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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 07:34:22 -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/t1259332489u359nr6kp1syha8.htm/, Retrieved Fri, 27 Nov 2009 15:34:51 +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/t1259332489u359nr6kp1syha8.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	-0.261624	-1.5478	0.065335
2	-0.206933	-1.2242	0.114521
3	-0.157785	-0.9335	0.178487
4	0.222564	1.3167	0.098247
5	0.155949	0.9226	0.181265
6	-0.003686	-0.0218	0.491363
7	-0.367561	-2.1745	0.018256
8	-0.082575	-0.4885	0.314114
9	0.329874	1.9516	0.029515
10	0.070829	0.419	0.338878
11	-0.106511	-0.6301	0.266351
12	-0.357536	-2.1152	0.020801
13	0.192619	1.1396	0.131106
14	0.090865	0.5376	0.297139
15	0.135582	0.8021	0.213949
16	-0.28097	-1.6622	0.052698
17	0.096689	0.572	0.285482
18	-0.008684	-0.0514	0.47966
19	0.196192	1.1607	0.126812
20	0.003528	0.0209	0.491733
21	-0.192383	-1.1382	0.131394
22	-0.004516	-0.0267	0.48942
23	0.147225	0.871	0.194846
24	-0.017983	-0.1064	0.457941
25	-0.125058	-0.7399	0.232162
26	0.082623	0.4888	0.314015
27	-0.096603	-0.5715	0.285653
28	0.131082	0.7755	0.221628
29	-0.100105	-0.5922	0.278753
30	0.019424	0.1149	0.454585
31	-0.018041	-0.1067	0.457807
32	0.019309	0.1142	0.454854
33	-0.025274	-0.1495	0.440999
34	0.019472	0.1152	0.454473
35	NA	NA	NA
36	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.261624	-1.5478	0.065335
2	-0.295614	-1.7489	0.04454
3	-0.359076	-2.1243	0.020391
4	-0.03777	-0.2234	0.412243
5	0.13798	0.8163	0.209925
6	0.197652	1.1693	0.125087
7	-0.197856	-1.1705	0.124848
8	-0.339946	-2.0111	0.026031
9	-0.025427	-0.1504	0.440646
10	0.00913	0.054	0.478616
11	0.116247	0.6877	0.248079
12	-0.22517	-1.3321	0.095714
13	-0.071273	-0.4217	0.337928
14	-0.234458	-1.3871	0.087095
15	-0.082683	-0.4892	0.313891
16	-0.087136	-0.5155	0.30472
17	0.271265	1.6048	0.05876
18	0.081989	0.4851	0.31533
19	-0.048658	-0.2879	0.387573
20	0.001602	0.0095	0.496246
21	-0.086462	-0.5115	0.3061
22	0.016597	0.0982	0.461171
23	0.137589	0.814	0.210577
24	-0.021439	-0.1268	0.449899
25	-0.121503	-0.7188	0.238511
26	-0.042092	-0.249	0.402401
27	-0.020064	-0.1187	0.453095
28	0.064142	0.3795	0.353317
29	0.02944	0.1742	0.431369
30	0.00702	0.0415	0.483554
31	0.045943	0.2718	0.393685
32	-0.138865	-0.8215	0.208452
33	-0.053763	-0.3181	0.376162
34	0.013595	0.0804	0.468176
35	NA	NA	NA
36	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259332489u359nr6kp1syha8/1zz6k1259332461.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259332489u359nr6kp1syha8/1zz6k1259332461.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259332489u359nr6kp1syha8/2zn3k1259332461.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259332489u359nr6kp1syha8/2zn3k1259332461.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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