 8.2 8.5 8.6 8.5 8.3 8.2 8.7

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	0.212131	1.4387	0.078497
2	-0.221712	-1.5037	0.069744
3	-0.429031	-2.9098	0.002778
4	-0.421988	-2.8621	0.003158
5	-0.044347	-0.3008	0.382469
6	0.179692	1.2187	0.114579
7	0.356958	2.421	0.009741
8	0.245367	1.6642	0.05144
9	-0.111752	-0.7579	0.226177
10	-0.116719	-0.7916	0.216321
11	-0.112261	-0.7614	0.225155
12	-0.235507	-1.5973	0.058525
13	-0.030066	-0.2039	0.41966
14	0.179988	1.2207	0.114203
15	0.196254	1.3311	0.094865
16	0.009307	0.0631	0.474971
17	-0.070307	-0.4768	0.317865
18	-0.049024	-0.3325	0.370512
19	-0.121239	-0.8223	0.207579
20	0.016245	0.1102	0.456373
21	0.200605	1.3606	0.09014
22	0.04447	0.3016	0.382155
23	-0.069959	-0.4745	0.3187
24	-0.186719	-1.2664	0.105875
25	-0.030484	-0.2068	0.418557
26	0.114247	0.7749	0.221194
27	0.097877	0.6638	0.255054
28	0.048973	0.3322	0.370641
29	-0.036975	-0.2508	0.401551
30	-0.191185	-1.2967	0.100604
31	-0.007484	-0.0508	0.47987
32	0.0251	0.1702	0.432785
33	0.062651	0.4249	0.336439
34	0.05596	0.3795	0.353017
35	-0.006677	-0.0453	0.482037
36	0.035079	0.2379	0.4065

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.212131	1.4387	0.078497
2	-0.279279	-1.8942	0.032251
3	-0.351636	-2.3849	0.01063
4	-0.406747	-2.7587	0.00415
5	-0.184249	-1.2496	0.108877
6	-0.231873	-1.5726	0.061328
7	-0.022306	-0.1513	0.440205
8	-0.007924	-0.0537	0.478687
9	-0.138965	-0.9425	0.175429
10	0.140682	0.9541	0.172498
11	0.165576	1.123	0.133634
12	-0.180102	-1.2215	0.114058
13	-0.041252	-0.2798	0.390449
14	0.109557	0.7431	0.230614
15	-0.021401	-0.1452	0.442613
16	-0.205106	-1.3911	0.085445
17	-0.032901	-0.2231	0.412205
18	-0.005792	-0.0393	0.484416
19	-0.123225	-0.8357	0.203808
20	0.090117	0.6112	0.272037
21	0.21837	1.4811	0.072704
22	-0.023463	-0.1591	0.43713
23	0.112228	0.7612	0.22522
24	-0.040217	-0.2728	0.393128
25	-0.035708	-0.2422	0.404856
26	0.096606	0.6552	0.257798
27	0.080215	0.544	0.29452
28	-0.244832	-1.6605	0.051805
29	-0.042308	-0.2869	0.387722
30	-0.038263	-0.2595	0.398198
31	-0.005181	-0.0351	0.486059
32	-0.144162	-0.9778	0.166656
33	0.070172	0.4759	0.318188
34	-0.027831	-0.1888	0.425556
35	-0.028768	-0.1951	0.423083
36	0.064105	0.4348	0.332876

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259164709i67y35fgtwjp1fh/1tmmc1259164609.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259164709i67y35fgtwjp1fh/1tmmc1259164609.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259164709i67y35fgtwjp1fh/2to2s1259164609.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259164709i67y35fgtwjp1fh/2to2s1259164609.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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