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ws 8 d=1 D=1

*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 14:02:34 -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/t12591833280w4saom75qieank.htm/, Retrieved Wed, 25 Nov 2009 22:08:50 +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/t12591833280w4saom75qieank.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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.491436	5.0117	1e-06
2	0.268246	2.7356	0.003662
3	0.148146	1.5108	0.066936
4	0.118202	1.2054	0.115386
5	-0.036493	-0.3722	0.355268
6	-0.076546	-0.7806	0.2184
7	-0.019791	-0.2018	0.42022
8	-0.102893	-1.0493	0.148235
9	-0.262976	-2.6818	0.004259
10	-0.260394	-2.6555	0.004583
11	-0.22551	-2.2998	0.01173
12	-0.369602	-3.7692	0.000136
13	-0.271419	-2.7679	0.00334
14	-0.079853	-0.8143	0.208654
15	0.071691	0.7311	0.23318
16	-0.052619	-0.5366	0.296343
17	-0.026241	-0.2676	0.394766
18	-0.001625	-0.0166	0.493404
19	0.040622	0.4143	0.339767
20	-0.002863	-0.0292	0.488382
21	0.088586	0.9034	0.1842
22	0.08427	0.8594	0.196052
23	0.049648	0.5063	0.306855
24	0.03338	0.3404	0.367116
25	0.125727	1.2822	0.101317
26	0.119078	1.2144	0.11368
27	0.008118	0.0828	0.467089
28	-0.020184	-0.2058	0.418659
29	-0.019522	-0.1991	0.421293
30	0.034978	0.3567	0.361018
31	-0.034162	-0.3484	0.364126
32	-0.023287	-0.2375	0.406374
33	-0.016677	-0.1701	0.432641
34	-0.046508	-0.4743	0.318143
35	0.002237	0.0228	0.49092
36	-0.010386	-0.1059	0.457927

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.491436	5.0117	1e-06
2	0.035249	0.3595	0.359986
3	0.004811	0.0491	0.480483
4	0.048555	0.4952	0.310765
5	-0.153639	-1.5668	0.060097
6	-0.023614	-0.2408	0.405085
7	0.069456	0.7083	0.240166
8	-0.140462	-1.4324	0.077509
9	-0.212387	-2.1659	0.016301
10	-0.044075	-0.4495	0.327011
11	-0.065742	-0.6704	0.252033
12	-0.27952	-2.8506	0.002632
13	0.06626	0.6757	0.250359
14	0.109615	1.1179	0.133101
15	0.079982	0.8157	0.208279
16	-0.147189	-1.501	0.068187
17	-0.027042	-0.2758	0.391634
18	-0.085526	-0.8722	0.192555
19	0.039615	0.404	0.343524
20	-0.043176	-0.4403	0.330313
21	-0.025941	-0.2645	0.395941
22	-0.10397	-1.0603	0.145735
23	0.004711	0.048	0.480888
24	-0.013524	-0.1379	0.445287
25	0.097953	0.9989	0.160075
26	0.051078	0.5209	0.301774
27	-0.03554	-0.3624	0.358879
28	-0.099977	-1.0196	0.155149
29	-0.074358	-0.7583	0.22499
30	0.07164	0.7306	0.233338
31	-0.009117	-0.093	0.463052
32	-0.041952	-0.4278	0.33483
33	0.012963	0.1322	0.447543
34	-0.076015	-0.7752	0.219989
35	0.130803	1.3339	0.09257
36	-0.053239	-0.5429	0.294168

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t12591833280w4saom75qieank/18m1f1259182952.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t12591833280w4saom75qieank/18m1f1259182952.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t12591833280w4saom75qieank/28klm1259182952.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t12591833280w4saom75qieank/28klm1259182952.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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