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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, 24 Nov 2009 12:01:14 -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/Nov/24/t1259089316kzvmuesuzhjrqhv.htm/, Retrieved Tue, 24 Nov 2009 20:01:58 +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/2009/Nov/24/t1259089316kzvmuesuzhjrqhv.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:
ws8autocorrelatie
 
Dataseries X:
» Textbox « » Textfile « » CSV «
7291 6820 8031 7862 7357 7213 7079 7012 7319 8148 7599 6908 7878 7407 7911 7323 7179 6758 6934 6696 7688 8296 7697 7907 7592 7710 9011 8225 7733 8062 7859 8221 8330 8868 9053 8811 8120 7953 8878 8601 8361 9116 9310 9891 10147 10317 10682 10276 10614 9413 11068 9772 10350 10541 10049 10714 10759 11684 11462 10485 11056 10184 11082 10554 11315 10847 11104 11026 11073 12073 12328 11172
 
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
10.6411274.96613e-06
20.62594.84825e-06
30.5368124.15815.2e-05
40.4229743.27630.000875
50.3433632.65970.005008
60.2372891.8380.035505
70.1483391.1490.127551
80.1048360.81210.209986
90.0539760.41810.338686
10-0.095427-0.73920.231342
11-0.091199-0.70640.24133
12-0.166361-1.28860.101237
13-0.061232-0.47430.318504
14-0.067593-0.52360.301253
15-0.107693-0.83420.203742
16-0.045864-0.35530.36182
17-0.051923-0.40220.344486
180.0012780.00990.496068
19-0.026767-0.20730.418226
20-0.04722-0.36580.357913
210.0409460.31720.376109
220.0193050.14950.440817
23-0.025899-0.20060.420839
24-0.136679-1.05870.146988
25-0.214342-1.66030.051037
26-0.25328-1.96190.027209
27-0.270183-2.09280.020301
28-0.349734-2.7090.004391
29-0.308998-2.39350.009917
30-0.270804-2.09760.020079
31-0.322929-2.50140.007558
32-0.264044-2.04530.02261
33-0.342095-2.64990.00514
34-0.247378-1.91620.030055
35-0.186831-1.44720.076525
36-0.19282-1.49360.070263


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.6411274.96613e-06
20.3648082.82580.003198
30.0940750.72870.234508
4-0.082761-0.64110.261962
5-0.064817-0.50210.308728
6-0.091916-0.7120.239619
7-0.077958-0.60390.274108
80.0170190.13180.447779
90.0214250.1660.434373
10-0.22593-1.750.042611
11-0.007259-0.05620.477673
12-0.034807-0.26960.394191
130.271572.10360.019808
140.0968890.75050.227945
15-0.13709-1.06190.146269
16-0.029189-0.22610.410946
17-0.036389-0.28190.389507
180.1080290.83680.203017
19-0.024982-0.19350.423607
20-0.137953-1.06860.144771
210.1145540.88730.189221
22-0.084294-0.65290.258145
23-0.062646-0.48530.314631
24-0.270009-2.09150.020363
25-0.201575-1.56140.061845
26-0.018541-0.14360.443141
270.0442780.3430.366407
280.0462920.35860.360586
290.0661640.51250.30509
300.0652080.50510.307669
31-0.135005-1.04570.149938
32-0.014101-0.10920.456695
33-0.049142-0.38070.352403
340.0194850.15090.440269
35-0.001921-0.01490.494088
36-0.19362-1.49980.069459
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Nov/24/t1259089316kzvmuesuzhjrqhv/1fit01259089272.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/24/t1259089316kzvmuesuzhjrqhv/1fit01259089272.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/24/t1259089316kzvmuesuzhjrqhv/2e7pk1259089272.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/24/t1259089316kzvmuesuzhjrqhv/2e7pk1259089272.ps (open in new window)


 
Parameters (Session):
par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 36 ; par2 = 1 ; par3 = 0 ; 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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Software written by Ed van Stee & Patrick Wessa


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