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autocorrelation dollar

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Fri, 30 Nov 2007 02:36:50 -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/30/t1196414781ln5osgs4ulgtnsp.htm/, Retrieved Fri, 30 Nov 2007 10:26:23 +0100
 
User-defined keywords:
autocorrelation dollar
 
Dataseries X:
» Textbox « » Textfile « » CSV «
0.9383 0.9217 0.9095 0.892 0.8742 0.8532 0.8607 0.9005 0.9111 0.9059 0.8883 0.8924 0.8833 0.87 0.8758 0.8858 0.917 0.9554 0.9922 0.9778 0.9808 0.9811 1.0014 1.0183 1.0622 1.0773 1.0807 1.0848 1.1582 1.1663 1.1372 1.1139 1.1222 1.1692 1.1702 1.2286 1.2613 1.2646 1.2262 1.1985 1.2007 1.2138 1.2266 1.2176 1.2218 1.249 1.2991 1.3408 1.3119 1.3014 1.3201 1.2938 1.2694 1.2165 1.2037 1.2292 1.2256 1.2015 1.1786 1.1856 1.2103 1.1938 1.202 1.2271 1.277 1.265 1.2684 1.2811 1.2727 1.2611 1.2881 1.3213
 
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
018.48530
10.9678518.21250
20.927587.87080
30.8894497.54720
40.850937.22040
50.8067446.84540
60.7597996.44710
70.7164576.07930
80.6758235.73460
90.6375765.410
100.5965845.06222e-06
110.5501274.6687e-06
120.4997384.24043.3e-05
130.4505633.82320.000139
140.4012123.40440.000544
150.3515662.98310.001946
160.3032142.57290.006074
170.2609522.21430.014989
180.2222691.8860.031663
190.1829461.55240.062482
200.1346661.14270.128479
210.0854310.72490.235429
220.0335510.28470.388349
23-0.014446-0.12260.548609
24-0.058128-0.49320.688326
25-0.097243-0.82510.79399
26-0.128425-1.08970.860265
27-0.155064-1.31580.903786
28-0.181107-1.53670.935631
29-0.202141-1.71520.954698
30-0.225431-1.91280.970128
31-0.249761-2.11930.981242
32-0.274116-2.32590.988579
33-0.294273-2.4970.992593
34-0.308719-2.61960.994635
35-0.325605-2.76290.996366


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
00.9678518.21250
1-0.144719-1.2280.888274
20.0295810.2510.401262
3-0.037246-0.3160.623558
4-0.107801-0.91470.818305
5-0.047602-0.40390.656264
60.0332350.2820.389373
70.0020950.01780.492934
80.0181750.15420.438933
9-0.070324-0.59670.723717
10-0.110189-0.9350.823538
11-0.088252-0.74880.771804
12-0.011646-0.09880.539221
13-0.037833-0.3210.625438
14-0.013817-0.11720.546502
15-0.003385-0.02870.511417
160.0491740.41730.338866
17-0.01047-0.08880.535272
18-0.054137-0.45940.676322
19-0.184251-1.56340.938831
20-0.034048-0.28890.613259
21-0.106073-0.90010.814456
220.0465890.39530.346889
230.0456010.38690.349971
240.0488520.41450.339862
250.0681810.57850.282353
26-0.020015-0.16980.567191
27-0.093893-0.79670.785879
280.0396840.33670.36865
29-0.09864-0.8370.797316
30-0.006829-0.05790.523025
31-0.008868-0.07520.529886
320.0594520.50450.307738
330.0506810.430.334225
34-0.100053-0.8490.800646
350.0009880.00840.496667
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/30/t1196414781ln5osgs4ulgtnsp/1m3331196415408.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/30/t1196414781ln5osgs4ulgtnsp/1m3331196415408.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/30/t1196414781ln5osgs4ulgtnsp/2aupx1196415408.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/30/t1196414781ln5osgs4ulgtnsp/2aupx1196415408.ps (open in new window)


 
Parameters:
par1 = 36 ; par2 = 0.0 ; 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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