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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, 04 Dec 2009 14:40:54 -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/Dec/04/t1259962890bpldmpswcs39z80.htm/, Retrieved Thu, 23 May 2013 00:40:16 +0000   Original text written by user:   IsPrivate? No (this computation is public)   User-defined keywords:   System-generated keywords (parent): t1259959633ru79mnbizj7uj20 (pk = 64148) Estimated Impact 28   Dataseries X: » Textfile « » CSV « » Stem and Leaf « » Histogram « » Kernel Density « » Harrell-Davis Quantiles « » Central Tendency « » Variability « 112 118 132 129 121 135 148 148 136 119 104 118 115 126 141 135 125 149 170 170 158 133 114 140 145 150 178 163 172 178 199 199 184 162 146 166 171 180 193 181 183 218 230 242 209 191 172 194 196 196 236 235 229 243 264 272 237 211 180 201 204 188 235 227 234 264 302 293 259 229 203 229 242 233 267 269 270 315 364 347 312 274 237 278 284 277 317 313 318 374 413 405 355 306 271 306 315 301 356 348 355 422 465 467 404 347 305 336 340 318 362 348 363 435 491 505 404 359 310 337 360 342 406 396 420 472 548 559 463 407 362 405 417 391 419 461 472 535 622 606 508 461 390 432   Output produced by software: Summary of computational transaction Raw Input view raw input (R code) Raw Output view raw output of R engine Computing time 2 seconds R Server 'Gwilym Jenkins' @ 72.249.127.135 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 -0.309815 -3.546 0.000272 2 0.095351 1.0913 0.138562 3 -0.096891 -1.109 0.134738 4 -0.098995 -1.133 0.129631 5 0.061001 0.6982 0.24315 6 -0.000288 -0.0033 0.498688 7 -0.056108 -0.6422 0.260936 8 -0.060966 -0.6978 0.243274 9 0.175917 2.0135 0.023057 10 -0.140279 -1.6056 0.055389 11 0.069735 0.7982 0.213112 12 -0.133673 -1.53 0.064219 13 0.087177 0.9978 0.160111 14 0.002494 0.0286 0.488633 15 0.065332 0.7478 0.227972 16 -0.109162 -1.2494 0.106871 17 -0.000338 -0.0039 0.498462 18 0.044028 0.5039 0.307582 19 -0.113945 -1.3042 0.097232 20 -0.091271 -1.0446 0.149054 21 0.041943 0.4801 0.315994 22 -0.157296 -1.8003 0.037054 23 0.257604 2.9484 0.001892 24 0.052836 0.6047 0.2732 25 -0.051097 -0.5848 0.279833 26 0.081446 0.9322 0.176475 27 -0.101947 -1.1668 0.122698 28 0.001517 0.0174 0.493086 29 0.000483 0.0055 0.497798 30 -0.039331 -0.4502 0.326667 31 -0.092981 -1.0642 0.144595 32 0.115897 1.3265 0.093491 33 -0.099039 -1.1336 0.129525 34 0.057306 0.6559 0.256519 35 0.009944 0.1138 0.454782 36 -0.018646 -0.2134 0.415666 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 -0.309815 -3.546 0.000272 2 -0.000701 -0.008 0.496806 3 -0.074718 -0.8552 0.197005 4 -0.166761 -1.9087 0.029247 5 -0.015146 -0.1734 0.431319 6 0.018288 0.2093 0.417265 7 -0.088086 -1.0082 0.157611 8 -0.133888 -1.5324 0.063916 9 0.156405 1.7901 0.03787 10 -0.05875 -0.6724 0.251251 11 -0.052428 -0.6001 0.274749 12 -0.115013 -1.3164 0.095172 13 0.059956 0.6862 0.246893 14 0.004318 0.0494 0.48033 15 0.036587 0.4188 0.338041 16 -0.086599 -0.9912 0.161715 17 -0.027835 -0.3186 0.375275 18 0.019117 0.2188 0.41357 19 -0.113792 -1.3024 0.097531 20 -0.256883 -2.9402 0.00194 21 0.006843 0.0783 0.468846 22 -0.224572 -2.5703 0.005639 23 0.084529 0.9675 0.167543 24 0.117491 1.3447 0.090515 25 0.040033 0.4582 0.323783 26 0.029843 0.3416 0.366613 27 -0.020427 -0.2338 0.407752 28 -0.054766 -0.6268 0.265931 29 -0.012173 -0.1393 0.444701 30 -0.090212 -1.0325 0.151865 31 -0.122453 -1.4015 0.081708 32 -0.068406 -0.7829 0.217539 33 -0.061903 -0.7085 0.239943 34 -0.050578 -0.5789 0.281827 35 0.036523 0.418 0.338305 36 -0.021203 -0.2427 0.404318   Charts produced by software: http://www.freestatistics.org/blog/date/2009/Dec/04/t1259962890bpldmpswcs39z80/18v561259962852.png (opens in new window) http://www.freestatistics.org/blog/date/2009/Dec/04/t1259962890bpldmpswcs39z80/18v561259962852.ps (opens in new window) Click here to open pdf file. http://www.freestatistics.org/blog/date/2009/Dec/04/t1259962890bpldmpswcs39z80/2ffey1259962852.png (opens in new window) http://www.freestatistics.org/blog/date/2009/Dec/04/t1259962890bpldmpswcs39z80/2ffey1259962852.ps (opens in new window) Click here to open pdf file.   Parameters (Session): par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;   Parameters (R input): par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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')