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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: Wed, 10 Dec 2008 01:02:44 -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/10/t12288961866uwo8p2ekuy9r8a.htm/, Retrieved Wed, 10 Dec 2008 08:03:08 +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/10/t12288961866uwo8p2ekuy9r8a.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 «
19.644 18.483 18.079 19.178 18.391 18.441 18.584 20.108 20.148 19.394 17.745 17.696 17.032 16.438 15.683 15.594 15.713 15.937 16.171 15.928 16.348 15.579 15.305 15.648 14.954 15.137 15.839 16.05 15.168 17.064 16.005 14.886 14.931 14.544 13.812 13.031 12.574 11.964 11.451 11.346 11.353 10.702 10.646 10.556 10.463 10.407 10.625 10.872 10.805 10.653 10.574 10.431 10.383 10.296 10.872 10.635 10.297 10.57 10.662 10.709 10.413 10.846 10.371 9.924 9.828 9.897 9.721 10.171 10.738 10.812 10.511 10.244 10.368 10.457 10.186 10.166 10.827 10.997 10.94 10.756 10.893 10.236 9.96 10.018 10.063 10.002 9.728 10.002 10.177 9.948 9.394 9.308 9.155 9.103 9.732 9.984
 
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
10.9593479.39960
20.9251269.06430
30.8934578.75410
40.8507868.3360
50.810197.93820
60.773957.58310
70.7399567.25010
80.6958766.81820
90.6510356.37880
100.6067245.94470
110.5732375.61660
120.5369215.26070
130.5046714.94472e-06
140.4766744.67045e-06
150.4551374.45941.1e-05
160.4367214.2792.2e-05
170.41964.11124.1e-05
180.4023263.9427.7e-05
190.3806593.72970.000162


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.9593479.39960
20.0600070.58790.278975
30.0205470.20130.420439
4-0.149966-1.46940.072502
5-0.016744-0.16410.435016
60.0276820.27120.393398
70.0354550.34740.364531
8-0.144931-1.420.079419
9-0.068101-0.66730.253106
10-0.039292-0.3850.350552
110.154621.5150.066535
12-0.028838-0.28260.389064
130.0173780.17030.43258
14-0.021204-0.20780.417929
150.1092581.07050.143539
160.0540920.530.298672
170.019240.18850.425435
18-0.088229-0.86450.194745
19-0.08232-0.80660.210954
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t12288961866uwo8p2ekuy9r8a/14b2m1228896162.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t12288961866uwo8p2ekuy9r8a/14b2m1228896162.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t12288961866uwo8p2ekuy9r8a/22kit1228896162.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t12288961866uwo8p2ekuy9r8a/22kit1228896162.ps (open in new window)


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