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Workshop8

*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: Fri, 27 Nov 2009 04:03:04 -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/27/t12593200358xrmvr5mn4zblng.htm/, Retrieved Fri, 27 Nov 2009 12:07:17 +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/27/t12593200358xrmvr5mn4zblng.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 «
5.4 5.4 5.6 5.7 5.8 5.8 5.8 5.9 6.1 6.4 6.4 6.3 6.2 6.2 6.3 6.4 6.5 6.6 6.6 6.6 6.8 7 7.2 7.3 7.5 7.6 7.6 7.7 7.7 7.7 7.7 7.6 7.7 7.9 7.9 7.9 7.8 7.6 7.4 7 7 7.2 7.5 7.8 7.8 7.7 7.6 7.6 7.5 7.5 7.6 7.6 7.9 7.6 7.5 7.5 7.6 7.7 7.8 7.9 7.9
 
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
10.405033.13740.001321
20.0827880.64130.261894
3-0.234364-1.81540.037232
4-0.333333-2.5820.006141
5-0.11303-0.87550.192389
6-0.036-0.27890.390658
70.1457581.1290.131689
80.1842421.42710.079362
90.1958181.51680.067284
100.011030.08540.466098
11-0.086485-0.66990.252743
12-0.126545-0.98020.165458
13-0.131697-1.02010.155884
140.0187880.14550.44239
150.0085450.06620.473722
160.0506670.39250.348054
170.0178790.13850.445159
180.0360.27890.390658
190.0541210.41920.338276
200.0060610.04690.481356
21-0.066727-0.51690.303574
22-0.049333-0.38210.351856
23-0.03703-0.28680.387613
24-0.029818-0.2310.409062
250.0559390.43330.333174
260.0456970.3540.362302
270.0478180.37040.356195
28-0.016242-0.12580.45015
29-0.14503-1.12340.132871
30-0.193818-1.50130.06926
31-0.172788-1.33840.092906
32-0.065939-0.51080.305695
330.0183640.14220.443682
340.1077580.83470.203603
350.0538790.41730.338958
36-0.034909-0.27040.393888


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.405033.13740.001321
2-0.097209-0.7530.227205
3-0.279913-2.16820.01706
4-0.163051-1.2630.10574
50.1370511.06160.146337
6-0.08194-0.63470.264017
70.0793110.61430.270656
80.0743110.57560.283517
90.1210450.93760.176102
10-0.135591-1.05030.148899
110.0272470.21110.416781
120.0096220.07450.470416
13-0.050392-0.39030.348834
140.0388610.3010.382222
15-0.046812-0.36260.359087
16-0.026588-0.2060.418763
17-0.027037-0.20940.417412
180.078770.61020.272033
190.0359310.27830.390861
20-0.017846-0.13820.445258
21-0.08654-0.67030.252608
220.0839460.65020.259008
23-0.044732-0.34650.365092
24-0.042713-0.33090.370953
250.0750670.58150.281553
260.0142220.11020.456323
27-0.047821-0.37040.356187
28-0.049177-0.38090.352303
29-0.095121-0.73680.232057
30-0.110964-0.85950.196736
31-0.060566-0.46910.320334
32-0.012339-0.09560.462088
33-0.059691-0.46240.322746
340.0025020.01940.492302
35-0.029223-0.22640.410844
36-0.076771-0.59470.277152
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Nov/27/t12593200358xrmvr5mn4zblng/1vv6g1259319781.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t12593200358xrmvr5mn4zblng/1vv6g1259319781.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/27/t12593200358xrmvr5mn4zblng/2nnec1259319781.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t12593200358xrmvr5mn4zblng/2nnec1259319781.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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