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part 3

*Unverified author*
R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Sun, 07 Dec 2008 11:31:16 -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/07/t1228674701y6mk3hxqgqtrnnx.htm/, Retrieved Sun, 07 Dec 2008 18:31:41 +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/07/t1228674701y6mk3hxqgqtrnnx.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 «
2174.56 2196.72 2350.44 2440.25 2408.64 2472.81 2407.6 2454.62 2448.05 2497.84 2645.64 2756.76 2849.27 2921.44 2981.85 3080.58 3106.22 3119.31 3061.26 3097.31 3161.69 3257.16 3277.01 3295.32 3363.99 3494.17 3667.03 3813.06 3917.96 3895.51 3801.06 3570.12 3701.61 3862.27 3970.1 4138.52 4199.75 4290.89 4443.91 4502.64 4356.98 4591.27 4696.96 4621.4 4562.84 4202.52 4296.49 4435.23 4105.18 4116.68 3844.49 3720.98 3674.4 3857.62 3801.06 3504.37 3032.6 3047.03 2962.34
 
Output produced by software:


Summary of computational 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
10.2592331.97430.02656
20.084850.64620.26035
30.034980.26640.395437
40.0084760.06460.474375
50.2361671.79860.038644
60.2159571.64470.052723
70.0615550.46880.320488
80.149011.13480.130558
9-0.026477-0.20160.420451
100.0359140.27350.392715
110.1635911.24590.10891
120.0840110.63980.262408
130.0206640.15740.437749
140.0506450.38570.350564
15-0.036802-0.28030.390132
16-0.024185-0.18420.427255
17-0.071697-0.5460.29357
18-0.091841-0.69940.243537
19-0.046511-0.35420.36223
20-0.054993-0.41880.338448
21-0.069724-0.5310.298724
22-0.105923-0.80670.211571
23-0.113867-0.86720.194707
24-0.036833-0.28050.390042
250.1353771.0310.15341
260.0658250.50130.309026
270.0433270.330.371306
28-0.088228-0.67190.25215
29-0.156507-1.19190.119073
30-0.110645-0.84260.201444
31-0.058206-0.44330.329604
320.0001189e-040.499644
33-0.043275-0.32960.371455
34-0.047442-0.36130.359591
35-0.126941-0.96680.168841
36-0.031449-0.23950.405778
37-0.028998-0.22080.412994
38-0.045087-0.34340.366279
390.0065710.050.480131
40-0.065289-0.49720.310455
41-0.082597-0.6290.265897
42-0.040143-0.30570.380455
43-0.103841-0.79080.216132
44-0.020279-0.15440.4389
45-0.095563-0.72780.234837
46-0.09499-0.72340.236165
47-0.048861-0.37210.355583
48-0.039709-0.30240.381708
49-0.027472-0.20920.417506
500.0259880.19790.421899
510.003370.02570.489806
52-0.00193-0.01470.494162
53-0.072058-0.54880.292632
54-0.055387-0.42180.33736
55-0.009655-0.07350.470818
56-0.011521-0.08770.465192
57-0.000706-0.00540.497866
58NANANA
59NANANA
60NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.2592331.97430.02656
20.018920.14410.442965
30.0091110.06940.472459
4-0.004488-0.03420.486425
50.2506761.90910.030601
60.1100170.83790.202774
7-0.043724-0.3330.370169
80.1407871.07220.144035
9-0.092938-0.70780.240955
100.0138230.10530.458261
110.1028870.78360.218242
120.0086190.06560.473944
13-0.086142-0.6560.257196
140.0586680.44680.32834
15-0.035712-0.2720.393303
16-0.107381-0.81780.208412
17-0.09101-0.69310.245503
18-0.055618-0.42360.33672
19-0.06619-0.50410.308054
20-0.035801-0.27270.393043
21-0.007706-0.05870.476702
22-0.102226-0.77850.21971
23-0.021667-0.1650.434755
240.0686610.52290.301517
250.2090541.59210.058399
260.0326890.2490.402139
270.1103160.84010.202139
28-0.026333-0.20050.420878
29-0.091426-0.69630.244517
30-0.100086-0.76220.224505
31-0.063506-0.48360.315228
32-0.02964-0.22570.411101
33-0.111386-0.84830.199882
340.0638590.48630.31428
35-0.139255-1.06050.146648
360.0188910.14390.443052
37-0.050446-0.38420.351124
38-0.034652-0.26390.396396
390.0062140.04730.481208
40-0.00576-0.04390.482579
410.0149430.11380.454893
420.0222620.16950.432979
430.0167090.12730.449591
440.0503730.38360.351328
45-0.068156-0.51910.302846
46-0.013534-0.10310.459129
470.0099560.07580.46991
48-0.009631-0.07330.470891
49-0.005571-0.04240.483153
50-0.024096-0.18350.427519
51-0.002502-0.01910.492431
52-0.096507-0.7350.232658
53-0.080465-0.61280.271201
54-0.000454-0.00350.498627
550.0180950.13780.445435
560.0207370.15790.437532
570.02510.19120.424534
58NANANA
59NANANA
60NANANA
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228674701y6mk3hxqgqtrnnx/1f8931228674670.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228674701y6mk3hxqgqtrnnx/1f8931228674670.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228674701y6mk3hxqgqtrnnx/25y2q1228674670.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228674701y6mk3hxqgqtrnnx/25y2q1228674670.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;
 
Parameters (R input):
par1 = 60 ; par2 = 1 ; par3 = 1 ; 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 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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Software written by Ed van Stee & Patrick Wessa


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