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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: Fri, 24 Dec 2010 13:19:31 +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/24/t12931966562rwj3d6rpo1tqdf.htm/, Retrieved Fri, 24 Dec 2010 14:17:38 +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/24/t12931966562rwj3d6rpo1tqdf.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 «

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 2513,17 2466,92 2502,66 2539,91 2482,6 2626,15 2656,32 2446,66 2467,38 2462,32 2504,58 2579,39 2649,24 2636,87

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	0.249163	1.9139	0.030247
2	0.035588	0.2734	0.392767
3	0.205875	1.5814	0.059572
4	0.198141	1.522	0.066682
5	0.230785	1.7727	0.040721
6	-0.016365	-0.1257	0.450196
7	-0.046188	-0.3548	0.362012
8	0.121092	0.9301	0.178049
9	-0.015337	-0.1178	0.453311
10	-0.176216	-1.3535	0.090523
11	0.115426	0.8866	0.189445
12	-0.069702	-0.5354	0.297195
13	-0.116449	-0.8945	0.187355
14	0.032133	0.2468	0.402952
15	-0.073017	-0.5609	0.288509
16	0.027486	0.2111	0.416759
17	-0.205037	-1.5749	0.060311
18	-0.232593	-1.7866	0.039571
19	0.068851	0.5289	0.299445
20	-0.131598	-1.0108	0.158113
21	-0.234361	-1.8002	0.038474
22	-0.219609	-1.6868	0.048457
23	-0.16263	-1.2492	0.108265
24	-0.136147	-1.0458	0.149968
25	-0.091123	-0.6999	0.243362
26	-0.162376	-1.2472	0.108619
27	-0.043957	-0.3376	0.368416
28	0.040346	0.3099	0.378864
29	-0.012793	-0.0983	0.461028
30	0.058665	0.4506	0.32696
31	-0.072208	-0.5546	0.29062
32	-0.041937	-0.3221	0.37425
33	-0.001903	-0.0146	0.494193
34	-0.002456	-0.0189	0.492507
35	0.024642	0.1893	0.425262
36	0.01384	0.1063	0.457849

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.249163	1.9139	0.030247
2	-0.028248	-0.217	0.414489
3	0.217459	1.6703	0.050076
4	0.104089	0.7995	0.213596
5	0.18804	1.4444	0.076963
6	-0.15986	-1.2279	0.112179
7	-0.050856	-0.3906	0.348739
8	0.045981	0.3532	0.362605
9	-0.09394	-0.7216	0.236705
10	-0.17092	-1.3129	0.097157
11	0.254173	1.9523	0.027824
12	-0.195744	-1.5035	0.069017
13	-0.008275	-0.0636	0.474767
14	0.102698	0.7888	0.216682
15	-0.049643	-0.3813	0.35217
16	-0.0191	-0.1467	0.441932
17	-0.199912	-1.5356	0.064997
18	-0.077928	-0.5986	0.275874
19	0.063515	0.4879	0.313726
20	-0.166836	-1.2815	0.102518
21	0.009211	0.0708	0.471916
22	-0.215716	-1.6569	0.05142
23	0.000997	0.0077	0.496957
24	-0.114885	-0.8824	0.190559
25	0.080382	0.6174	0.269665
26	-0.016524	-0.1269	0.449717
27	-0.018312	-0.1407	0.44431
28	0.123679	0.95	0.172995
29	0.093247	0.7162	0.238333
30	-0.138497	-1.0638	0.145873
31	-0.015744	-0.1209	0.452078
32	-0.131048	-1.0066	0.159119
33	-0.073008	-0.5608	0.288535
34	-0.046416	-0.3565	0.361358
35	0.028567	0.2194	0.413539
36	0.079933	0.614	0.270796

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/24/t12931966562rwj3d6rpo1tqdf/1uh2s1293196769.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/24/t12931966562rwj3d6rpo1tqdf/1uh2s1293196769.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/24/t12931966562rwj3d6rpo1tqdf/25q1d1293196769.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/24/t12931966562rwj3d6rpo1tqdf/25q1d1293196769.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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

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 (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='lags',ylab='ACF')

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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