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paper (acf/vrm 2)

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Mon, 10 Dec 2007 12:52:13 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2007/Dec/10/t1197315514f5l5ets6a1r9iiq.htm/, Retrieved Mon, 10 Dec 2007 20:38:36 +0100
 
User-defined keywords:
Lise Swinnen
 
Dataseries X:
» Textbox « » Textfile « » CSV «
0,007850049 0,008671912 0,008391986 0,008691954 0,008724839 0,008949762 0,009344295 0,009971514 0,010388067 0,008884599 0,01000981 0,012393539 0,007933519 0,008087396 0,008120881 0,008147148 0,00917087 0,009668358 0,009897495 0,011217878 0,010190084 0,009560637 0,011200671 0,013546776 0,008524882 0,009142143 0,008793047 0,009296235 0,009974995 0,009692013 0,010120046 0,011004981 0,010328492 0,009428406 0,011114429 0,011798579 0,008997058 0,008803914 0,007974159 0,008460945 0,009917747 0,009604284 0,011028851 0,011162991 0,010420855 0,009897095 0,010715298 0,012461041 0,008754735 0,009381664 0,008843755 0,009235122 0,009973356 0,009146341 0,011038445 0,010830104 0,010585414 0,010560523 0,010897526 0,014012667
 
Text written by user:
 
Output produced by software:


Summary of compuational 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
0160
10.4183292.510.008355
20.4044482.42670.010186
30.1458150.87490.193716
40.2108971.26540.106931
50.0805980.48360.315804
60.0198420.11910.452947
7-0.101998-0.6120.727803
8-0.146804-0.88080.807872
9-0.087665-0.5260.698939
10-0.301047-1.80630.96038
11-0.256605-1.53960.933803
12-0.462414-2.77450.995645
13-0.278457-1.67070.948277
14-0.224391-1.34630.906696
15-0.065163-0.3910.650942
16-0.166585-0.99950.837891
170.0187060.11220.45563
18-0.0236-0.14160.555908
190.0001338e-040.499684
200.0207910.12470.45071
21-0.039695-0.23820.593449
220.0625770.37550.35476
230.0777480.46650.321838
240.0739220.44350.330018
250.0894640.53680.29736
260.0500940.30060.382739
27-0.035813-0.21490.584464
28-0.083408-0.50040.690098
29-0.056425-0.33860.631543
30-0.026156-0.15690.561914
310.0325510.19530.423127
320.0558910.33530.369656
330.0436930.26220.397347
340.0401850.24110.405418
350.0105430.06330.474955
36NANANA
37NANANA
38NANANA
39NANANA
40NANANA
41NANANA
42NANANA
43NANANA
44NANANA
45NANANA
46NANANA
47NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
00.4183292.510.008355
10.278121.66870.051924
2-0.121741-0.73040.765077
30.1140140.68410.24915
4-0.02271-0.13630.553812
5-0.113598-0.68160.75007
6-0.106781-0.64070.737107
7-0.090938-0.54560.705656
80.0690640.41440.340526
9-0.294388-1.76630.95709
10-0.079234-0.47540.681315
11-0.244593-1.46760.924547
12-0.01183-0.0710.528097
130.1270580.76230.225409
140.0637370.38240.352197
15-0.104494-0.6270.73268
160.1246860.74810.229625
17-0.067519-0.40510.656105
18-0.153544-0.92130.818477
19-0.013957-0.08370.533137
20-0.099109-0.59470.722103
21-0.041752-0.25050.598193
220.0037540.02250.491077
23-0.148433-0.89060.810471
240.1208880.72530.236469
25-0.088275-0.52970.700198
26-0.066445-0.39870.653754
27-0.150568-0.90340.813843
280.0211280.12680.449916
290.0844430.50670.307742
30-0.042458-0.25480.599817
310.0308760.18530.427034
320.0158910.09530.462284
33-0.105149-0.63090.733953
34-0.017764-0.10660.542146
35NANANA
36NANANA
37NANANA
38NANANA
39NANANA
40NANANA
41NANANA
42NANANA
43NANANA
44NANANA
45NANANA
46NANANA
47NANANA
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/10/t1197315514f5l5ets6a1r9iiq/1mg3s1197316331.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/10/t1197315514f5l5ets6a1r9iiq/1mg3s1197316331.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/10/t1197315514f5l5ets6a1r9iiq/2jvnx1197316331.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/10/t1197315514f5l5ets6a1r9iiq/2jvnx1197316331.ps (open in new window)


 
Parameters:
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 2 ; par5 = 12 ;
 
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 (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='lags',ylab='ACF')
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 1:par1) {
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(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-1,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(mytstat,lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')
 




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