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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, 24 Nov 2009 09:15:49 -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/24/t1259079443nzgwwqjvnnrm517.htm/, Retrieved Tue, 24 Nov 2009 17:17:25 +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/24/t1259079443nzgwwqjvnnrm517.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:

ws8ma1.2

Dataseries X:

» Textbox « » Textfile « » CSV «

2756.76 2849.27 2921.44 2981.85 3080.58 3106.22 3119.31 3061.26 3097.31 3161.69 3257.16 3277.01 3295.32 3363.99 3494.17 3667.03 3813.06 3917.96 3895.51 3801.06 3570.12 3701.61 3862.27 3970.1 4138.52 4199.75 4290.89 4443.91 4502.64 4356.98 4591.27 4696.96 4621.4 4562.84 4202.52 4296.49 4435.23 4105.18 4116.68 3844.49 3720.98 3674.4 3857.62 3801.06 3504.37 3032.6 3047.03 2962.34 2197.82 2014.45 1862.83 1905.41 1810.99 1670.07 1864.44 2052.02 2029.6 2070.83 2293.41 2443.27

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.289365	2.2227	0.015042
2	0.077304	0.5938	0.277464
3	0.227804	1.7498	0.042676
4	0.236064	1.8132	0.037441
5	0.2468	1.8957	0.03145
6	-0.030815	-0.2367	0.406858
7	-0.030108	-0.2313	0.408954
8	0.15251	1.1714	0.123064
9	0.031375	0.241	0.405198
10	-0.149441	-1.1479	0.127826
11	0.132507	1.0178	0.156463
12	0.024529	0.1884	0.4256
13	-0.039008	-0.2996	0.382759
14	0.066462	0.5105	0.305803
15	-0.026186	-0.2011	0.420642
16	0.04838	0.3716	0.355755
17	-0.134068	-1.0298	0.153654
18	-0.196045	-1.5058	0.068721
19	0.016885	0.1297	0.448623
20	-0.078289	-0.6013	0.274956
21	-0.151189	-1.1613	0.125098
22	-0.173273	-1.3309	0.094165
23	-0.137716	-1.0578	0.147226
24	-0.123509	-0.9487	0.173325
25	-0.059353	-0.4559	0.325069
26	-0.095164	-0.731	0.233846
27	-0.036772	-0.2825	0.389292
28	0.056166	0.4314	0.333868
29	-0.025977	-0.1995	0.421267
30	-0.044455	-0.3415	0.366984
31	-0.075777	-0.5821	0.281374
32	-0.042673	-0.3278	0.37212
33	-0.059676	-0.4584	0.324181
34	-0.078998	-0.6068	0.273158
35	-0.119823	-0.9204	0.180562
36	-0.064781	-0.4976	0.310311

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.289365	2.2227	0.015042
2	-0.007015	-0.0539	0.478604
3	0.226264	1.738	0.043717
4	0.125947	0.9674	0.168642
5	0.172766	1.327	0.094804
6	-0.204566	-1.5713	0.06073
7	-0.03841	-0.295	0.384502
8	0.072987	0.5606	0.288587
9	-0.053387	-0.4101	0.341618
10	-0.16041	-1.2321	0.111394
11	0.296191	2.2751	0.013275
12	-0.141161	-1.0843	0.141325
13	-0.007511	-0.0577	0.477093
14	0.12347	0.9484	0.1734
15	-0.045248	-0.3476	0.364706
16	-0.09452	-0.726	0.235348
17	-0.131346	-1.0089	0.158574
18	-0.080911	-0.6215	0.268336
19	0.000277	0.0021	0.499155
20	-0.063882	-0.4907	0.312735
21	0.089593	0.6882	0.24702
22	-0.171315	-1.3159	0.096649
23	-0.011518	-0.0885	0.464902
24	-0.077689	-0.5967	0.276482
25	0.074242	0.5703	0.285331
26	-4.2e-05	-3e-04	0.499872
27	0.038669	0.297	0.383746
28	0.112569	0.8647	0.195363
29	0.021904	0.1682	0.433483
30	-0.184844	-1.4198	0.080462
31	0.019949	0.1532	0.439369
32	-0.074494	-0.5722	0.28468
33	-0.092949	-0.714	0.239036
34	-0.00566	-0.0435	0.482736
35	-0.014589	-0.1121	0.455579
36	0.000546	0.0042	0.498333

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259079443nzgwwqjvnnrm517/1djyh1259079346.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259079443nzgwwqjvnnrm517/1djyh1259079346.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259079443nzgwwqjvnnrm517/2xzr01259079346.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259079443nzgwwqjvnnrm517/2xzr01259079346.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; 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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