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ws9

*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: Sun, 29 Nov 2009 05:25:47 -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/29/t1259497585v8thtcsjy6hwsrc.htm/, Retrieved Sun, 29 Nov 2009 13:26:28 +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/29/t1259497585v8thtcsjy6hwsrc.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 «

103.63 103.64 103.66 103.77 103.88 103.91 103.91 103.92 104.05 104.23 104.30 104.31 104.31 104.34 104.55 104.65 104.73 104.75 104.75 104.76 104.94 105.29 105.38 105.43 105.43 105.42 105.52 105.69 105.72 105.74 105.74 105.74 105.95 106.17 106.34 106.37 106.37 106.36 106.44 106.29 106.23 106.23 106.23 106.23 106.34 106.44 106.44 106.48 106.50 106.57 106.40 106.37 106.25 106.21 106.21 106.24 106.19 106.08 106.13 106.09

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	-0.005433	-0.0372	0.485223
2	0.040903	0.2804	0.390194
3	-0.047713	-0.3271	0.372521
4	0.071212	0.4882	0.313838
5	-0.071603	-0.4909	0.312895
6	0.237372	1.6273	0.055175
7	0.313963	2.1524	0.018265
8	-0.127806	-0.8762	0.19269
9	-0.020696	-0.1419	0.443888
10	-0.049089	-0.3365	0.368982
11	0.258167	1.7699	0.041615
12	-0.192962	-1.3229	0.096138
13	0.208797	1.4314	0.07946
14	0.008243	0.0565	0.477587
15	0.00124	0.0085	0.496626
16	-0.117205	-0.8035	0.21286
17	0.188716	1.2938	0.101034
18	-0.055018	-0.3772	0.353868
19	-0.154269	-1.0576	0.147819
20	0.081309	0.5574	0.289941
21	-0.017092	-0.1172	0.453609
22	-0.027865	-0.191	0.424661
23	-0.133056	-0.9122	0.183163
24	0.058657	0.4021	0.344704
25	-0.303383	-2.0799	0.021507
26	-0.065531	-0.4493	0.327655
27	-0.026695	-0.183	0.427788
28	0.063185	0.4332	0.333434
29	-0.09364	-0.642	0.262009
30	-0.029764	-0.2041	0.419598
31	0.008732	0.0599	0.476258
32	-0.115823	-0.794	0.215581
33	-0.008853	-0.0607	0.47593
34	0.025588	0.1754	0.43075
35	-0.018674	-0.128	0.449339
36	-0.204258	-1.4003	0.083992
37	0.039079	0.2679	0.39497
38	-0.034433	-0.2361	0.407207
39	-0.032601	-0.2235	0.412058
40	0.008781	0.0602	0.476127
41	0.026857	0.1841	0.427354
42	-0.071884	-0.4928	0.312221
43	-0.104251	-0.7147	0.239162
44	0.015849	0.1087	0.45697
45	-0.021304	-0.1461	0.442253
46	-0.005752	-0.0394	0.484356
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
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	-0.005433	-0.0372	0.485223
2	0.040875	0.2802	0.390268
3	-0.047358	-0.3247	0.373435
4	0.06941	0.4758	0.318193
5	-0.06809	-0.4668	0.321398
6	0.23302	1.5975	0.058428
7	0.342783	2.35	0.011512
8	-0.169214	-1.1601	0.125939
9	-0.026513	-0.1818	0.428275
10	-0.047259	-0.324	0.373691
11	0.289369	1.9838	0.026567
12	-0.23282	-1.5961	0.058581
13	0.006786	0.0465	0.481546
14	0.030234	0.2073	0.418346
15	0.0766	0.5251	0.300977
16	-0.067754	-0.4645	0.322219
17	0.044985	0.3084	0.379571
18	-0.138697	-0.9509	0.17327
19	-0.035555	-0.2438	0.404242
20	-0.004922	-0.0337	0.486611
21	0.005968	0.0409	0.483769
22	-0.104924	-0.7193	0.237752
23	-0.052113	-0.3573	0.361246
24	-0.117136	-0.803	0.212996
25	-0.163612	-1.1217	0.133851
26	-0.072214	-0.4951	0.311426
27	0.005531	0.0379	0.484957
28	-0.053342	-0.3657	0.358117
29	0.081401	0.5581	0.289728
30	-0.006117	-0.0419	0.483362
31	0.114054	0.7819	0.219093
32	0.056739	0.389	0.349524
33	0.026182	0.1795	0.429161
34	0.007469	0.0512	0.47969
35	-0.066098	-0.4531	0.326264
36	-0.062177	-0.4263	0.335931
37	-0.011944	-0.0819	0.467544
38	-0.019372	-0.1328	0.447456
39	0.002885	0.0198	0.492153
40	0.034745	0.2382	0.40638
41	2.9e-05	2e-04	0.49992
42	0.032333	0.2217	0.412769
43	-0.070682	-0.4846	0.315116
44	-0.08748	-0.5997	0.275782
45	-0.046109	-0.3161	0.376661
46	-0.00904	-0.062	0.475423
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
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/29/t1259497585v8thtcsjy6hwsrc/1basm1259497545.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/29/t1259497585v8thtcsjy6hwsrc/1basm1259497545.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/29/t1259497585v8thtcsjy6hwsrc/2hflu1259497545.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/29/t1259497585v8thtcsjy6hwsrc/2hflu1259497545.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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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