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oef 2 opg6 autocorr

*Unverified author*
R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Thu, 11 Dec 2008 15:22:27 -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/11/t1229034223hngdirf5p08a4yp.htm/, Retrieved Thu, 11 Dec 2008 22:23:43 +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/11/t1229034223hngdirf5p08a4yp.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)
 
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Original text written by user:
 
IsPrivate?
No (this computation is public)
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
102.9 102.9 102.9 102.9 104.2 104.7 104.7 104.7 104.7 104.7 104.7 104.7 104.7 104.7 104.7 104.7 106 107 107 107 107 107 107 107 107 107 107 107 107.6 109.9 109.9 109.9 109.9 109.9 109.9 109.9 109.9 109.9 109.9 109.9 110.6 114.3 114.3 114.3 114.3 114.3 114.3 114.3 114.3 114.3 114.3 114.3 114.3 119.01 119.01 119.01 119.01 119.01 119.01 119.01 119.01 119.01 119.01 119.01 121.27 123.54 123.54 123.54 123.54 123.54 123.54 123.54 123.54 123.54 123.54 123.54 123.54 125.24 125.24 125.24 125.24 125.24 125.24 125.24 125.24 125.24 125.24 125.24 125.24 128.35 128.35 128.35 128.35 128.35 128.35 128.35
 
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'Sir Ronald Aylmer Fisher' @ 193.190.124.24


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.8930218.18470
20.8318677.62420
30.7707147.06370
40.709566.50320
50.6484065.94270
60.5932195.43690
70.5380324.93112e-06
80.4808614.40721.5e-05
90.423693.88320.000102
100.3665183.35920.000589
110.3093472.83520.002868
120.1991691.82540.035746
130.1277431.17080.122498
140.0856110.78460.217437
150.0434790.39850.34564
160.0013470.01230.49509
17-0.049138-0.45040.326806
18-0.08411-0.77090.221469
19-0.119083-1.09140.139107
20-0.153253-1.40460.081916
21-0.184243-1.68860.047501
22-0.215233-1.97260.025913
23-0.246223-2.25670.013312
24-0.277385-2.54230.006424
25-0.283469-2.5980.005535
26-0.310722-2.84780.002766
27-0.337975-3.09760.001326
28-0.365228-3.34740.000611
29-0.391288-3.58620.000281
30-0.400641-3.67190.000211
31-0.409995-3.75770.000158
32-0.415915-3.81190.000131
33-0.425015-3.89539.8e-05
34-0.434116-3.97877.3e-05
35-0.443216-4.06215.4e-05
36-0.447688-4.10314.7e-05
37-0.421234-3.86070.000111
38-0.400115-3.66710.000215
39-0.378997-3.47360.000407
40-0.357878-3.280.000756
41-0.345112-3.1630.001087
42-0.320294-2.93550.002147
43-0.295476-2.70810.004099
44-0.27208-2.49370.007302
45-0.247698-2.27020.012878
46-0.223316-2.04670.021906
47-0.198934-1.82330.03591
48-0.160025-1.46670.073102


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.8930218.18470
20.1697711.5560.061737
30.011940.10940.45656
4-0.024508-0.22460.41141
5-0.033691-0.30880.379126
6-0.006423-0.05890.4766
7-0.022694-0.2080.417869
8-0.0423-0.38770.349615
9-0.0418-0.38310.351306
10-0.041414-0.37960.352612
11-0.041623-0.38150.351904
12-0.315737-2.89380.002424
130.0030610.02810.488843
140.1437141.31720.095683
150.0384280.35220.362784
16-0.028593-0.26210.396957
17-0.109542-1.0040.159139
180.0192580.17650.430163
190.0091940.08430.466523
20-0.028652-0.26260.396749
21-0.030597-0.28040.389919
22-0.031499-0.28870.386764
230.0231660.21230.416186
24-0.126755-1.16170.124318
25-0.014074-0.1290.448836
26-0.085084-0.77980.218849
27-0.034469-0.31590.376428
28-0.020817-0.19080.424576
29-0.110482-1.01260.157084
300.024750.22680.410551
310.0107270.09830.46096
32-0.008412-0.07710.469364
33-0.058104-0.53250.297882
34-0.077047-0.70620.241024
35-0.014796-0.13560.446227
36-0.065745-0.60260.274212
370.1882511.72530.044071
380.0362320.33210.370331
39-0.050302-0.4610.322986
40-0.039572-0.36270.358875
41-0.166433-1.52540.06546
420.0579210.53090.298461
430.0302990.27770.390964
440.0154560.14170.443846
45-0.008637-0.07920.468546
46-0.079987-0.73310.232771
47-0.029591-0.27120.39345
48-0.063658-0.58340.280581
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229034223hngdirf5p08a4yp/1ow8f1229034142.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229034223hngdirf5p08a4yp/1ow8f1229034142.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229034223hngdirf5p08a4yp/2hx9m1229034142.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229034223hngdirf5p08a4yp/2hx9m1229034142.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;
 
Parameters (R input):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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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