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ws 8 d=0 D=0

*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 13:46:27 -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/t1259182122kdokoop46mjanl0.htm/, Retrieved Wed, 25 Nov 2009 21:48:45 +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/t1259182122kdokoop46mjanl0.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 «

100.01 103.84 104.48 95.43 104.80 108.64 105.65 108.42 115.35 113.64 115.24 100.33 101.29 104.48 99.26 100.11 103.52 101.18 96.39 97.56 96.39 85.10 79.77 79.13 80.84 82.75 92.55 96.60 96.92 95.32 98.52 100.22 104.91 103.10 97.13 103.42 111.72 118.11 111.62 100.22 102.03 105.76 107.68 110.77 105.44 112.26 114.07 117.90 124.72 126.42 134.73 135.79 143.36 140.37 144.74 151.98 150.92 163.38 154.43 146.66 157.95 162.10 180.42 179.57 171.58 185.43 190.64 203.00 202.36 193.41 186.17 192.24 209.60 206.41 209.82 230.37 235.80 232.07 244.64 242.19 217.48 209.39 211.73 221.00 203.11 214.71 224.19 238.04 238.36 246.24 259.87 249.97 266.48 282.98 306.31 301.73 314.62 332.62 355.51 370.32 408.13 433.58 440.51 386.29 342.84 254.97 203.42 170.09 174.03 167.85 177.01 188.19 211.20 240.91 230.26 251.25 241.66

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	0.975544	10.5521	0
2	0.931134	10.0718	0
3	0.874566	9.4599	0
4	0.812493	8.7885	0
5	0.754794	8.1643	0
6	0.707926	7.6574	0
7	0.672482	7.274	0
8	0.646751	6.9957	0
9	0.629652	6.8107	0
10	0.62033	6.7099	0
11	0.611654	6.6161	0
12	0.595977	6.4465	0
13	0.573914	6.2078	0
14	0.550167	5.951	0
15	0.520776	5.6331	0
16	0.489914	5.2992	0
17	0.463421	5.0127	1e-06
18	0.441974	4.7807	3e-06
19	0.422811	4.5734	6e-06
20	0.405843	4.3899	1.3e-05
21	0.391928	4.2394	2.2e-05
22	0.376064	4.0678	4.3e-05
23	0.357247	3.8642	9.2e-05
24	0.336409	3.6388	0.000204
25	0.314764	3.4047	0.000454
26	0.288096	3.1162	0.001152
27	0.257118	2.7812	0.003158
28	0.226646	2.4516	0.007851
29	0.197713	2.1386	0.017274
30	0.170705	1.8465	0.033677
31	0.146022	1.5795	0.058464
32	0.125933	1.3622	0.08788
33	0.109038	1.1794	0.120311
34	0.092029	0.9955	0.160786
35	0.075562	0.8173	0.207703
36	0.057673	0.6238	0.266977

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.975544	10.5521	0
2	-0.425375	-4.6011	5e-06
3	-0.131878	-1.4265	0.078196
4	-0.014399	-0.1558	0.438248
5	0.148482	1.6061	0.055476
6	0.153487	1.6602	0.049774
7	0.052446	0.5673	0.285804
8	-0.003002	-0.0325	0.487076
9	0.034614	0.3744	0.354391
10	0.083697	0.9053	0.183579
11	-0.070739	-0.7652	0.222858
12	-0.170754	-1.847	0.033638
13	-0.014406	-0.1558	0.438218
14	0.152151	1.6458	0.051249
15	-0.073315	-0.793	0.214683
16	-0.012142	-0.1313	0.447869
17	0.067937	0.7348	0.231951
18	0.046227	0.5	0.308998
19	-0.06805	-0.7361	0.231579
20	-0.068484	-0.7408	0.230158
21	0.013789	0.1491	0.440847
22	-0.048604	-0.5257	0.300033
23	0.010174	0.11	0.456281
24	-0.015705	-0.1699	0.432702
25	0.004035	0.0436	0.482632
26	-0.097766	-1.0575	0.146231
27	-0.050243	-0.5435	0.293922
28	0.00739	0.0799	0.468213
29	0.008049	0.0871	0.465385
30	0.004783	0.0517	0.479412
31	-0.057463	-0.6216	0.26772
32	0.017032	0.1842	0.427078
33	0.032255	0.3489	0.363901
34	-0.043719	-0.4729	0.318587
35	-0.065272	-0.706	0.240788
36	-0.060128	-0.6504	0.258359

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259182122kdokoop46mjanl0/15n9c1259181985.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259182122kdokoop46mjanl0/15n9c1259181985.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259182122kdokoop46mjanl0/2z6jv1259181985.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259182122kdokoop46mjanl0/2z6jv1259181985.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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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