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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 11:11:34 -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/t11960137534mgnvd5gwsrgs3x.htm/, Retrieved Sun, 25 Nov 2007 19:02:35 +0100
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
90.8 96.4 90 92.1 97.2 95.1 88.5 91 90.5 75 66.3 66 68.4 70.6 83.9 90.1 90.6 87.1 90.8 94.1 99.8 96.8 87 96.3 107.1 115.2 106.1 89.5 91.3 97.6 100.7 104.6 94.7 101.8 102.5 105.3 110.3 109.8 117.3 118.8 131.3 125.9 133.1 147 145.8 164.4 149.8 137.7 151.7 156.8 180 180.4 170.4 191.6 199.5 218.2 217.5 205 194 199.3 219.3 211.1 215.2 240.2 242.2 240.7 255.4 253 218.2 203.7 205.6 215.6 188.5 202.9 214 230.3 230 241 259.6 247.8 270.3
 
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
018.30660
10.8045446.6830
20.6570055.45750
30.6157945.11521e-06
40.571034.74335e-06
50.4989524.14464.8e-05
60.3820153.17330.001126
70.2739792.27580.012982
80.1495781.24250.109132
90.1442991.19860.117384
100.1655841.37540.086722
110.0684240.56840.285814
12-0.069965-0.58120.718492
13-0.069775-0.57960.717963
14-0.007216-0.05990.523812
150.0024090.020.492045
16-0.04508-0.37450.645396
17-0.115858-0.96240.830392
18-0.16123-1.33930.907562


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
00.8045446.6830
10.027540.22880.409865
20.2258651.87620.032431
30.0279880.23250.408426
4-0.023945-0.19890.578537
5-0.171354-1.42340.920433
6-0.104994-0.87210.806922
7-0.213646-1.77470.959819
80.2357651.95840.027113
90.1186120.98530.163968
10-0.149085-1.23840.890116
11-0.229846-1.90920.969805
120.1764851.4660.073596
130.1185430.98470.164107
140.0519390.43140.333747
15-0.155019-1.28770.898921
16-0.140177-1.16440.875863
17-0.088499-0.73510.767624
180.0879460.73050.233768
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t11960137534mgnvd5gwsrgs3x/1wopp1196014293.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t11960137534mgnvd5gwsrgs3x/1wopp1196014293.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t11960137534mgnvd5gwsrgs3x/2ugek1196014293.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t11960137534mgnvd5gwsrgs3x/2ugek1196014293.ps (open in new window)


 
Parameters:
par1 = Default ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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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