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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: Sun, 12 Dec 2010 00:19:41 +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/12/t1292113095lzwjjlv5bgc43c8.htm/, Retrieved Sun, 12 Dec 2010 01:18:15 +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/12/t1292113095lzwjjlv5bgc43c8.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 «

100918 105017 108666 116083 117359 102191 102617 106640 108783 112534 113149 117125 107597 108745 111311 115669 114585 101628 97493 99180 100247 97657 95378 89406 82880 82662 83469 86371 86822 73899 71415 76335 76844 78192 80651 81485 78872 81632 84822 92175 92844 77443 77550 80367 83117 86622 90999 90276 91982 96279 106810 109483 110159 98305 99450 101536 99925 102850 101993 108928 107605

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	0.139871	1.0834	0.141475
2	-0.234265	-1.8146	0.037292
3	-0.232365	-1.7999	0.038453
4	-0.071846	-0.5565	0.289963
5	0.189838	1.4705	0.073328
6	0.140494	1.0883	0.140416
7	0.18469	1.4306	0.078866
8	-0.072548	-0.562	0.28812
9	-0.211099	-1.6352	0.053626
10	-0.249645	-1.9337	0.028933
11	0.136003	1.0535	0.148174
12	0.578036	4.4774	1.7e-05
13	0.063911	0.495	0.311187
14	-0.28323	-2.1939	0.016064
15	-0.175129	-1.3565	0.090004
16	-0.114464	-0.8866	0.189407
17	0.121918	0.9444	0.174384
18	0.061495	0.4763	0.317782
19	0.063654	0.4931	0.311884
20	-0.073938	-0.5727	0.284487
21	-0.241249	-1.8687	0.033274
22	-0.230041	-1.7819	0.039914
23	0.030715	0.2379	0.406379
24	0.404761	3.1353	0.001329
25	-0.004281	-0.0332	0.486827
26	-0.233219	-1.8065	0.037927
27	-0.172294	-1.3346	0.093528
28	-0.077118	-0.5974	0.276259
29	0.077779	0.6025	0.274565
30	0.012521	0.097	0.461529
31	0.059227	0.4588	0.324028
32	-0.062482	-0.484	0.31508
33	-0.15851	-1.2278	0.112156
34	-0.137279	-1.0634	0.14594
35	0.068785	0.5328	0.298069
36	0.283718	2.1977	0.015922
37	0.017643	0.1367	0.445877
38	-0.156906	-1.2154	0.11449
39	-0.034053	-0.2638	0.396428
40	-0.051601	-0.3997	0.345398
41	0.068234	0.5285	0.299537
42	-0.010684	-0.0828	0.46716
43	0.040308	0.3122	0.377976
44	-0.007498	-0.0581	0.476938
45	-0.100029	-0.7748	0.220744
46	-0.005058	-0.0392	0.484438
47	0.011863	0.0919	0.463547
48	0.183319	1.42	0.080394

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.139871	1.0834	0.141475
2	-0.258894	-2.0054	0.024719
3	-0.169345	-1.3117	0.097302
4	-0.080019	-0.6198	0.26886
5	0.130128	1.008	0.158759
6	0.034244	0.2653	0.395861
7	0.23661	1.8328	0.0359
8	-0.041474	-0.3213	0.374565
9	-0.069541	-0.5387	0.296057
10	-0.240442	-1.8625	0.033718
11	0.144483	1.1192	0.133766
12	0.438393	3.3958	0.00061
13	-0.080773	-0.6257	0.266955
14	-0.16359	-1.2672	0.104997
15	0.104185	0.807	0.211422
16	-0.157023	-1.2163	0.114317
17	-0.009283	-0.0719	0.471459
18	-0.135359	-1.0485	0.14931
19	-0.077132	-0.5975	0.276223
20	-0.054253	-0.4202	0.337904
21	-0.053337	-0.4131	0.340485
22	-0.108946	-0.8439	0.201041
23	-0.098877	-0.7659	0.223369
24	0.049841	0.3861	0.350406
25	-0.050288	-0.3895	0.349131
26	-0.027751	-0.215	0.415264
27	-0.042565	-0.3297	0.371384
28	0.013032	0.1009	0.459966
29	-0.034031	-0.2636	0.396496
30	-0.076143	-0.5898	0.27877
31	0.023	0.1782	0.4296
32	-0.071796	-0.5561	0.290097
33	0.02688	0.2082	0.417885
34	0.057596	0.4461	0.328553
35	0.005092	0.0394	0.484334
36	-0.032326	-0.2504	0.40157
37	0.030815	0.2387	0.406079
38	0.00664	0.0514	0.479576
39	0.096433	0.747	0.229
40	-0.103145	-0.799	0.213734
41	-0.002878	-0.0223	0.491145
42	-0.09182	-0.7112	0.239847
43	-0.035013	-0.2712	0.393581
44	-0.061968	-0.48	0.316485
45	-0.020619	-0.1597	0.436821
46	0.027458	0.2127	0.416145
47	-0.073404	-0.5686	0.28588
48	-0.056156	-0.435	0.332569

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/12/t1292113095lzwjjlv5bgc43c8/1lss41292113178.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/12/t1292113095lzwjjlv5bgc43c8/1lss41292113178.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/12/t1292113095lzwjjlv5bgc43c8/2lss41292113178.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/12/t1292113095lzwjjlv5bgc43c8/2lss41292113178.ps (open in new window)

Parameters (Session):

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; 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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