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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: Tue, 09 Dec 2008 03:52:15 -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/09/t122881995767tnzraz19irydg.htm/, Retrieved Tue, 09 Dec 2008 10:52:39 +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/09/t122881995767tnzraz19irydg.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 «
5,1 4,9 5,2 5,1 4,6 3,7 3,9 3,1 2,8 2,6 2,2 1,8 1,3 1,2 1,4 1,3 1,3 1,9 1,9 2,1 2,0 1,9 1,9 1,9 1,8 1,7 1,6 1,7 1,9 1,7 1,3 2,0 2,0 2,3 2,0 1,7 2,3 2,4 2,4 2,3 2,1 2,1 2,5 2,0 1,8 1,7 1,9 2,1 1,4 1,6 1,7 1,6 1,9 1,6 1,1 1,3 1,6 1,6 1,7 1,6 1,7 1,6 1,5 1,6 1,1 1,5 1,4 1,3 0,9 1,2 0,9 1,1 1,3 1,3 1,4 1,2 1,7 2,0 3,0 3,1 3,2 2,7 2,8 3,0 2,8 3,1 3,1 3,2 3,1 2,7 2,2 2,2 2,1 2,3 2,5 2,3 2,6
 
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
10.8451698.3240
20.7474517.36150
30.635776.26160
40.5348435.26760
50.4317954.25272.4e-05
60.32043.15560.001067
70.1952611.92310.0287
80.0918210.90430.184029
90.0282740.27850.390622
10-0.050345-0.49580.310564
11-0.103938-1.02370.154268
12-0.17397-1.71340.044916
13-0.121806-1.19970.116598
14-0.083764-0.8250.205704
15-0.099465-0.97960.164856
16-0.084211-0.82940.204462
17-0.098185-0.9670.167971
18-0.106677-1.05060.148015
19-0.104677-1.03090.152564


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.8451698.3240
20.1160011.14250.128033
3-0.07349-0.72380.235467
4-0.039998-0.39390.347247
5-0.06306-0.62110.268005
6-0.104175-1.0260.153721
7-0.143417-1.41250.080502
8-0.041019-0.4040.343555
90.073990.72870.233965
10-0.081495-0.80260.212075
11-0.007901-0.07780.469069
12-0.096694-0.95230.171649
130.3474063.42160.000456
140.0737610.72650.234654
15-0.271929-2.67820.004347
160.0350270.3450.365431
17-0.071827-0.70740.240502
18-0.103994-1.02420.154139
19-0.057211-0.56350.28721
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t122881995767tnzraz19irydg/11hdi1228819934.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t122881995767tnzraz19irydg/11hdi1228819934.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t122881995767tnzraz19irydg/26y3p1228819934.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t122881995767tnzraz19irydg/26y3p1228819934.ps (open in new window)


 
Parameters (Session):
par1 = Default ; par2 = -0.5 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;
 
Parameters (R input):
par1 = Default ; par2 = -0.5 ; 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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This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa


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