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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: Fri, 27 Nov 2009 03:43:21 -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/t1259318664jc0nxbx8fcucgoc.htm/, Retrieved Fri, 27 Nov 2009 11:44:27 +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/t1259318664jc0nxbx8fcucgoc.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:

ws8acfxxx

Dataseries X:

» Textbox « » Textfile « » CSV «

8.00 8.10 7.70 7.50 7.60 7.80 7.80 7.80 7.50 7.50 7.10 7.50 7.50 7.60 7.70 7.70 7.90 8.10 8.20 8.20 8.20 7.90 7.30 6.90 6.60 6.70 6.90 7.00 7.10 7.20 7.10 6.90 7.00 6.80 6.40 6.70 6.60 6.40 6.30 6.20 6.50 6.80 6.80 6.40 6.10 5.80 6.10 7.20 7.30 6.90 6.10 5.80 6.20 7.10 7.70 7.90 7.70 7.40 7.50 8.00

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	0.460492	2.7243	0.004994
2	-0.027716	-0.164	0.435349
3	-0.357382	-2.1143	0.020843
4	-0.377623	-2.234	0.015983
5	-0.160167	-0.9476	0.174925
6	0.045682	0.2703	0.394273
7	0.102971	0.6092	0.273168
8	0.010539	0.0623	0.475321
9	-0.117409	-0.6946	0.245945
10	-0.123259	-0.7292	0.235362
11	0.020845	0.1233	0.451279
12	-0.01286	-0.0761	0.469895
13	0.059749	0.3535	0.362924
14	0.122609	0.7254	0.236525
15	0.012303	0.0728	0.471196
16	-0.117038	-0.6924	0.246625
17	-0.163974	-0.9701	0.169331
18	-0.021031	-0.1244	0.450848
19	0.115413	0.6828	0.249616
20	0.287837	1.7029	0.04873
21	0.239044	1.4142	0.083069
22	0.063974	0.3785	0.353682
23	-0.25455	-1.5059	0.070528
24	-0.312628	-1.8495	0.03642
25	-0.159239	-0.9421	0.176308
26	-0.081523	-0.4823	0.316299
27	0.005246	0.031	0.487709
28	0.021913	0.1296	0.448798
29	0.017688	0.1046	0.458628
30	0.016945	0.1002	0.460359
31	0.044058	0.2606	0.397946
32	0.064438	0.3812	0.352672
33	0.071356	0.4221	0.33775
34	0.003296	0.0195	0.492276
35	NA	NA	NA
36	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.460492	2.7243	0.004994
2	-0.304296	-1.8002	0.040224
3	-0.280578	-1.6599	0.052933
4	-0.103302	-0.6111	0.272526
5	0.017166	0.1016	0.459846
6	-0.034656	-0.205	0.419368
7	-0.086011	-0.5089	0.307025
8	-0.117446	-0.6948	0.245878
9	-0.116007	-0.6863	0.248521
10	-0.029533	-0.1747	0.431152
11	0.062765	0.3713	0.356318
12	-0.243921	-1.4431	0.078948
13	0.064732	0.383	0.352033
14	0.103437	0.6119	0.272266
15	-0.171075	-1.0121	0.15922
16	-0.156652	-0.9268	0.180197
17	-0.042586	-0.2519	0.40128
18	0.109268	0.6464	0.261106
19	-0.012671	-0.075	0.470337
20	0.193291	1.1435	0.130291
21	0.007862	0.0465	0.481584
22	-0.001424	-0.0084	0.496663
23	-0.123817	-0.7325	0.234367
24	0.000543	0.0032	0.498729
25	-0.024618	-0.1456	0.442521
26	-0.202073	-1.1955	0.119969
27	-0.064021	-0.3788	0.353579
28	-0.069102	-0.4088	0.342585
29	-0.064846	-0.3836	0.351785
30	0.008679	0.0513	0.479671
31	-0.078357	-0.4636	0.322914
32	-0.063197	-0.3739	0.355375
33	-0.021731	-0.1286	0.44922
34	-0.051671	-0.3057	0.380827
35	NA	NA	NA
36	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259318664jc0nxbx8fcucgoc/10f601259318600.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259318664jc0nxbx8fcucgoc/10f601259318600.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259318664jc0nxbx8fcucgoc/2rz9v1259318600.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259318664jc0nxbx8fcucgoc/2rz9v1259318600.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 2 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 2 ; 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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