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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: Tue, 14 Dec 2010 12:37:34 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/14/t1292330132ihp3e2eh7dxm4bk.htm/, Retrieved Tue, 14 Dec 2010 13:35:32 +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/2010/Dec/14/t1292330132ihp3e2eh7dxm4bk.htm/},
    year = {2010},
}
@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 = {2010},
    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 «

19876 45335 48674 156392 100837 101605 532850 294189 80763 105995 25045 90474 48481 50730 68694 207716 99132 104012 422632 364974 82687 66834 28408 97073 40284 24421 116346 72120 108751 91738 402216 390070 106045 110070 70668 167841 28607 95371 30605 131063 81214 85451 455196 454570 63114 74287 42350 113375

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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.231351	-1.3881	0.086818
2	0.182943	1.0977	0.139821
3	0.000594	0.0036	0.498588
4	-0.037048	-0.2223	0.412674
5	-0.155807	-0.9348	0.178048
6	0.018386	0.1103	0.456385
7	0.025616	0.1537	0.439354
8	-0.208645	-1.2519	0.109345
9	0.277505	1.665	0.052294
10	-0.258095	-1.5486	0.065116
11	0.182621	1.0957	0.140237
12	-0.289607	-1.7376	0.045412
13	-0.053347	-0.3201	0.375378
14	-0.071834	-0.431	0.334519
15	-0.162476	-0.9749	0.168068
16	-0.09194	-0.5516	0.292302
17	0.056752	0.3405	0.367726
18	0.08305	0.4983	0.310651
19	-0.076557	-0.4593	0.324374
20	0.320428	1.9226	0.031237
21	-0.12228	-0.7337	0.233948
22	0.078238	0.4694	0.320797
23	0.060459	0.3628	0.359455
24	0.011918	0.0715	0.471694
25	-0.091549	-0.5493	0.293098
26	0.017228	0.1034	0.459123
27	0.066937	0.4016	0.345168
28	0.033317	0.1999	0.421341
29	0.062088	0.3725	0.355843
30	-0.011675	-0.07	0.472272
31	-0.005432	-0.0326	0.487091
32	-0.055112	-0.3307	0.371404
33	-0.02543	-0.1526	0.439791
34	-0.012069	-0.0724	0.471336
35	-0.017827	-0.107	0.457707
36	NA	NA	NA
37	NA	NA	NA
38	NA	NA	NA
39	NA	NA	NA
40	NA	NA	NA
41	NA	NA	NA
42	NA	NA	NA
43	NA	NA	NA
44	NA	NA	NA
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.231351	-1.3881	0.086818
2	0.136738	0.8204	0.208685
3	0.074038	0.4442	0.329768
4	-0.05144	-0.3086	0.379687
5	-0.202993	-1.218	0.115582
6	-0.044064	-0.2644	0.396495
7	0.100251	0.6015	0.275635
8	-0.190059	-1.1404	0.130834
9	0.177513	1.0651	0.146966
10	-0.165834	-0.995	0.163187
11	0.074918	0.4495	0.32788
12	-0.273649	-1.6419	0.054661
13	-0.235891	-1.4153	0.08278
14	0.005491	0.0329	0.48695
15	-0.236505	-1.419	0.082246
16	-0.233919	-1.4035	0.084515
17	-0.010958	-0.0658	0.47397
18	-0.057461	-0.3448	0.366139
19	-0.015634	-0.0938	0.462892
20	0.022493	0.135	0.446698
21	-0.020744	-0.1245	0.450821
22	-0.026065	-0.1564	0.4383
23	0.004334	0.026	0.489698
24	0.004555	0.0273	0.489174
25	-0.15975	-0.9585	0.172101
26	-0.184104	-1.1046	0.138326
27	-0.047726	-0.2864	0.388123
28	0.0098	0.0588	0.476719
29	-0.138982	-0.8339	0.204921
30	-0.059132	-0.3548	0.362408
31	-0.17563	-1.0538	0.149503
32	-0.006886	-0.0413	0.483637
33	-0.021864	-0.1312	0.448181
34	-0.046343	-0.2781	0.391278
35	0.097849	0.5871	0.280402
36	NA	NA	NA
37	NA	NA	NA
38	NA	NA	NA
39	NA	NA	NA
40	NA	NA	NA
41	NA	NA	NA
42	NA	NA	NA
43	NA	NA	NA
44	NA	NA	NA
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292330132ihp3e2eh7dxm4bk/1pc8f1292330250.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292330132ihp3e2eh7dxm4bk/1pc8f1292330250.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292330132ihp3e2eh7dxm4bk/2pc8f1292330250.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292330132ihp3e2eh7dxm4bk/2pc8f1292330250.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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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