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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 17:21:06 -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/27/t1259281499iblpwfiuymgbdoz.htm/, Retrieved Fri, 27 Nov 2009 01:25:01 +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/27/t1259281499iblpwfiuymgbdoz.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 «

6802.96 7132.68 7073.29 7264.5 7105.33 7218.71 7225.72 7354.25 7745.46 8070.26 8366.33 8667.51 8854.34 9218.1 9332.9 9358.31 9248.66 9401.2 9652.04 9957.38 10110.63 10169.26 10343.78 10750.21 11337.5 11786.96 12083.04 12007.74 11745.93 11051.51 11445.9 11924.88 12247.63 12690.91 12910.7 13202.12 13654.67 13862.82 13523.93 14211.17 14510.35 14289.23 14111.82 13086.59 13351.54 13747.69 12855.61 12926.93 12121.95 11731.65 11639.51 12163.78 12029.53 11234.18 9852.13 9709.04 9332.75 7108.6 6691.49 6143.05

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	0.025505	0.1749	0.430973
2	-0.094046	-0.6447	0.261113
3	0.176857	1.2125	0.115696
4	-0.064439	-0.4418	0.330341
5	0.225628	1.5468	0.064306
6	0.13237	0.9075	0.18439
7	-0.111745	-0.7661	0.223729
8	0.190536	1.3063	0.098912
9	0.101314	0.6946	0.245371
10	0.02499	0.1713	0.432352
11	0.228629	1.5674	0.061865
12	-0.196156	-1.3448	0.092575
13	-0.056201	-0.3853	0.350878
14	0.237756	1.63	0.054896
15	-0.01515	-0.1039	0.458861
16	-0.007531	-0.0516	0.479522
17	-0.06698	-0.4592	0.324107
18	-0.137721	-0.9442	0.174957
19	0.061016	0.4183	0.338814
20	-0.058157	-0.3987	0.345958
21	-0.029801	-0.2043	0.419499
22	-0.016683	-0.1144	0.454713
23	-0.047786	-0.3276	0.372333
24	-0.12646	-0.867	0.195182
25	-0.017702	-0.1214	0.451963
26	-0.087411	-0.5993	0.275938
27	-0.035835	-0.2457	0.403503
28	0.048426	0.332	0.370687
29	-0.113475	-0.7779	0.22025
30	-0.089556	-0.614	0.2711
31	-0.04815	-0.3301	0.371396
32	-0.049555	-0.3397	0.367787
33	-0.094006	-0.6445	0.261201
34	-0.058164	-0.3988	0.34594
35	-0.06692	-0.4588	0.324253
36	0.000137	9e-04	0.499627

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.025505	0.1749	0.430973
2	-0.094758	-0.6496	0.259547
3	0.183668	1.2592	0.107095
4	-0.090425	-0.6199	0.269152
5	0.283253	1.9419	0.029079
6	0.05284	0.3623	0.359393
7	-0.034788	-0.2385	0.406267
8	0.142806	0.979	0.166289
9	0.06959	0.4771	0.317755
10	0.050076	0.3433	0.366451
11	0.154598	1.0599	0.14731
12	-0.221791	-1.5205	0.067539
13	-0.041999	-0.2879	0.387332
14	0.078423	0.5376	0.29668
15	0.02713	0.186	0.426625
16	-0.09435	-0.6468	0.260444
17	-0.106465	-0.7299	0.234541
18	-0.083315	-0.5712	0.285299
19	-0.087748	-0.6016	0.275176
20	-0.094274	-0.6463	0.260611
21	0.082724	0.5671	0.286664
22	-0.088107	-0.604	0.274364
23	0.098253	0.6736	0.251936
24	-0.216642	-1.4852	0.072081
25	0.018926	0.1297	0.448659
26	-0.050211	-0.3442	0.366105
27	0.134024	0.9188	0.181441
28	0.055024	0.3772	0.353852
29	-0.050989	-0.3496	0.364115
30	-0.097526	-0.6686	0.253509
31	0.004653	0.0319	0.487343
32	-0.015749	-0.108	0.457239
33	-0.035559	-0.2438	0.40423
34	-0.036983	-0.2535	0.400477
35	0.013842	0.0949	0.462399
36	-0.06793	-0.4657	0.321789

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259281499iblpwfiuymgbdoz/1dw9e1259281264.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259281499iblpwfiuymgbdoz/1dw9e1259281264.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259281499iblpwfiuymgbdoz/2csd51259281264.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259281499iblpwfiuymgbdoz/2csd51259281264.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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