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PAPER

*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, 06 Dec 2009 15:34:33 -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/Dec/06/t12601390200cdo8s4ns3fuq1k.htm/, Retrieved Sun, 06 Dec 2009 23:37:02 +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/Dec/06/t12601390200cdo8s4ns3fuq1k.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 «
100.00 100.83 101.51 102.16 102.39 102.54 102.85 103.47 103.57 103.69 103.50 103.47 103.45 103.48 103.93 103.89 104.40 104.79 104.77 105.13 105.26 104.96 104.75 105.01 105.15 105.20 105.77 105.78 106.26 106.13 106.12 106.57 106.44 106.54 107.10 108.10 108.40 108.84 109.62 110.42 110.67 111.66 112.28 112.87 112.18 112.36 112.16 111.49 111.25 111.36 111.74 111.10 111.33 111.25 111.04 110.97 111.31 111.02 111.07 111.36
 
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
016.85570
10.2914321.9980.025763
20.2809171.92590.030091
30.2811311.92730.029997
40.2855151.95740.028127
5-0.150312-1.03050.845973
60.0289150.19820.42186
70.1620731.11110.136086
8-0.069075-0.47360.680994
9-0.226958-1.55590.936785
10-0.20854-1.42970.920289
11-0.094425-0.64730.739721
12-0.476924-3.26960.998991
13-0.270814-1.85660.965179
14-0.136863-0.93830.823553
15-0.027435-0.18810.574191
16-0.170478-1.16870.875798
170.0454940.31190.378252
180.0155820.10680.457692
19-0.034943-0.23960.594144
20-0.145426-0.9970.838062
21-0.053477-0.36660.642227
220.0204870.14050.444452
23-0.038762-0.26570.6042
24-0.053827-0.3690.643114
250.0967550.66330.255183
26-0.012151-0.08330.533019
27-0.116566-0.79910.785885
28-0.067569-0.46320.677332
29-0.014809-0.10150.540219
30-0.072279-0.49550.688729
31-0.021713-0.14890.558848
320.0945060.64790.260101
330.1106570.75860.225932
340.0734320.50340.308508
350.023880.16370.435329
360.1040420.71330.239602
37-0.020106-0.13780.554523
380.0365030.25030.401741
390.0522550.35820.360883
400.0717360.49180.312576
41-0.020721-0.14210.556178
420.0565470.38770.350006
43-0.03444-0.23610.592812
44-0.024184-0.16580.565486
45-0.023843-0.16350.564571
46-0.045216-0.310.62103
47NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
00.2914321.9980.025763
10.2141741.46830.074341
20.1768191.21220.115745
30.1554251.06550.146038
4-0.393645-2.69870.99518
5-0.000477-0.00330.501297
60.2533241.73670.044495
7-0.110833-0.75980.774424
8-0.23173-1.58870.940579
9-0.365541-2.5060.992135
100.0966140.66240.255491
11-0.155254-1.06440.853701
12-0.002103-0.01440.505722
130.0335870.23030.409444
140.1318440.90390.185335
150.1564741.07270.144434
16-0.077353-0.53030.700802
17-0.182676-1.25240.891684
180.0081790.05610.477762
19-0.12777-0.87590.807244
20-0.221171-1.51630.931926
21-0.136365-0.93490.822683
220.0707490.4850.314955
23-0.074064-0.50780.693
240.1024370.70230.242986
25-0.124876-0.85610.801859
260.0576130.3950.347325
270.090140.6180.26979
28-0.071906-0.4930.687833
29-0.143591-0.98440.835023
30-0.023203-0.15910.562854
310.0189950.13020.448472
32-0.046748-0.32050.624991
33-0.0628-0.43050.665613
34-0.05324-0.3650.641623
35-0.005243-0.03590.514261
360.0033590.0230.490864
37-0.007778-0.05330.521148
380.022470.1540.439118
39-0.101117-0.69320.75421
40-0.11436-0.7840.781516
41-0.021955-0.15050.559499
420.0136990.09390.462788
430.0639510.43840.331544
44-0.001066-0.00730.502899
45-0.076271-0.52290.698246
46NANANA
47NANANA
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Dec/06/t12601390200cdo8s4ns3fuq1k/19w0k1260138872.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/06/t12601390200cdo8s4ns3fuq1k/19w0k1260138872.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/06/t12601390200cdo8s4ns3fuq1k/2ekvl1260138872.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/06/t12601390200cdo8s4ns3fuq1k/2ekvl1260138872.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ;
 
Parameters (R input):
par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ;
 
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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Software written by Ed van Stee & Patrick Wessa


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