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R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Sun, 25 Nov 2007 05:44:02 -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/25/t1195995000yjn96ttlawq1c0k.htm/, Retrieved Sun, 25 Nov 2007 13:50:00 +0100
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
112,1 104,2 102,4 100,3 102,6 101,5 103,4 99,4 97,9 98 90,2 87,1 91,8 94,8 91,8 89,3 91,7 86,2 82,8 82,3 79,8 79,4 85,3 87,5 88,3 88,6 94,9 94,7 92,6 91,8 96,4 96,4 107,1 111,9 107,8 109,2 115,3 119,2 107,8 106,8 104,2 94,8 97,5 98,3 100,6 94,9 93,6 98 104,3 103,9 105,3 102,6 103,3 107,9 107,8 109,8 110,6 110,8 119,3 128,1 127,6 137,9 151,4 143,6 143,4 141,9 135,2 133,1 129,6 134,1 136,8 143,5 162,5 163,1 157,2 158,8 155,4 148,5 154,2 153,3 149,4 147,9 156 163 159,1 159,5 157,3 156,4 156,6 162,4 166,8 162,6 168,1
 
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'Herman Ole Andreas Wold' @ 193.190.124.10:1001


Autocorrelation Function
Time lag kACF(k)T-STATP-value
019.64370
10.9630439.28720
20.9244078.91470
30.8859148.54340
40.8443658.14280
50.8083317.79530
60.7795227.51740
70.7529597.26130
80.7219826.96250
90.6956566.70870
100.6690266.45190
110.6361656.1350
120.5992365.77880
130.5645215.4440
140.525365.06641e-06
150.4802824.63176e-06
160.4474724.31532e-05
170.4124853.97796.9e-05
180.3718093.58560.000269


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
00.9630439.28720
1-0.041963-0.40470.656678
2-0.017601-0.16970.567208
3-0.062722-0.60490.726631
40.055750.53760.296056
50.0766310.7390.230882
60.0125880.12140.451819
7-0.085185-0.82150.793268
80.0464950.44840.327462
9-0.011148-0.10750.54269
10-0.085051-0.82020.792901
11-0.084301-0.8130.790845
120.0108160.10430.458576
13-0.070562-0.68050.751052
14-0.107281-1.03460.848227
150.1170081.12840.131031
16-0.061912-0.59710.724041
17-0.101592-0.97970.835116
18-0.027023-0.26060.602513
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1195995000yjn96ttlawq1c0k/19jlg1195994637.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1195995000yjn96ttlawq1c0k/19jlg1195994637.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1195995000yjn96ttlawq1c0k/2ldyj1195994637.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1195995000yjn96ttlawq1c0k/2ldyj1195994637.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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