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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: Wed, 23 Dec 2009 04:59:58 -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/23/t126156964999xcjgborz0dmb0.htm/, Retrieved Wed, 23 Dec 2009 13:00:51 +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/23/t126156964999xcjgborz0dmb0.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:
paper, TRA,diensten1b
 
Dataseries X:
» Textbox « » Textfile « » CSV «
1.5 1.7 1.6 1.8 2.1 2.1 2.3 2.8 2.5 2.5 2.3 2.3 2.2 2.1 2.2 2 1.6 1.6 1.3 1.3 1.5 1.4 2 2.1 2.1 1.7 2.3 2.5 2.2 2.3 2.9 3.1 2.4 2 1.6 1.9 1.6 1.7 1.2 1.6 1.6 1.9 2.1 1.8 2.1 2.7 3.2 3 3.1 3.7 3.7 2.5 2.8 2.8 2.5 2.8 2.5 1.6 1.5 1.7 1.3
 
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
1-0.020104-0.15570.438388
2-0.180964-1.40170.083072
30.1192690.92390.179632
40.1936451.50.069433
5-0.082635-0.64010.262275
60.0038450.02980.488171
7-0.043983-0.34070.367262
8-0.131806-1.0210.155685
90.0175770.13610.446079
10-0.068529-0.53080.298751
11-0.155221-1.20230.116978
12-0.374043-2.89730.002623
130.041820.32390.373558
14-0.102624-0.79490.214895
150.0932450.72230.236467
16-0.067658-0.52410.301078
170.0088550.06860.472773
180.0719240.55710.289759
190.2678352.07460.021159
200.0515260.39910.345612
21-0.190916-1.47880.072208
220.1315551.0190.156143
230.1920281.48740.071068
240.0663460.51390.304601
25-0.033874-0.26240.396962
260.0876180.67870.249974
27-0.115835-0.89730.186585
28-0.023827-0.18460.427098
29-0.088909-0.68870.246838
30-0.079194-0.61340.270953
31-0.186324-1.44330.077075
320.0400760.31040.378656
330.0177530.13750.445543
34-0.115342-0.89340.187597
350.0413280.32010.374992
36-0.002354-0.01820.492757


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.020104-0.15570.438388
2-0.181442-1.40540.082523
30.1151590.8920.187973
40.1718911.33150.094036
5-0.039122-0.3030.381455
60.0512470.3970.346403
7-0.112674-0.87280.193135
8-0.159055-1.2320.111371
90.0061990.0480.480931
10-0.119751-0.92760.178668
11-0.10056-0.77890.21954
12-0.419255-3.24750.000954
13-0.05797-0.4490.327513
14-0.253224-1.96150.027235
150.2203741.7070.046496
16-0.018432-0.14280.443473
170.085410.66160.255385
180.0672610.5210.302141
190.2411821.86820.033311
200.1005150.77860.219642
21-0.205414-1.59110.058418
22-0.094818-0.73450.232767
23-0.131312-1.01710.156586
24-0.132737-1.02820.153996
250.0388210.30070.38234
26-0.049193-0.3810.352257
270.1053150.81580.208931
28-0.077656-0.60150.274881
290.0556640.43120.333945
300.0158260.12260.451423
310.0047790.0370.485297
320.0797520.61780.269536
33-0.143007-1.10770.1362
34-0.08447-0.65430.25771
350.0327220.25350.400388
360.0352330.27290.392927
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Dec/23/t126156964999xcjgborz0dmb0/109we1261569596.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/23/t126156964999xcjgborz0dmb0/109we1261569596.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/23/t126156964999xcjgborz0dmb0/2mjfd1261569596.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/23/t126156964999xcjgborz0dmb0/2mjfd1261569596.ps (open in new window)


 
Parameters (Session):
par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; 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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