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W8 V3

*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: Sat, 28 Nov 2009 04:55:17 -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/28/t1259409366k7zewmq6nd35rb2.htm/, Retrieved Sat, 28 Nov 2009 12:56:08 +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/28/t1259409366k7zewmq6nd35rb2.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 «

8 8,1 7,7 7,5 7,6 7,8 7,8 7,8 7,5 7,5 7,1 7,5 7,5 7,6 7,7 7,7 7,9 8,1 8,2 8,2 8,2 7,9 7,3 6,9 6,6 6,7 6,9 7 7,1 7,2 7,1 6,9 7 6,8 6,4 6,7 6,6 6,4 6,3 6,2 6,5 6,8 6,8 6,4 6,1 5,8 6,1 7,2 7,3 6,9 6,1 5,8 6,2 7,1 7,7 7,9 7,7 7,4 7,5 8 8,1

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	0.50117	3.4722	0.000551
2	-0.033256	-0.2304	0.409379
3	-0.47765	-3.3093	0.00089
4	-0.457987	-3.173	0.001316
5	-0.127514	-0.8834	0.1907
6	0.218104	1.5111	0.068663
7	0.269996	1.8706	0.033753
8	0.116109	0.8044	0.212559
9	-0.120274	-0.8333	0.204406
10	-0.187277	-1.2975	0.100332
11	-0.090936	-0.63	0.265834
12	-0.056567	-0.3919	0.348431
13	0.044347	0.3072	0.379993
14	0.06957	0.482	0.315999
15	-0.000505	-0.0035	0.498611
16	-0.120993	-0.8383	0.203019
17	-0.165643	-1.1476	0.128409
18	-0.050023	-0.3466	0.365215
19	0.1039	0.7198	0.237557
20	0.280797	1.9454	0.028797
21	0.262779	1.8206	0.037454
22	0.048419	0.3355	0.36937
23	-0.25535	-1.7691	0.041614
24	-0.343753	-2.3816	0.010625
25	-0.174027	-1.2057	0.116923
26	0.043734	0.303	0.381601
27	0.166524	1.1537	0.127165
28	0.122166	0.8464	0.200767
29	0.005813	0.0403	0.484021
30	-0.152831	-1.0588	0.147486
31	-0.121498	-0.8418	0.202048
32	-0.074837	-0.5185	0.303251
33	0.018907	0.131	0.448166
34	0.005023	0.0348	0.486193
35	0.053074	0.3677	0.357355
36	0.04336	0.3004	0.382582

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.50117	3.4722	0.000551
2	-0.379829	-2.6315	0.005698
3	-0.412447	-2.8575	0.003148
4	0.00198	0.0137	0.494557
5	0.109026	0.7554	0.226864
6	0.02793	0.1935	0.423689
7	-0.131202	-0.909	0.183948
8	-0.018651	-0.1292	0.448861
9	-0.022832	-0.1582	0.437488
10	0.027719	0.192	0.42426
11	0.011917	0.0826	0.467271
12	-0.245666	-1.702	0.04761
13	0.076894	0.5327	0.298337
14	0.080845	0.5601	0.289004
15	-0.171024	-1.1849	0.120948
16	-0.225047	-1.5592	0.062763
17	-0.029583	-0.205	0.419235
18	0.188468	1.3057	0.098931
19	-0.022644	-0.1569	0.437999
20	0.102942	0.7132	0.239587
21	0.033891	0.2348	0.407681
22	-0.047374	-0.3282	0.372088
23	-0.086701	-0.6007	0.275439
24	-0.059996	-0.4157	0.339753
25	0.026082	0.1807	0.428682
26	-0.160162	-1.1096	0.136342
27	-0.096885	-0.6712	0.252643
28	-0.050661	-0.351	0.363565
29	0.030546	0.2116	0.416647
30	-0.120987	-0.8382	0.20303
31	-0.053301	-0.3693	0.35677
32	-0.092019	-0.6375	0.263405
33	-0.000779	-0.0054	0.497859
34	-0.083685	-0.5798	0.282385
35	0.001234	0.0085	0.496608
36	-0.053216	-0.3687	0.356989

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259409366k7zewmq6nd35rb2/1c2k31259409315.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259409366k7zewmq6nd35rb2/1c2k31259409315.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259409366k7zewmq6nd35rb2/29woy1259409315.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259409366k7zewmq6nd35rb2/29woy1259409315.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; 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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