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*The author of this computation has been verified*
R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Mon, 08 Dec 2008 12:45:51 -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/08/t1228765578wt1p2539t4wxjkf.htm/, Retrieved Mon, 08 Dec 2008 19:46:18 +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/08/t1228765578wt1p2539t4wxjkf.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 «
83.1 89.6 105.7 110.7 110.4 109 106 100.9 114.3 101.2 109.2 111.6 91.7 93.7 105.7 109.5 105.3 102.8 100.6 97.6 110.3 107.2 107.2 108.1 97.1 92.2 112.2 111.6 115.7 111.3 104.2 103.2 112.7 106.4 102.6 110.6 95.2 89 112.5 116.8 107.2 113.6 101.8 102.6 122.7 110.3 110.5 121.6 100.3 100.7 123.4 127.1 124.1 131.2 111.6 114.2 130.1 125.9 119 133.8 107.5 113.5 134.4 126.8 135.6 139.9 129.8 131 153.1 134.1 144.1 155.9 123.3 128.1 144.3 153 149.9 150.9 141 138.9 157.4 142.9 151.7 161 138.5 135.9 151.5 164 159.1 157 142.1 144.8 152.1 154.6 148.7 157.7 146.7
 
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
10.8199928.0760
20.7216787.10770
30.7562117.44780
40.6899796.79550
50.7210837.10180
60.7979657.8590
70.689266.78840
80.6162876.06970
90.6440786.34340
100.5441895.35960
110.5888545.79950
120.7006116.90020
130.5607035.52230
140.4594864.52549e-06
150.4764284.69234e-06
160.4116884.05475.1e-05
170.4252314.1883.1e-05
180.4893714.81973e-06
190.372073.66450.000202
200.305183.00570.001687
210.3127333.08010.001346
220.2262122.22790.014098
230.2590112.5510.006153
240.3386463.33530.000604
250.2265092.23090.013997
260.1286471.2670.10409
270.1329311.30920.096777
280.0652470.64260.260996
290.079110.77910.218895
300.1231471.21290.114065
310.0361120.35570.361433
32-0.022724-0.22380.411688
33-0.020478-0.20170.420294
34-0.084309-0.83030.204191
35-0.058994-0.5810.281285
360.0192260.18930.425107
37-0.072781-0.71680.237606
38-0.148724-1.46480.07311
39-0.142922-1.40760.081221
40-0.184046-1.81260.03649
41-0.173538-1.70920.04531
42-0.129759-1.2780.102153
43-0.196203-1.93240.028115
44-0.242659-2.38990.009392
45-0.240434-2.3680.009934
46-0.295433-2.90970.002243
47-0.271673-2.67570.004378
48-0.207223-2.04090.021988
49-0.267432-2.63390.004913
50-0.328399-3.23440.000834
51-0.320976-3.16120.001048
52-0.344711-3.3950.000498
53-0.326791-3.21850.000876
54-0.281327-2.77080.003352
55-0.320419-3.15580.001066
56-0.344986-3.39770.000493
57-0.334385-3.29330.000691
58-0.361123-3.55660.000291
59-0.340677-3.35530.000566
60-0.274169-2.70030.004088


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.8199928.0760
20.1504561.48180.070815
30.4063234.00186.1e-05
4-0.105007-1.03420.151808
50.4110834.04875.2e-05
60.2262752.22860.014076
7-0.221096-2.17750.015933
8-0.097925-0.96450.168608
90.0381540.37580.353954
10-0.296966-2.92480.002146
110.3615943.56130.000287
120.1506811.4840.070521
13-0.353782-3.48440.000371
14-0.197475-1.94490.027341
150.0292310.28790.387022
160.044320.43650.331722
17-0.020363-0.20060.420735
18-0.08725-0.85930.196142
19-0.06133-0.6040.273618
200.0090210.08890.464692
21-0.070293-0.69230.245199
220.0850940.83810.202023
230.0629360.61980.268406
24-0.093272-0.91860.180286
25-0.041806-0.41170.340718
26-0.084293-0.83020.204235
27-0.005449-0.05370.478655
28-0.066967-0.65960.255552
29-0.0333-0.3280.371823
30-0.089266-0.87920.190742
310.1400871.37970.085426
32-0.07836-0.77180.221066
330.0843090.83030.204191
34-0.008036-0.07910.468541
350.0453990.44710.327889
360.0264830.26080.397391
37-0.075216-0.74080.230305
38-0.056378-0.55530.289998
390.0648160.63840.262371
40-0.050344-0.49580.310567
41-0.069709-0.68660.247001
42-0.000286-0.00280.498878
43-0.034018-0.3350.369161
440.0409470.40330.343816
45-0.075338-0.7420.229943
46-0.017477-0.17210.431847
470.0022140.02180.491325
48-0.064942-0.63960.261968
490.0268160.26410.396128
500.0233610.23010.409258
51-0.02789-0.27470.39207
52-0.01138-0.11210.455497
530.0479650.47240.31885
54-0.03079-0.30330.381174
550.1092191.07570.14237
56-0.061622-0.60690.272666
570.0395280.38930.348953
580.0089220.08790.465081
59-0.06719-0.66170.254853
600.0245640.24190.404673
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228765578wt1p2539t4wxjkf/1hga21228765546.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228765578wt1p2539t4wxjkf/1hga21228765546.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228765578wt1p2539t4wxjkf/2lag61228765546.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228765578wt1p2539t4wxjkf/2lag61228765546.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;
 
Parameters (R input):
par1 = 60 ; 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 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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