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Autocorrelation Function

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Sun, 16 Dec 2007 09:28:35 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2007/Dec/16/t1197821524vncgnmob5o0be2s.htm/, Retrieved Sun, 16 Dec 2007 17:12:07 +0100
 
User-defined keywords:
d=0 D=0 nieuwe personenwagens
 
Dataseries X:
» Textbox « » Textfile « » CSV «
0,2 0,8 1,2 4,5 0,4 5,9 6,5 12,8 4,2 -3,3 -12,5 -16,3 -10,5 -11,8 -11,4 -17,7 -17,3 -18,6 -17,9 -21,4 -19,4 -15,5 -7,7 -0,7 -1,6 1,4 0,7 9,5 1,4 4,1 6,6 18,4 16,9 9,2 -4,3 -5,9 -7,7 -5,4 -2,3 -4,8 2,3 -5,2 -10 -17,1 -14,4 -3,9 3,7 6,5 0,9 -4,1 -7 -12,2 -2,5 4,4 13,7 12,3 13,4 2,2 1,7 -7,2 -4,8 -2,9 -2,4 -2,5 -5,3 -7,1 -8 -8,9 -7,7 -1,1 4 9,6 10,9 13
 
Text written by user:
 
Output produced by software:


Summary of compuational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
018.60230
10.8143517.00530
20.5613334.82884e-06
30.2596872.23390.014255
40.1225031.05380.147699
50.063020.54210.294683
60.0662040.56950.285367
70.0618070.53170.29827
80.0019830.01710.493218
9-0.129708-1.11580.865939
10-0.349727-3.00850.998206
11-0.53103-4.56810.99999
12-0.611281-5.25840.999999
13-0.507901-4.36910.99998
14-0.343366-2.95370.997897
15-0.165301-1.4220.920382
16-0.092956-0.79960.786759
17-0.067377-0.57960.718027
18-0.091515-0.78720.783172
19-0.115808-0.99620.838804
20-0.095521-0.82170.793057
21-0.010107-0.08690.534526
220.1454211.2510.107445
230.3137852.69930.004303
240.3945773.39430.000554
250.3703273.18570.001057
260.2626892.25970.013391
270.1357451.16770.123333
280.0485140.41730.338822
290.0295870.25450.399901
300.0400720.34470.365645
310.0683930.58830.279049
320.032680.28110.3897
33-0.02744-0.23610.592977
34-0.153459-1.32010.904566
35-0.243152-2.09170.98005
36-0.297456-2.55880.993727
37-0.262322-2.25660.986506
38-0.156973-1.35030.909487
39-0.057184-0.49190.687883
400.0261740.22520.41124
410.0201660.17350.431376
42-0.005637-0.04850.519273
43-0.046556-0.40050.655026
44-0.025501-0.21940.586516
450.0201290.17320.431499
460.0915050.78720.216852
470.131311.12960.131153


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
00.8143517.00530
1-0.302332-2.60080.994387
2-0.292223-2.51380.992941
30.3706443.18840.001049
4-0.025325-0.21790.585928
5-0.142569-1.22640.888036
60.0784530.67490.250928
7-0.186469-1.60410.943521
8-0.277587-2.38790.990251
9-0.327214-2.81480.996875
10-0.042595-0.36640.642449
110.0456340.39260.347888
120.1287921.10790.135745
13-0.049167-0.4230.663221
140.0450440.38750.349757
15-0.049266-0.42380.663531
160.0304240.26170.397134
170.0022060.0190.492455
18-0.167744-1.4430.923378
190.0095390.08210.46741
200.0226590.19490.422994
21-0.014627-0.12580.549895
220.2088541.79660.038237
23-0.073408-0.63150.735164
240.0215780.18560.426626
250.0416830.35860.36047
26-0.16717-1.43810.922682
27-0.016672-0.14340.556823
280.1101120.94720.173306
29-0.225628-1.94090.971962
300.0409140.3520.362935
31-0.112738-0.96980.83235
320.0886470.76260.224071
330.0409770.35250.362734
34-0.007491-0.06440.525604
350.0484940.41720.338885
360.0153480.1320.447659
370.0456320.39250.347894
38-0.027635-0.23770.593623
39-0.002907-0.0250.509943
40-0.083886-0.72160.763596
41-0.017692-0.15220.560276
420.014290.12290.451251
430.0141060.12130.451873
440.0515210.44320.329458
45-0.164374-1.4140.919223
460.0311120.26760.394861
470.0412820.35510.361753
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/16/t1197821524vncgnmob5o0be2s/1uat61197822512.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/16/t1197821524vncgnmob5o0be2s/1uat61197822512.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/16/t1197821524vncgnmob5o0be2s/2230e1197822512.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/16/t1197821524vncgnmob5o0be2s/2230e1197822512.ps (open in new window)


 
Parameters (Session):
par1 = 12 ;
 
Parameters (R input):
par1 = 48 ; par2 = 1.0 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;
 
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 1:par1) {
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(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-1,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(mytstat,lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')
 




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