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*Unverified author*
R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Sat, 16 Jan 2010 12:21:07 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Jan/16/t12636697734xoapnm8nifytu7.htm/, Retrieved Sat, 16 Jan 2010 20:22:56 +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/2010/Jan/16/t12636697734xoapnm8nifytu7.htm/},
    year = {2010},
}
@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 = {2010},
    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:
KDGP2W21
 
Dataseries X:
» Textbox « » Textfile « » CSV «
103.6 103.7 103.8 104 104 104.1 104.2 104.3 104.4 104.5 104.7 104.7 104.9 105 105.2 105.3 105.4 105.5 105.7 105.8 105.9 106 106.1 106.2 106.6 106.8 107 107.1 107.3 107.4 107.6 107.7 107.9 108.2 108.3 108.5 108.92 109.23 109.41 109.65 109.91 110.01 110.2 110.49 110.57 110.72 110.94 111.09 111.28 111.41 111.62 111.76 111.89 112.04 112.12 112.3 112.47 112.59 112.78 112.73 112.99 113.1 113.33 113.38 113.68 113.65 113.81 113.88 114.02 114.25 114.28 114.38 114.73 114.97 115.05 115.29 115.37 115.54 115.76 115.92 116.02 116.21 116.26 116.51
 
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
1-0.138151-1.25860.105848
20.1528041.39210.083804
30.0959530.87420.192272
40.1907161.73750.043004
5-0.075072-0.68390.24796
60.2095331.90890.029863
7-0.000169-0.00150.499387
80.0224610.20460.419181
90.0590290.53780.296084
100.0108280.09860.46083
110.1304211.18820.119073
120.1749531.59390.05738
13-0.070349-0.64090.261673
140.0201140.18320.427524
150.0541870.49370.311424
16-0.117435-1.06990.143887
17-0.048043-0.43770.331374
18-0.0482-0.43910.330856
19-0.024462-0.22290.412095
20-0.221296-2.01610.023512
21-0.006233-0.05680.477426
22-0.094744-0.86320.195269
23-0.042164-0.38410.350931
24-0.0918-0.83630.202684
25-0.021944-0.19990.421018
26-0.078633-0.71640.237883
27-0.066718-0.60780.272478
28-0.119896-1.09230.13893
29-0.124455-1.13380.130063
30-0.052159-0.47520.317949
31-0.171867-1.56580.060602
32-0.068641-0.62530.266729
33-0.039046-0.35570.361475
34-0.095805-0.87280.192638
35-0.168752-1.53740.063999
360.1972121.79670.038012
37-0.054283-0.49450.311116
380.0222890.20310.41979
39-0.05205-0.47420.318303
400.1064590.96990.167459
41-0.119023-1.08430.140675
420.0209090.19050.424695
43-0.007542-0.06870.472694
44-0.004026-0.03670.485414
450.0085980.07830.468876
46-0.010297-0.09380.462742
47-0.005715-0.05210.479302
480.1991581.81440.036613


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.138151-1.25860.105848
20.136321.24190.10888
30.1381741.25880.105811
40.2114911.92680.028715
5-0.056617-0.51580.303682
60.1308681.19230.118278
70.0176590.16090.436289
8-0.042268-0.38510.350583
90.0354280.32280.373842
10-0.04688-0.42710.335207
110.1492071.35930.08886
120.2097211.91060.029751
13-0.077804-0.70880.24021
14-0.077072-0.70220.242272
15-0.057433-0.52320.301102
16-0.166373-1.51570.066694
17-0.099975-0.91080.182515
18-0.129929-1.18370.119953
190.0291020.26510.395783
20-0.154407-1.40670.081622
21-0.069797-0.63590.263303
22-0.023983-0.21850.413789
23-0.073112-0.66610.253603
24-0.024219-0.22060.412953
250.0077590.07070.471907
260.0187930.17120.432236
270.0152180.13860.445036
28-0.03983-0.36290.358812
29-0.094778-0.86350.195184
30-0.020994-0.19130.424391
31-0.098112-0.89380.186994
320.0303040.27610.391585
330.0352910.32150.374314
34-0.037202-0.33890.367762
35-0.121934-1.11090.134917
360.1736621.58210.058711
370.0830410.75650.225734
380.0526340.47950.316414
39-0.035802-0.32620.372559
400.0642420.58530.279976
41-0.013621-0.12410.45077
42-0.103956-0.94710.173171
430.0077660.07080.471883
44-0.066414-0.60510.273396
450.0202830.18480.426925
460.0071250.06490.4742
47-0.112325-1.02330.154562
480.095990.87450.192181
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Jan/16/t12636697734xoapnm8nifytu7/1us8j1263669665.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Jan/16/t12636697734xoapnm8nifytu7/1us8j1263669665.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Jan/16/t12636697734xoapnm8nifytu7/2avnk1263669665.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Jan/16/t12636697734xoapnm8nifytu7/2avnk1263669665.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; 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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