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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: Tue, 15 Dec 2009 10:19:42 -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/15/t1260897645291bqvuhz0jr4yz.htm/, Retrieved Tue, 15 Dec 2009 18:20:47 +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/15/t1260897645291bqvuhz0jr4yz.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 «
8.7 8.2 8.3 8.5 8.6 8.5 8.2 8.1 7.9 8.6 8.7 8.7 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8 8.2 8.1 8.1 8 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.4 6.1 6.5 7.7 7.9 7.5 6.9 6.6 6.9 7.7 8 8 7.7 7.3 7.4 8.1 8.3 8.2
 
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
10.5158073.53620.000462
2-0.123648-0.84770.200454
3-0.506294-3.4710.000561
4-0.512124-3.51090.000498
5-0.159829-1.09570.139389
60.2192291.5030.06977
70.447053.06480.001801
80.3443542.36080.011218
90.0282490.19370.423637
10-0.185937-1.27470.104337
11-0.282482-1.93660.02941
12-0.278504-1.90930.031168
13-0.063072-0.43240.333715
140.1766921.21130.11591
150.2021391.38580.086175
160.0432850.29670.383985
17-0.065427-0.44850.327911
18-0.107004-0.73360.233424
19-0.102004-0.69930.243905
200.0277290.19010.425025
210.1098350.7530.227605
220.0217030.14880.44118
23-0.09458-0.64840.259939
24-0.170127-1.16630.124682
25-0.061834-0.42390.336783
260.0440240.30180.382062
270.0564370.38690.350284
280.0196180.13450.446794
29-0.062083-0.42560.336163
30-0.106388-0.72940.234701
31-0.011477-0.07870.468809
320.0154910.10620.457937
330.0238320.16340.435459
340.0237630.16290.435644
350.0107850.07390.470688
360.0312820.21450.415558


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.5158073.53620.000462
2-0.530973-3.64020.000338
3-0.255723-1.75310.043048
4-0.182389-1.25040.108673
50.065940.45210.326653
60.0125790.08620.465822
70.1806761.23860.110813
8-0.000336-0.00230.499086
90.0219430.15040.440534
100.1299760.89110.188715
11-0.07067-0.48450.315144
12-0.197091-1.35120.091552
130.0731170.50130.309262
14-0.00238-0.01630.493524
15-0.188592-1.29290.101179
16-0.128095-0.87820.192158
170.1149840.78830.217242
18-0.040816-0.27980.39042
19-0.01051-0.07210.471433
200.1848831.26750.105612
21-0.031409-0.21530.415222
22-0.144371-0.98980.16368
230.0438980.30090.382391
24-0.194614-1.33420.094282
250.0103580.0710.471845
26-0.03082-0.21130.416787
27-0.181412-1.24370.109889
28-0.208071-1.42650.080172
290.1090120.74730.229288
30-0.033501-0.22970.409671
310.0546850.37490.354709
32-0.073594-0.50450.308121
330.1117070.76580.223804
34-0.065483-0.44890.327772
350.0401840.27550.392075
360.0146710.10060.460157
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Dec/15/t1260897645291bqvuhz0jr4yz/1ran31260897580.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/15/t1260897645291bqvuhz0jr4yz/1ran31260897580.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/15/t1260897645291bqvuhz0jr4yz/211u41260897580.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/15/t1260897645291bqvuhz0jr4yz/211u41260897580.ps (open in new window)


 
Parameters (Session):
par1 = 36 ; par2 = 0.5 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 36 ; par2 = 0.5 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; 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')
 





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