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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 07:23:53 -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/t125933195642qfgftiryysvoo.htm/, Retrieved Fri, 27 Nov 2009 15:25:58 +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/t125933195642qfgftiryysvoo.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 «

3703 3478 3481 4040 4462 4738 3954 4221 4687 4824 3900 3826 3576 3070 3503 3592 4249 4824 4309 4006 4657 4945 4338 4112 3743 3520 4091 4393 4426 4575 3928 4139 4452 4508 4034 4005 3702 3871 3694 4038 4776 4562 4003 3816 4381 4488 3914 3582

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	0.511898	3.5465	0.000442
2	-0.034153	-0.2366	0.40698
3	-0.187524	-1.2992	0.10004
4	-0.165277	-1.1451	0.128929
5	-0.211433	-1.4648	0.074741
6	-0.289715	-2.0072	0.025188
7	-0.359206	-2.4887	0.008172
8	-0.248261	-1.72	0.045937
9	-0.095888	-0.6643	0.254828
10	0.027702	0.1919	0.424305
11	0.350223	2.4264	0.009527
12	0.571657	3.9606	0.000123
13	0.347567	2.408	0.009965
14	-0.028899	-0.2002	0.421078
15	-0.186111	-1.2894	0.101716
16	-0.189195	-1.3108	0.098085
17	-0.123253	-0.8539	0.198696
18	-0.106936	-0.7409	0.23119
19	-0.131443	-0.9107	0.183512
20	-0.151288	-1.0482	0.149909
21	-0.094038	-0.6515	0.258911
22	0.079885	0.5535	0.29126
23	0.306374	2.1226	0.019485
24	0.341483	2.3659	0.011037
25	0.058902	0.4081	0.342513
26	-0.16883	-1.1697	0.123951
27	-0.170778	-1.1832	0.121282
28	-0.058385	-0.4045	0.343821
29	-0.105494	-0.7309	0.234202
30	-0.134334	-0.9307	0.178334
31	-0.082061	-0.5685	0.286161
32	0.009712	0.0673	0.473316
33	0.022746	0.1576	0.43772
34	0.037367	0.2589	0.398415
35	0.118742	0.8227	0.207381
36	0.189008	1.3095	0.098302

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.511898	3.5465	0.000442
2	-0.401367	-2.7808	0.003863
3	0.068546	0.4749	0.318506
4	-0.123459	-0.8554	0.198303
5	-0.186496	-1.2921	0.101257
6	-0.180251	-1.2488	0.108895
7	-0.294745	-2.0421	0.023331
8	-0.075217	-0.5211	0.302341
9	-0.229616	-1.5908	0.059107
10	-0.106697	-0.7392	0.231687
11	0.363298	2.517	0.007615
12	0.146064	1.012	0.158315
13	-0.079424	-0.5503	0.292344
14	-0.103968	-0.7203	0.237414
15	-0.094333	-0.6536	0.258258
16	-0.128676	-0.8915	0.188556
17	0.044942	0.3114	0.378435
18	0.155327	1.0761	0.143623
19	0.163404	1.1321	0.131609
20	-0.094024	-0.6514	0.258942
21	-0.045619	-0.3161	0.376664
22	0.050649	0.3509	0.363597
23	-0.025754	-0.1784	0.429568
24	-0.042202	-0.2924	0.385626
25	-0.152911	-1.0594	0.147361
26	0.057277	0.3968	0.346627
27	0.010174	0.0705	0.472048
28	0.075624	0.5239	0.301367
29	-0.197851	-1.3708	0.088414
30	-0.054933	-0.3806	0.352594
31	-0.082833	-0.5739	0.284362
32	0.006557	0.0454	0.481976
33	-0.034322	-0.2378	0.406529
34	-0.115333	-0.799	0.214099
35	-0.123263	-0.854	0.198677
36	-0.025024	-0.1734	0.431543

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t125933195642qfgftiryysvoo/1rk271259331831.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t125933195642qfgftiryysvoo/1rk271259331831.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t125933195642qfgftiryysvoo/2w5co1259331831.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t125933195642qfgftiryysvoo/2w5co1259331831.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; 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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