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(Partial) Autocorrelation Function d=1 en D=1

*Unverified author*
R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Sat, 20 Dec 2008 16:23:11 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/21/t1229815436puyx5r8kq7k9hla.htm/, Retrieved Sun, 21 Dec 2008 00:23:58 +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/2008/Dec/21/t1229815436puyx5r8kq7k9hla.htm/},
    year = {2008},
}
@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 = {2008},
    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 «
2196.72 2350.44 2440.25 2408.64 2472.81 2407.6 2454.62 2448.05 2497.84 2645.64 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
 
Output produced by software:


Summary of computational 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
10.0238970.16380.435284
2-0.195189-1.33810.093643
30.1587181.08810.141047
4-0.022953-0.15740.437819
50.2150131.47410.073567
60.0985260.67550.251346
7-0.142548-0.97730.166722
80.1856211.27260.104718
90.1285670.88140.191291
100.0261230.17910.429319
110.2075971.42320.080639
12-0.211778-1.45190.07659
13-0.111684-0.76570.223852
140.2341581.60530.057563
15-0.003405-0.02330.490737
16-0.026533-0.18190.428223
17-0.088416-0.60610.273667
18-0.121015-0.82960.205469
190.08530.58480.280744
20-0.06226-0.42680.335725
21-0.078864-0.54070.295647
22-0.012895-0.08840.464967
23-0.028655-0.19640.422554
24-0.127251-0.87240.193715
25-0.014785-0.10140.459846
26-0.066445-0.45550.325416
27-0.040374-0.27680.391577
280.0489570.33560.36932
29-0.09425-0.64610.260663
30-0.085735-0.58780.279751
31-0.043379-0.29740.38374
32-0.036216-0.24830.402497
33-0.063793-0.43730.331933
34-0.051576-0.35360.362615
35-0.060836-0.41710.339264
360.0233650.16020.436712
370.0377990.25910.39833
38-0.064169-0.43990.331005
39-0.043592-0.29890.383185
40-0.03109-0.21310.41607
41-0.007149-0.0490.480559
420.0157760.10820.457167
43-0.055174-0.37830.353472
44-0.013773-0.09440.462588
450.0195440.1340.446992
46-0.003182-0.02180.491345
47NANANA
48NANANA
49NANANA
50NANANA
51NANANA
52NANANA
53NANANA
54NANANA
55NANANA
56NANANA
57NANANA
58NANANA
59NANANA
60NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.0238970.16380.435284
2-0.195872-1.34280.092888
30.1758181.20530.117051
4-0.081996-0.56210.288348
50.3119362.13850.018851
60.0029120.020.492078
7-0.012723-0.08720.465432
80.1479841.01450.157763
90.0733670.5030.308663
100.0867620.59480.277413
110.173281.18790.120411
12-0.242423-1.6620.051588
13-0.07347-0.50370.308418
140.0150440.10310.459146
150.0118990.08160.467664
16-0.064317-0.44090.33064
17-0.125552-0.86070.196876
18-0.075644-0.51860.303241
19-0.100202-0.6870.247744
20-0.100415-0.68840.247289
210.0602530.41310.340715
22-0.069174-0.47420.318765
230.12620.86520.195666
24-0.230157-1.57790.060651
250.0443850.30430.381126
26-0.062637-0.42940.33479
270.1503071.03050.154036
280.0795320.54520.294082
29-0.018522-0.1270.449749
30-0.10277-0.70460.242282
31-0.024541-0.16820.433556
32-0.030657-0.21020.417219
33-0.013712-0.0940.462753
34-0.043606-0.29890.383149
350.0133330.09140.463779
36-0.073222-0.5020.30901
37-0.0057-0.03910.484498
38-0.012884-0.08830.464995
390.0303860.20830.417941
400.0292050.20020.421087
410.0193290.13250.447571
42-0.1093-0.74930.228698
43-0.013906-0.09530.462226
44-0.01214-0.08320.467011
450.0892810.61210.271717
46-0.061289-0.42020.338136
47NANANA
48NANANA
49NANANA
50NANANA
51NANANA
52NANANA
53NANANA
54NANANA
55NANANA
56NANANA
57NANANA
58NANANA
59NANANA
60NANANA
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229815436puyx5r8kq7k9hla/1dsxu1229815389.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229815436puyx5r8kq7k9hla/1dsxu1229815389.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229815436puyx5r8kq7k9hla/2qj231229815389.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229815436puyx5r8kq7k9hla/2qj231229815389.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;
 
Parameters (R input):
par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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 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')
 




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