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Workshop7-q2b

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Fri, 23 Nov 2007 08:49:08 -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/Nov/23/t1195832454s60n0t9q7q6r5ro.htm/, Retrieved Fri, 23 Nov 2007 16:40:56 +0100
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
48527 44446 46380 48950 38883 42928 37107 30186 32602 39892 32194 21629 59968 45694 55756 48554 41052 49822 39191 31994 35735 38930 33658 23849 58972 59249 63955 53785 52760 44795 37348 32370 32717 40974 33591 21124 58608 46865 51378 46235 47206 45382 41227 33795 31295 42625 33625 21538 56421 53152 53536 52408 41454 38271 35306 26414 31917 38030 27534 18387 50556 43901 48572 43899 37532 40357 35489 29027 34485 42598 30306 26451 47460 50104 61465 53726 39477 43895 31481 29896 33842 39120 33702 25094 51442 45594 52518 48564 41745 49585 32747 33379 35645 37034 35681 20972
 
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 time2 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
019.7980
10.3588933.51640.000335
20.155751.5260.065145
30.0490370.48050.315995
4-0.183934-1.80220.962672
5-0.315277-3.08910.998687
6-0.469839-4.60350.999994
7-0.344287-3.37330.999464
8-0.20416-2.00040.975857
9-0.02239-0.21940.586589
100.0548450.53740.296127
110.2547312.49580.007136
120.7864747.70580
130.2941492.88210.002437
140.1243831.21870.112972
150.0253680.24860.402117
16-0.163729-1.60420.944024
17-0.295181-2.89220.997634
18-0.417121-4.08690.999955


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
00.3588933.51640.000335
10.030930.30310.381252
2-0.01865-0.18270.572302
3-0.230043-2.2540.986763
4-0.219975-2.15530.983181
5-0.34035-3.33470.999393
6-0.10714-1.04980.851767
7-0.069414-0.68010.750965
80.0449940.44080.330158
9-0.100054-0.98030.835305
100.0873570.85590.197087
110.70816.93790
12-0.305156-2.98990.998228
13-0.180562-1.76910.959977
14-0.110054-1.07830.8582
150.0797990.78190.218109
16-0.06109-0.59860.72456
170.0859960.84260.200777
180.0081930.08030.468094
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/23/t1195832454s60n0t9q7q6r5ro/1me8s1195832946.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/23/t1195832454s60n0t9q7q6r5ro/1me8s1195832946.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/23/t1195832454s60n0t9q7q6r5ro/2fxf41195832946.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/23/t1195832454s60n0t9q7q6r5ro/2fxf41195832946.ps (open in new window)


 
Parameters:
par1 = Default ; par2 = 1 ; par3 = 0 ; par4 = 0 ; 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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Software written by Ed van Stee & Patrick Wessa


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