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T8 18

*Unverified author*
R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Wed, 03 Dec 2008 13:09:01 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/03/t1228334996estbzuhsdnebp2x.htm/, Retrieved Wed, 03 Dec 2008 20:09:58 +0000
 
BibTeX entries for LaTeX users:
@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2008/Dec/03/t1228334996estbzuhsdnebp2x.htm/},
    year = {2008},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}
 
Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)
 
Feedback Forum:
2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
test

Post a new message
 
Original text written by user:
 
IsPrivate?
No (this computation is public)
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
33 34 44 38 37 30 35 32 32 37 27 28 27 38 32 38 33 36 40 36 38 33 30 34 33 31 39 41 34 41 37 37 39 37 32 44 48 39 52 39 40 55 39 37 41 46 39 43 41 44 52 49 57 55 41 49 52 47 44 57 57 50 60 49 53 55 46 47 50 52 41 46 47 42 51 41 40 50 41 45 37 55 42 37
 
Output produced by software:


Summary of computational 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
10.3677643.12060.001299
20.3119192.64670.004988
30.3282232.78510.003417
40.3448842.92640.002292
50.2649742.24840.013807
60.1849431.56930.060482
70.207131.75760.041536
80.0805490.68350.248248
90.2278521.93340.02856
100.0806190.68410.248063
110.0505630.4290.334588
12-0.137036-1.16280.124377
13-0.040712-0.34550.365381
140.0670090.56860.285702
15-0.005928-0.05030.48001
16-0.023872-0.20260.420026
17-0.028436-0.24130.405008
180.0606120.51430.304304
19-0.025908-0.21980.413311
20-0.112273-0.95270.171974
21-0.168809-1.43240.07818
22-0.09982-0.8470.1999
230.0037740.0320.487272
24-0.153399-1.30160.098595
25-0.057721-0.48980.312889
26-0.084552-0.71750.237709
27-0.112681-0.95610.171102
28-0.071259-0.60470.273656
29-0.066855-0.56730.286142
30-0.135652-1.1510.126761
31-0.185122-1.57080.060305
320.0006590.00560.497776
33-0.019578-0.16610.434264
34-0.111142-0.94310.1744
35-0.167335-1.41990.079979
36-0.071928-0.61030.271783
37-0.156658-1.32930.093975
38-0.187862-1.59410.057652
39-0.16126-1.36830.08773
40-0.155436-1.31890.095688
41-0.11317-0.96030.170064
42-0.119768-1.01630.156452
43-0.07575-0.64280.261212
44-0.14649-1.2430.108949
45-0.140659-1.19350.118289
46-0.077557-0.65810.25629
47-0.118077-1.00190.159869
48-0.106357-0.90250.184908
49-0.022208-0.18840.425531
50-0.021433-0.18190.428098
51-0.015663-0.13290.447318
52-0.038449-0.32620.372592
53-0.024897-0.21130.416641
54-0.080846-0.6860.247459
550.020260.17190.431995
56-0.030169-0.2560.399343
57-0.018351-0.15570.438348
580.0534760.45380.325683
590.0520570.44170.330009
600.0278410.23620.406958


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.3677643.12060.001299
20.20431.73350.04364
30.1952691.65690.050944
40.1809341.53530.064549
50.0483120.40990.341534
6-0.035786-0.30370.381133
70.0308940.26210.396978
8-0.126262-1.07140.143791
90.1615971.37120.087286
10-0.083506-0.70860.24044
11-0.042518-0.36080.359661
12-0.269002-2.28260.012706
13-0.020567-0.17450.430973
140.1412161.19830.117372
150.0801860.68040.249216
160.0246910.20950.417321
170.0294970.25030.401537
180.0187130.15880.43714
19-0.030716-0.26060.397559
20-0.196392-1.66640.049985
21-0.117033-0.99310.162003
22-0.006825-0.05790.47699
230.1332721.13090.130935
24-0.166334-1.41140.081219
250.0717490.60880.272282
260.0382640.32470.373184
27-0.033253-0.28220.389316
280.024630.2090.417521
290.0475350.40330.343944
30-0.034302-0.29110.385922
31-0.104726-0.88860.188581
32-0.036088-0.30620.380161
330.034120.28950.386507
34-0.104742-0.88880.188544
35-0.054953-0.46630.321207
36-0.016003-0.13580.446184
37-0.117463-0.99670.161122
38-0.015715-0.13330.447145
39-0.02648-0.22470.411428
400.0350110.29710.383632
410.0459980.39030.34873
42-0.016765-0.14230.443637
430.0037080.03150.487493
44-0.030173-0.2560.399332
45-0.047691-0.40470.343459
460.0078680.06680.473478
47-0.112325-0.95310.171861
48-0.028834-0.24470.403705
490.1167180.99040.162652
50-0.024075-0.20430.419355
51-0.032841-0.27870.390651
52-0.02561-0.21730.414291
530.0861220.73080.233646
54-0.074241-0.630.265358
550.0292930.24860.402204
56-0.032985-0.27990.390184
570.0062980.05340.478764
58-0.004271-0.03620.485595
59-0.02703-0.22940.409621
60-0.029199-0.24780.402512
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228334996estbzuhsdnebp2x/12mja1228334939.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228334996estbzuhsdnebp2x/12mja1228334939.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228334996estbzuhsdnebp2x/2v4gt1228334939.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228334996estbzuhsdnebp2x/2v4gt1228334939.ps (open in new window)


 
Parameters (Session):
par1 = 12 ;
 
Parameters (R input):
par1 = 60 ; par2 = 0.1 ; 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 2:(par1+1)) {
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(abs(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,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(abs(mytstat),lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')
 




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