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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: Thu, 26 Nov 2009 02:53:45 -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/26/t1259229316vgn79r9j4xntgnr.htm/, Retrieved Thu, 26 Nov 2009 10:55:19 +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/26/t1259229316vgn79r9j4xntgnr.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 «

519164 517009 509933 509127 500857 506971 569323 579714 577992 565464 547344 554788 562325 560854 555332 543599 536662 542722 593530 610763 612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799 574205 572775 572942 619567 625809 619916 587625 565742 557274 560576 548854 531673 525919 511038 498662 555362 564591 541657 527070 509846 514258 516922 507561 492622 490243 469357 477580 528379 533590 517945 506174 501866 516141

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	3 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.003142	-0.0241	0.490414
2	0.079763	0.6127	0.271224
3	0.119552	0.9183	0.1811
4	0.026495	0.2035	0.419719
5	0.0119	0.0914	0.463739
6	0.118501	0.9102	0.183205
7	0.011754	0.0903	0.464183
8	0.114698	0.881	0.190943
9	0.022693	0.1743	0.431111
10	-0.097499	-0.7489	0.228446
11	0.224024	1.7208	0.045268
12	-0.165036	-1.2677	0.104948
13	-0.055652	-0.4275	0.335297
14	0.087642	0.6732	0.251726
15	-0.056215	-0.4318	0.333732
16	-0.062305	-0.4786	0.317005
17	-0.033988	-0.2611	0.397475
18	-0.031062	-0.2386	0.406124
19	0.001253	0.0096	0.496176
20	0.012801	0.0983	0.461004
21	-0.05365	-0.4121	0.340883
22	0.023939	0.1839	0.427368
23	0.015081	0.1158	0.454085
24	-0.201042	-1.5442	0.063939
25	-0.10766	-0.8269	0.205799
26	-0.156122	-1.1992	0.117623
27	0.012753	0.098	0.46115
28	-0.071288	-0.5476	0.293025
29	0.084074	0.6458	0.260462
30	-0.047748	-0.3668	0.357555
31	-0.006358	-0.0488	0.480609
32	-0.042229	-0.3244	0.373405
33	-0.058095	-0.4462	0.328531
34	-0.022668	-0.1741	0.431184
35	-0.008419	-0.0647	0.474328
36	-0.0446	-0.3426	0.366567

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.003142	-0.0241	0.490414
2	0.079754	0.6126	0.271247
3	0.120803	0.9279	0.178618
4	0.022451	0.1724	0.431838
5	-0.00679	-0.0522	0.47929
6	0.102433	0.7868	0.217272
7	0.008975	0.0689	0.472636
8	0.099846	0.7669	0.22309
9	-0.000821	-0.0063	0.497495
10	-0.124166	-0.9537	0.172054
11	0.206607	1.587	0.058932
12	-0.182497	-1.4018	0.083109
13	-0.065827	-0.5056	0.307502
14	0.063355	0.4866	0.314159
15	-0.044741	-0.3437	0.366162
16	-0.034138	-0.2622	0.397032
17	-0.09647	-0.741	0.230816
18	0.04031	0.3096	0.378968
19	0.003801	0.0292	0.488405
20	0.029153	0.2239	0.411795
21	0.018829	0.1446	0.442748
22	-0.073156	-0.5619	0.288149
23	0.123873	0.9515	0.172619
24	-0.21761	-1.6715	0.04996
25	-0.172514	-1.3251	0.095123
26	-0.115615	-0.8881	0.189059
27	0.080168	0.6158	0.270202
28	-0.01573	-0.1208	0.45212
29	0.07612	0.5847	0.280494
30	0.015751	0.121	0.452056
31	0.002301	0.0177	0.49298
32	0.043421	0.3335	0.36996
33	-0.054416	-0.418	0.338742
34	-0.073702	-0.5661	0.286732
35	0.087103	0.6691	0.253036
36	-0.068686	-0.5276	0.299882

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259229316vgn79r9j4xntgnr/1c9hh1259229222.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259229316vgn79r9j4xntgnr/1c9hh1259229222.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259229316vgn79r9j4xntgnr/2px5u1259229222.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259229316vgn79r9j4xntgnr/2px5u1259229222.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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