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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 10:28:51 -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/t1259342982yo6amtn43pw46bi.htm/, Retrieved Fri, 27 Nov 2009 18:29:44 +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/t1259342982yo6amtn43pw46bi.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 «

252.5 251.1 255.1 258.3 255.3 261.1 253.8 252.9 253.9 255.5 262 262.8 263.3 262.5 269.2 270.8 274.1 273 267.3 267.1 268.2 270.2 271.5 281 280.1 281.5 285.9 289.8 292.9 291.2 291.8 289.8 292.5 290.3 297.5 307.5 304.7 304.6 310.7 310.7 315.7 314.7 312.2 312.8 314.3 319.7 319.9 329.5 326.9 329.7 335.7 337.2 339.7 338.3 339.2 342.5 342.2 338.3 339 345.9

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	-0.433259	-2.9703	0.002337
2	0.156261	1.0713	0.144759
3	-0.240954	-1.6519	0.052611
4	0.142866	0.9794	0.166188
5	0.104515	0.7165	0.238608
6	-0.193502	-1.3266	0.095528
7	0.248702	1.705	0.047397
8	-0.322436	-2.2105	0.015987
9	0.149911	1.0277	0.154667
10	-0.094728	-0.6494	0.259614
11	0.377232	2.5862	0.006432
12	-0.379667	-2.6029	0.006165
13	0.076837	0.5268	0.300417
14	-0.048731	-0.3341	0.369902
15	0.142038	0.9738	0.16758
16	-0.068152	-0.4672	0.321249
17	-0.066574	-0.4564	0.325099
18	0.103513	0.7096	0.240715
19	-0.115447	-0.7915	0.216324
20	0.209363	1.4353	0.078909
21	-0.070996	-0.4867	0.314357
22	0.15376	1.0541	0.148607
23	-0.327931	-2.2482	0.014647
24	0.188598	1.293	0.101171
25	-0.017279	-0.1185	0.453103
26	0.024192	0.1658	0.434494
27	-0.06435	-0.4412	0.33056
28	-0.089726	-0.6151	0.270718
29	0.09122	0.6254	0.267376
30	-0.094964	-0.651	0.259095
31	0.128772	0.8828	0.190914
32	-0.085287	-0.5847	0.280775
33	0.011582	0.0794	0.468525
34	-0.159472	-1.0933	0.13992
35	0.153297	1.0509	0.149328
36	-0.060541	-0.415	0.339999

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.433259	-2.9703	0.002337
2	-0.03872	-0.2655	0.39591
3	-0.231062	-1.5841	0.059941
4	-0.059312	-0.4066	0.343066
5	0.196432	1.3467	0.092273
6	-0.14436	-0.9897	0.163699
7	0.186179	1.2764	0.104047
8	-0.144466	-0.9904	0.163522
9	-0.166219	-1.1395	0.130126
10	0.006032	0.0414	0.483594
11	0.373564	2.561	0.006853
12	-0.253593	-1.7385	0.044331
13	-0.022098	-0.1515	0.440115
14	0.021324	0.1462	0.442198
15	0.005576	0.0382	0.484835
16	-0.11355	-0.7785	0.2201
17	0.09301	0.6376	0.2634
18	-0.103619	-0.7104	0.24049
19	0.142532	0.9772	0.166749
20	0.171831	1.178	0.12236
21	0.040599	0.2783	0.39099
22	0.051038	0.3499	0.363989
23	-0.010082	-0.0691	0.472595
24	-0.09934	-0.681	0.249594
25	0.03886	0.2664	0.395545
26	-0.074432	-0.5103	0.306122
27	-0.020546	-0.1409	0.444293
28	-0.039675	-0.272	0.393408
29	-0.098579	-0.6758	0.251233
30	-0.063028	-0.4321	0.333823
31	-0.019328	-0.1325	0.447575
32	-0.048968	-0.3357	0.369292
33	0.012794	0.0877	0.465238
34	-0.088222	-0.6048	0.274104
35	-0.077106	-0.5286	0.299782
36	-0.054246	-0.3719	0.355822

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259342982yo6amtn43pw46bi/1i6ax1259342929.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259342982yo6amtn43pw46bi/1i6ax1259342929.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259342982yo6amtn43pw46bi/2hn581259342929.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259342982yo6amtn43pw46bi/2hn581259342929.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; 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')

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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