*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 05:12:11 -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/t1259324272cl1ujscrd28amek.htm/, Retrieved Fri, 27 Nov 2009 13:17:54 +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/t1259324272cl1ujscrd28amek.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 «

1.4 1.2 1 1.7 2.4 2 2.1 2 1.8 2.7 2.3 1.9 2 2.3 2.8 2.4 2.3 2.7 2.7 2.9 3 2.2 2.3 2.8 2.8 2.8 2.2 2.6 2.8 2.5 2.4 2.3 1.9 1.7 2 2.1 1.7 1.8 1.8 1.8 1.3 1.3 1.3 1.2 1.4 2.2 2.9 3.1 3.5 3.6 4.4 4.1 5.1 5.8 5.9 5.4 5.5 4.8 3.2 2.7 2.1 1.9 0.6 0.7 -0.2 -1 -1.7 -0.7 -1

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 0.893848 6.7484 0 2 0.773905 5.8429 0 3 0.613693 4.6333 1.1e-05 4 0.451666 3.41 6e-04 5 0.286762 2.165 0.017294 6 0.142891 1.0788 0.14261 7 -0.018755 -0.1416 0.443949 8 -0.151526 -1.144 0.128704 9 -0.281087 -2.1222 0.019091 10 -0.376882 -2.8454 0.003076 11 -0.453031 -3.4203 0.000581 12 -0.49843 -3.7631 0.000199 13 -0.47836 -3.6115 0.000322 14 -0.434122 -3.2775 0.000893 15 -0.374305 -2.8259 0.003244 16 -0.319281 -2.4105 0.009589 17 -0.259749 -1.9611 0.027382 18 -0.212319 -1.603 0.057234 19 -0.15389 -1.1618 0.125071 20 -0.108178 -0.8167 0.208743 21 -0.050585 -0.3819 0.351975 22 -0.004279 -0.0323 0.48717 23 0.034548 0.2608 0.39758 24 0.070058 0.5289 0.299454 25 0.095577 0.7216 0.236749 26 0.099936 0.7545 0.226828 27 0.100052 0.7554 0.226568 28 0.105252 0.7946 0.215061 29 0.104009 0.7852 0.21778 30 0.108264 0.8174 0.208558 31 0.113996 0.8607 0.196518 32 0.114445 0.864 0.195593 33 0.110177 0.8318 0.204491 34 0.100706 0.7603 0.225101 35 0.093476 0.7057 0.241615 36 0.087925 0.6638 0.254741 37 0.060306 0.4553 0.325311 38 0.043427 0.3279 0.372106 39 0.033125 0.2501 0.40171 40 0.01841 0.139 0.444972 41 0.007217 0.0545 0.47837 42 -0.008826 -0.0666 0.473552 43 -0.036033 -0.272 0.393287 44 -0.050606 -0.3821 0.351916 45 -0.065964 -0.498 0.310194 46 -0.073153 -0.5523 0.291453 47 -0.085268 -0.6438 0.261156 48 -0.106296 -0.8025 0.212793 49 -0.093618 -0.7068 0.241285 50 -0.089503 -0.6757 0.250971 51 -0.092271 -0.6966 0.244432 52 -0.087291 -0.659 0.256265 53 -0.084657 -0.6391 0.262645 54 -0.068517 -0.5173 0.303477 55 -0.033741 -0.2547 0.399922 56 -0.013151 -0.0993 0.46063 57 NA NA NA 58 NA NA NA 59 NA NA NA 60 NA NA NA Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.893848 6.7484 0 2 -0.124654 -0.9411 0.175309 3 -0.267132 -2.0168 0.024218 4 -0.094695 -0.7149 0.238784 5 -0.095175 -0.7186 0.237676 6 -0.01513 -0.1142 0.454728 7 -0.231548 -1.7481 0.042912 8 -0.035028 -0.2645 0.396191 9 -0.116274 -0.8778 0.191855 10 -0.02774 -0.2094 0.417428 11 -0.064557 -0.4874 0.313924 12 -0.06216 -0.4693 0.320324 13 0.227694 1.7191 0.045516 14 -0.030481 -0.2301 0.40941 15 -0.059592 -0.4499 0.32724 16 -0.143241 -1.0814 0.142027 17 -0.010834 -0.0818 0.467548 18 -0.062357 -0.4708 0.319795 19 -0.04541 -0.3428 0.36649 20 -0.054822 -0.4139 0.340252 21 0.023424 0.1768 0.430129 22 0.021163 0.1598 0.43681 23 -0.080174 -0.6053 0.273692 24 0.051333 0.3876 0.349893 25 0.019425 0.1467 0.441962 26 -0.053995 -0.4077 0.342527 27 -0.062085 -0.4687 0.320525 28 0.033554 0.2533 0.400463 29 -0.014209 -0.1073 0.457472 30 -0.010144 -0.0766 0.469612 31 0.039521 0.2984 0.38325 32 -0.025852 -0.1952 0.422974 33 0.041429 0.3128 0.377793 34 -0.041895 -0.3163 0.376465 35 0.03422 0.2584 0.398531 36 0.032162 0.2428 0.404509 37 -0.131365 -0.9918 0.162746 38 0.019415 0.1466 0.441991 39 0.055205 0.4168 0.339198 40 0.015655 0.1182 0.453165 41 -0.024453 -0.1846 0.427093 42 -0.02366 -0.1786 0.429433 43 -0.023066 -0.1741 0.431184 44 0.05224 0.3944 0.347376 45 -0.024121 -0.1821 0.428072 46 -0.026717 -0.2017 0.420431 47 -0.026789 -0.2023 0.42022 48 -0.077754 -0.587 0.27975 49 0.147282 1.112 0.135413 50 -0.082425 -0.6223 0.268115 51 -0.04977 -0.3758 0.354247 52 0.022206 0.1677 0.433725 53 -0.011854 -0.0895 0.464502 54 0.087013 0.6569 0.256934 55 -0.00258 -0.0195 0.492262 56 -0.042651 -0.322 0.374313 57 NA NA NA 58 NA NA NA 59 NA NA NA 60 NA NA NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259324272cl1ujscrd28amek/1symv1259323930.png (open in new window) http://www.freestatistics.org/blog/date/2009/Nov/27/t1259324272cl1ujscrd28amek/1symv1259323930.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Nov/27/t1259324272cl1ujscrd28amek/20g4i1259323930.png (open in new window) http://www.freestatistics.org/blog/date/2009/Nov/27/t1259324272cl1ujscrd28amek/20g4i1259323930.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; 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')

Copyright

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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