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WS 8.2

*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 12:42:13 -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/t1259351010bz9sygobc3mz4vx.htm/, Retrieved Fri, 27 Nov 2009 20:43:32 +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/t1259351010bz9sygobc3mz4vx.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 «

100.00 94.97 107.50 124.27 107.06 79.71 163.41 144.83 166.82 154.26 132.60 157.51 104.02 106.03 113.23 117.64 113.34 66.62 185.99 174.57 208.19 163.81 162.46 148.16 113.41 105.63 111.79 132.36 110.75 67.37 178.29 156.38 189.71 152.80 150.80 160.40 127.25 108.47 117.09 147.25 116.19 75.83 181.94 179.12 183.15 197.90 155.42 162.54 125.90 105.50 121.11 137.51 97.20 69.74 152.58 146.59 161.16 152.84 121.95 140.12

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	0.513864	3.5602	0.000424
2	0.564631	3.9119	0.000144
3	0.306455	2.1232	0.019461
4	0.214727	1.4877	0.071689
5	0.120754	0.8366	0.203479
6	0.124994	0.866	0.195403
7	0.032542	0.2255	0.411291
8	0.018202	0.1261	0.450087
9	-0.113214	-0.7844	0.218338
10	-0.170398	-1.1806	0.121799
11	-0.241615	-1.674	0.050322
12	-0.373026	-2.5844	0.006426
13	-0.290842	-2.015	0.024761
14	-0.228984	-1.5864	0.059602
15	-0.11154	-0.7728	0.221723
16	-0.062324	-0.4318	0.333913
17	-0.017261	-0.1196	0.452655
18	-0.024176	-0.1675	0.433841
19	-0.023279	-0.1613	0.436273
20	-0.001146	-0.0079	0.496848
21	0.121098	0.839	0.202816
22	0.027276	0.189	0.425456
23	0.253674	1.7575	0.042604
24	0.170602	1.182	0.121521
25	0.268147	1.8578	0.03467
26	0.200028	1.3858	0.086101
27	0.152287	1.0551	0.148336
28	-0.017387	-0.1205	0.45231
29	0.014122	0.0978	0.461233
30	-0.091645	-0.6349	0.264243
31	-0.052339	-0.3626	0.359242
32	-0.099314	-0.6881	0.247362
33	-0.144055	-0.998	0.161631
34	-0.156176	-1.082	0.142325
35	-0.232259	-1.6091	0.057073
36	-0.237222	-1.6435	0.053405

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.513864	3.5602	0.000424
2	0.408422	2.8296	0.003392
3	-0.122411	-0.8481	0.200299
4	-0.136541	-0.946	0.174447
5	0.008619	0.0597	0.476315
6	0.124145	0.8601	0.197004
7	-0.07045	-0.4881	0.313852
8	-0.0899	-0.6228	0.268167
9	-0.155709	-1.0788	0.143038
10	-0.106914	-0.7407	0.231235
11	-0.047831	-0.3314	0.370898
12	-0.238339	-1.6513	0.052607
13	0.040735	0.2822	0.389493
14	0.218179	1.5116	0.068597
15	0.14782	1.0241	0.155455
16	-0.066587	-0.4613	0.323324
17	-0.069567	-0.482	0.316007
18	0.038432	0.2663	0.395589
19	0.003911	0.0271	0.489248
20	-0.011492	-0.0796	0.468435
21	0.128822	0.8925	0.188288
22	-0.19297	-1.3369	0.093772
23	0.207406	1.437	0.078609
24	0.033061	0.2291	0.409901
25	0.005909	0.0409	0.483756
26	0.031582	0.2188	0.413865
27	-0.022292	-0.1544	0.438955
28	-0.232758	-1.6126	0.056694
29	-0.008303	-0.0575	0.477182
30	0.04325	0.2996	0.382871
31	-0.098711	-0.6839	0.248667
32	-0.041571	-0.288	0.387288
33	0.01837	0.1273	0.44963
34	-0.040358	-0.2796	0.390489
35	-0.008918	-0.0618	0.475495
36	0.009458	0.0655	0.474013

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259351010bz9sygobc3mz4vx/1w2cn1259350931.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259351010bz9sygobc3mz4vx/1w2cn1259350931.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259351010bz9sygobc3mz4vx/2y7f51259350931.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259351010bz9sygobc3mz4vx/2y7f51259350931.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')

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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