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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 04:49:50 -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/t12593226709o77z9podvcnab8.htm/, Retrieved Fri, 27 Nov 2009 12:51:12 +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/t12593226709o77z9podvcnab8.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 «
3.75 3.75 3.55 3.5 3.5 3.1 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3.21 3.25 3.25 3.45 3.5 3.5 3.64 3.75 3.93 4 4.17 4.25 4.39 4.5 4.5 4.65 4.75 4.75 4.9 5 5 5 5 5 5 5 5 5 5 5 5 5.18 5.25 5.25 4.49 3.92 3.25
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.8515056.59570
20.7175945.55850
30.6139854.75596e-06
40.5677984.39812.3e-05
50.516263.99898.8e-05
60.4697433.63860.000286
70.4098363.17460.001184
80.3517672.72480.004209
90.2837462.19790.015914
100.2174341.68420.048666
110.1549551.20030.117376
120.0860380.66640.25384
130.0195430.15140.440092
14-0.04218-0.32670.372505
15-0.104143-0.80670.211516
16-0.15567-1.20580.116311
17-0.203252-1.57440.060329
18-0.231193-1.79080.039184
19-0.257453-1.99420.025339
20-0.281123-2.17760.016691
21-0.300845-2.33030.011585
22-0.326029-2.52540.007108
23-0.345257-2.67430.004817
24-0.352548-2.73080.004141
25-0.360443-2.7920.003509
26-0.356093-2.75830.003845
27-0.341334-2.6440.005221
28-0.329856-2.55510.006586
29-0.316723-2.45330.008538
30-0.309359-2.39630.009848
31-0.300008-2.32390.011769
32-0.290779-2.25240.013985
33-0.273416-2.11790.019169
34-0.245169-1.89910.031183
35-0.224197-1.73660.043793
36-0.200189-1.55070.063121


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.8515056.59570
2-0.02716-0.21040.417042
30.0345110.26730.395069
40.1529641.18490.120373
5-0.026018-0.20150.420482
60.0201590.15610.43822
7-0.041613-0.32230.37416
8-0.03121-0.24180.404897
9-0.070403-0.54530.293771
10-0.057755-0.44740.32811
11-0.0434-0.33620.368955
12-0.094477-0.73180.233564
13-0.056368-0.43660.331976
14-0.053478-0.41420.340087
15-0.077362-0.59920.275632
16-0.028057-0.21730.414346
17-0.048478-0.37550.354303
180.0156130.12090.452074
19-0.025553-0.19790.421884
20-0.021921-0.16980.432869
21-0.002011-0.01560.493813
22-0.062592-0.48480.314781
23-0.017791-0.13780.445428
24-0.006487-0.05020.480047
25-0.052554-0.40710.342698
260.0088620.06860.472751
270.0074640.05780.477045
28-0.03473-0.2690.39442
29-0.009582-0.07420.470539
30-0.043536-0.33720.36856
31-0.028712-0.22240.412377
32-0.04241-0.32850.371837
33-0.010032-0.07770.469159
340.0122930.09520.46223
35-0.048928-0.3790.353015
360.0080730.06250.475172
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Nov/27/t12593226709o77z9podvcnab8/1xw5y1259322588.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t12593226709o77z9podvcnab8/1xw5y1259322588.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/27/t12593226709o77z9podvcnab8/2we791259322588.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t12593226709o77z9podvcnab8/2we791259322588.ps (open in new window)


 
Parameters (Session):
par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 36 ; par2 = 1 ; par3 = 0 ; 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')
 




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Software written by Ed van Stee & Patrick Wessa


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