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Toon Wouters

*Unverified author*
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 10:11:58 -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/t1228842903ucmrzz93jt5zh57.htm/, Retrieved Tue, 09 Dec 2008 17:15:05 +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/t1228842903ucmrzz93jt5zh57.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 «
94 118.6 135 132.7 110.1 111 159.4 129.9 124.8 140.5 120.6 121.6 107.3 130.7 134.9 128.3 99.8 96.7 134.1 131.6 118 133.2 109.3 111.9 98.3 116.3 113.6 121.3 93.7 92.3 132 114.3 123.1 117.3 106 107.5 104.3 112.6 113.9 132.8 88.8 97.7 131.2 116.1 124.7 128.2 105 102.3 98.4 111.1 125.3 123.6 86.7 100.6 123.3 112.2 120.8 114.8 107.3 107.5 93.1 112.4 127.9 120.7 91 98.5 118.9 113.8 113.8 118.7 105.1 101.4 84.1 107.2 119.9 105.4 88.6 90.5 108.5 104.7 100 113.1 96.7 98.5
 
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'George Udny Yule' @ 72.249.76.132


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.2699612.47420.007682
2-0.09848-0.90260.184663
30.0600430.55030.291786
40.1755561.6090.055685
50.2921262.67740.004461
60.2245442.0580.021346
70.2460062.25470.013377
80.0920690.84380.200581
9-0.069846-0.64010.261909
10-0.201601-1.84770.034082
110.1469991.34730.090759
120.6319445.79190
130.0843440.7730.220839
14-0.194548-1.78310.039094
15-0.114834-1.05250.1478
16-0.014606-0.13390.446916
170.1261121.15580.125512
180.1070480.98110.164678
190.0839650.76950.221863
20-0.016522-0.15140.440001
21-0.141402-1.2960.099267
22-0.253145-2.32010.01138
230.0794280.7280.234329
240.443934.06875.3e-05
250.0311520.28550.387977
26-0.142052-1.30190.09825
27-0.144327-1.32280.09475
28-0.03809-0.34910.363945
290.0746660.68430.247827
300.0879460.8060.211248
310.0764660.70080.242674
32-0.015355-0.14070.444212
33-0.118556-1.08660.140164
34-0.222906-2.0430.022095
350.060040.55030.291796
360.3309833.03350.001608
370.0207180.18990.424928
38-0.139682-1.28020.101998
39-0.105461-0.96660.168269
40-0.029959-0.27460.392158
410.0248930.22810.410043
420.0381310.34950.363803
430.0526970.4830.315185
440.0014680.01350.494649
45-0.132395-1.21340.114185
46-0.196737-1.80310.037477
470.0287110.26310.396544
480.2301432.10930.018948
490.0021810.020.49205
50-0.134603-1.23370.110385
51-0.117068-1.07290.143184
52-0.025163-0.23060.409083
530.0018770.01720.493158
54-0.028855-0.26450.396035
550.0067660.0620.475352
56-0.020848-0.19110.424464
57-0.136143-1.24780.107791
58-0.189491-1.73670.043052
59-0.05032-0.46120.322927
600.1033680.94740.173079


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.2699612.47420.007682
2-0.184829-1.6940.046986
30.1579541.44770.075716
40.1016810.93190.177023
50.2673032.44990.008184
60.1201631.10130.136954
70.2736852.50840.007026
8-0.037722-0.34570.365204
9-0.095319-0.87360.192409
10-0.403634-3.69940.000192
110.1344661.23240.110619
120.5165094.73394e-06
13-0.167227-1.53270.064558
14-0.021173-0.19410.423301
15-0.200067-1.83360.035124
16-0.133202-1.22080.112785
17-0.062242-0.57050.284945
180.0356580.32680.372312
19-0.050148-0.45960.323489
200.1174991.07690.142305
210.0861520.78960.215993
220.0216630.19850.421548
230.0159660.14630.442007
240.0274830.25190.400871
25-0.057471-0.52670.299885
260.0911590.83550.202906
27-0.080972-0.74210.230043
280.0446670.40940.341653
29-0.143321-1.31360.096286
300.0231870.21250.416112
31-0.023739-0.21760.414147
320.0572220.52440.300675
330.0256220.23480.407455
340.0488470.44770.327763
35-0.052509-0.48120.315795
360.0150430.13790.445334
37-0.073007-0.66910.252628
38-0.120304-1.10260.136674
390.1315781.20590.115615
400.0128750.1180.453173
410.0316350.28990.386288
42-0.060907-0.55820.289088
43-0.004085-0.03740.485113
44-0.029309-0.26860.394439
45-0.021357-0.19570.422644
460.0216050.1980.421757
47-0.024978-0.22890.409742
480.0168530.15450.438809
490.0097420.08930.464534
50-0.025673-0.23530.407277
51-0.109196-1.00080.159899
520.0555250.50890.306081
530.0252540.23150.408762
54-0.065298-0.59850.27557
550.0166280.15240.439618
56-0.098511-0.90290.184589
57-0.016316-0.14950.440742
58-0.002555-0.02340.490685
59-0.091091-0.83490.203082
60-0.051992-0.47650.317474
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228842903ucmrzz93jt5zh57/1vqzs1228842717.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228842903ucmrzz93jt5zh57/1vqzs1228842717.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228842903ucmrzz93jt5zh57/281vv1228842717.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228842903ucmrzz93jt5zh57/281vv1228842717.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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