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KDGP2W21

*Unverified author*
R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Tue, 26 Jan 2010 12:04:20 -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/26/t1264532889afyuzomx1bz6fhu.htm/, Retrieved Tue, 26 Jan 2010 20:08:11 +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/26/t1264532889afyuzomx1bz6fhu.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 «
1 4 -3 -3 0 6 -1 0 -1 1 -4 -1 -1 0 3 0 8 8 8 8 11 13 5 12 13 9 11 7 12 11 10 13 14 10 13 12 13 17 15 6 9 6 11 12 13 11 16 16 19 14 15 12 14 16 13 13 15 12 13 12 15 10 8 11 8 13 9 8 8 6 8 6 12 16
 
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
1-0.404297-3.45430.000461
20.0296810.25360.400262
3-0.043191-0.3690.356588
40.0291670.24920.401951
50.0453750.38770.34969
6-0.095516-0.81610.208552
70.009710.0830.467053
80.0524010.44770.327842
9-0.098494-0.84150.201399
100.0520830.4450.328819
11-0.123162-1.05230.148067
120.2118971.81050.03717
13-0.115834-0.98970.162798
14-0.015835-0.13530.446375
15-0.034328-0.29330.385062
160.0608640.520.302312
17-0.006751-0.05770.477081
18-0.05679-0.48520.31449
190.0407610.34830.364324
200.051680.44160.330058
21-0.115243-0.98460.164027
22-0.016852-0.1440.442957
230.0519920.44420.329099
24-0.037524-0.32060.374713
25-0.008894-0.0760.469818
26-0.044001-0.37590.354025
270.0844490.72150.236443
28-0.006554-0.0560.477748
290.0464570.39690.34629
300.0376380.32160.374347
31-0.028399-0.24260.404481
320.0748890.63990.262136
33-0.008979-0.07670.46953
34-0.151326-1.29290.100056
350.0031860.02720.489177
36-0.016824-0.14370.44305
370.1636771.39850.083105
38-0.217112-1.8550.033817
390.1808441.54510.063319
40-0.125992-1.07650.14263
41-0.006991-0.05970.476268
420.0875250.74780.228487
43-0.064046-0.54720.292952
440.0466630.39870.345642
45-0.031917-0.27270.392928
46-0.086732-0.7410.230522
470.0855810.73120.233497
48-0.095372-0.81490.208901


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.404297-3.45430.000461
2-0.159915-1.36630.088017
3-0.115225-0.98450.164065
4-0.039932-0.34120.366975
50.047280.4040.343712
6-0.065806-0.56230.287834
7-0.06452-0.55130.291568
80.0259360.22160.412624
9-0.093109-0.79550.214444
10-0.030299-0.25890.398229
11-0.145393-1.24220.109062
120.1100530.94030.175084
130.0042450.03630.485582
14-0.045388-0.38780.349649
15-0.088459-0.75580.226102
16-0.004197-0.03590.485746
17-0.015067-0.12870.44896
18-0.058411-0.49910.309618
190.0033210.02840.488721
200.0413720.35350.362372
21-0.078367-0.66960.252622
22-0.132716-1.13390.130268
230.0020910.01790.492898
24-0.109422-0.93490.176461
25-0.073932-0.63170.264785
26-0.087036-0.74360.229742
270.0263550.22520.411235
28-0.010099-0.08630.465738
290.0695340.59410.277142
300.1231431.05210.148104
310.0334640.28590.387877
320.0752150.64260.261237
330.1083880.92610.178731
34-0.111653-0.9540.171624
35-0.21006-1.79480.038416
36-0.152849-1.30590.097836
370.1176441.00520.159072
38-0.101297-0.86550.194805
390.0807710.69010.246158
40-0.031213-0.26670.395233
41-0.107443-0.9180.180823
420.0049760.04250.483101
43-0.018701-0.15980.436747
44-0.013754-0.11750.453387
45-0.064851-0.55410.290607
46-0.117651-1.00520.159058
47-0.047637-0.4070.342595
48-0.112829-0.9640.169111
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Jan/26/t1264532889afyuzomx1bz6fhu/1n22t1264532658.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Jan/26/t1264532889afyuzomx1bz6fhu/1n22t1264532658.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Jan/26/t1264532889afyuzomx1bz6fhu/2l05m1264532658.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Jan/26/t1264532889afyuzomx1bz6fhu/2l05m1264532658.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 1 ; 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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Creative Commons License

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa


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