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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: Mon, 27 Dec 2010 10:00:11 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/27/t12934439379es1clq5o3m0fa7.htm/, Retrieved Sun, 19 May 2013 13:08:20 +0000

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

System-generated keywords (parent):

t1260365923ll9fceyc0fcsfuu (pk = 64953)

Estimated Impact

Dataseries X:

» Textfile « » CSV « » Stem and Leaf « » Histogram « » Kernel Density « » Harrell-Davis Quantiles « » Central Tendency « » Variability «

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	14 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Charts produced by software:

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##
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'#