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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: Mon, 30 Nov 2009 10:06:06 -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/30/t1259600823i8cfaa39dlynwde.htm/, Retrieved Mon, 30 Nov 2009 18:07:05 +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/30/t1259600823i8cfaa39dlynwde.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 «

10570 10297 10635 10872 10296 10383 10431 10574 10653 10805 10872 10625 10407 10463 10556 10646 10702 11353 11346 11451 11964 12574 13031 13812 14544 14931 14886 16005 17064 15168 16050 15839 15137 14954 15648 15305 15579 16348 15928 16171 15937 15713 15594 15683 16438 17032 17696 17745 19394 20148 20108 18584 18441 18391 19178 18079 18483 19644 19195 19650

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	-0.119282	-0.8178	0.208812
2	-0.038226	-0.2621	0.39721
3	0.243631	1.6703	0.050758
4	0.217056	1.4881	0.071707
5	-0.151916	-1.0415	0.15149
6	-0.048082	-0.3296	0.37157
7	0.174433	1.1958	0.118877
8	-0.277869	-1.905	0.031456
9	-0.076746	-0.5261	0.30063
10	-0.122964	-0.843	0.20175
11	0.075836	0.5199	0.302786
12	-0.381831	-2.6177	0.005936
13	0.033812	0.2318	0.408849
14	-0.100647	-0.69	0.246794
15	-0.210026	-1.4399	0.078266
16	-0.003537	-0.0242	0.490379
17	-0.015923	-0.1092	0.456769
18	0.063178	0.4331	0.333453
19	-0.091408	-0.6267	0.266957
20	0.174055	1.1933	0.119378
21	0.008514	0.0584	0.476852
22	0.1312	0.8995	0.186495
23	0.043207	0.2962	0.384186
24	0.038093	0.2611	0.397559
25	0.004274	0.0293	0.488373
26	0.119075	0.8163	0.209213
27	0.017181	0.1178	0.45337
28	-0.096175	-0.6593	0.256447
29	0.089177	0.6114	0.271952
30	-0.055867	-0.383	0.351721
31	-0.023532	-0.1613	0.436263
32	0.015535	0.1065	0.457818
33	-0.0111	-0.0761	0.469832
34	-0.050243	-0.3445	0.366022
35	-0.058497	-0.401	0.345105
36	0.010232	0.0701	0.472187
37	0.032272	0.2212	0.412929
38	-0.028138	-0.1929	0.423931
39	-0.026464	-0.1814	0.428406
40	0.004186	0.0287	0.488613
41	0.009834	0.0674	0.473267
42	-0.023478	-0.161	0.436408
43	0.004818	0.033	0.486894
44	0.011734	0.0804	0.468113
45	-0.012303	-0.0843	0.466571
46	0.002922	0.02	0.492051
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	-0.119282	-0.8178	0.208812
2	-0.053211	-0.3648	0.35845
3	0.236507	1.6214	0.05581
4	0.293007	2.0088	0.025163
5	-0.074302	-0.5094	0.30643
6	-0.16214	-1.1116	0.135987
7	0.017575	0.1205	0.452305
8	-0.289952	-1.9878	0.026338
9	-0.071888	-0.4928	0.31221
10	-0.200046	-1.3714	0.088374
11	0.132542	0.9087	0.184082
12	-0.232025	-1.5907	0.059192
13	0.064384	0.4414	0.330475
14	-0.205741	-1.4105	0.08249
15	-0.156765	-1.0747	0.143991
16	-0.036286	-0.2488	0.402315
17	-0.019364	-0.1327	0.447479
18	0.09559	0.6553	0.257724
19	0.086127	0.5905	0.278856
20	-0.015581	-0.1068	0.457695
21	0.005049	0.0346	0.486268
22	-0.053003	-0.3634	0.35898
23	0.003264	0.0224	0.491121
24	-0.196944	-1.3502	0.091712
25	-0.093361	-0.6401	0.262623
26	0.085838	0.5885	0.279515
27	-0.048855	-0.3349	0.369584
28	0.018878	0.1294	0.448788
29	-0.079788	-0.547	0.293484
30	-0.066137	-0.4534	0.32617
31	-0.018778	-0.1287	0.449057
32	0.118795	0.8144	0.209756
33	-0.003989	-0.0273	0.48915
34	0.097067	0.6655	0.254505
35	-0.064939	-0.4452	0.32911
36	-0.037971	-0.2603	0.397879
37	0.011345	0.0778	0.469167
38	0.033253	0.228	0.410329
39	-0.088635	-0.6077	0.273171
40	-0.057818	-0.3964	0.346809
41	-0.001679	-0.0115	0.495432
42	-0.043227	-0.2963	0.384136
43	-0.055672	-0.3817	0.352213
44	0.01871	0.1283	0.449242
45	-0.04508	-0.309	0.379325
46	0.11888	0.815	0.209591
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/30/t1259600823i8cfaa39dlynwde/16kdd1259600765.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/30/t1259600823i8cfaa39dlynwde/16kdd1259600765.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/30/t1259600823i8cfaa39dlynwde/24xq81259600765.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/30/t1259600823i8cfaa39dlynwde/24xq81259600765.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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