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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: Fri, 27 Nov 2009 12:01:29 -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/t12593485060g6s8qp1d9pblzr.htm/, Retrieved Fri, 27 Nov 2009 20:01:48 +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/t12593485060g6s8qp1d9pblzr.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 «
160,90 193,70 201,40 176,60 172,00 200,10 172,00 136,10 182,60 208,70 142,30 188,80 143,90 149,70 196,90 231,50 219,20 220,70 244,20 182,50 229,80 238,10 206,50 249,30 181,80 218,00 246,40 214,30 242,30 220,70 204,50 180,70 233,00 236,50 239,40 208,70 209,00 247,20 284,30 245,80 249,10 251,40 251,20 207,20 228,30 254,30 217,90 244,40 233,20 212,60 239,50 335,50 248,80 264,60 275,40 180,70 256,10 247,40 227,80 248,10
 
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
10.4497823.4840.000464
20.3886883.01080.001904
30.5091063.94350.000106
40.2758922.1370.01834
50.3714682.87740.002773
60.4409973.4160.000573
70.2992532.3180.011938
80.1604041.24250.109446
90.224161.73630.043818
100.1552221.20230.116978
110.1512661.17170.122974
120.2985842.31280.012089
130.1515321.17380.122565
140.0817790.63350.264422
150.0301380.23340.408104
160.0126930.09830.461002
170.0781060.6050.273728
180.0718820.55680.28987
190.1109150.85910.19684
20-0.027557-0.21350.415847
21-0.026298-0.20370.419637
22-0.021245-0.16460.434921
23-0.022093-0.17110.432347
240.0615960.47710.317505
25-0.03308-0.25620.399321
26-0.138916-1.0760.143109
27-0.135936-1.0530.148292
28-0.110666-0.85720.197369
29-0.138178-1.07030.144381
30-0.072549-0.5620.288117
31-0.070441-0.54560.29367
32-0.226889-1.75750.041969
33-0.076861-0.59540.276919
34-0.186902-1.44770.076448
35-0.182838-1.41630.080936
36-0.016685-0.12920.4488


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.4497823.4840.000464
20.2336531.80990.037663
30.3580692.77360.003689
4-0.092624-0.71750.237937
50.187281.45070.07604
60.1619431.25440.10728
70.0298010.23080.409112
8-0.26561-2.05740.022001
90.0083180.06440.474421
10-0.025979-0.20120.420599
110.072430.5610.288429
120.1391161.07760.142766
13-0.022741-0.17620.430384
14-0.05892-0.45640.324878
15-0.205781-1.5940.058099
16-0.008756-0.06780.473076
170.0615110.47650.317738
180.0224310.17380.431323
190.0929570.720.237146
20-0.081513-0.63140.265089
210.0250910.19440.423277
22-0.0761-0.58950.27888
230.0102310.07930.468548
240.0067920.05260.479109
25-0.07747-0.60010.275356
26-0.181363-1.40480.082614
270.0035880.02780.488958
280.0761080.58950.278861
29-0.036071-0.27940.390449
30-0.005305-0.04110.48368
31-0.012713-0.09850.460942
32-0.069983-0.54210.294884
330.1607141.24490.109007
34-0.166323-1.28830.101288
350.0164990.12780.449367
360.0088360.06840.472829
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Nov/27/t12593485060g6s8qp1d9pblzr/1sdkj1259348488.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t12593485060g6s8qp1d9pblzr/1sdkj1259348488.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/27/t12593485060g6s8qp1d9pblzr/29fvz1259348488.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t12593485060g6s8qp1d9pblzr/29fvz1259348488.ps (open in new window)


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