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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: Sat, 13 Dec 2008 10:43:49 -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/13/t1229190307kyvcqzzovlku0tc.htm/, Retrieved Sat, 13 Dec 2008 18:45:09 +0100
 
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/13/t1229190307kyvcqzzovlku0tc.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},
}
 
Original text written by user:
 
IsPrivate?
No (this computation is public)
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
117,09 116,77 119,39 122,49 124,08 118,29 112,94 113,79 114,43 118,70 120,36 118,27 118,34 117,82 117,65 118,18 121,02 124,78 131,16 130,14 131,75 134,73 135,35 140,32 136,35 131,60 128,90 133,89 138,25 146,23 144,76 149,30 156,80 159,08 165,12 163,14 153,43 151,01 154,72 154,58 155,63 161,67 163,51 162,91 164,80 164,98 154,54 148,60 149,19 150,61
 
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'George Udny Yule' @ 72.249.76.132


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.95366.7430
20.88996.29250
30.8341785.89850
40.7820655.531e-06
50.7306935.16682e-06
60.6762234.78168e-06
70.6134874.3383.5e-05
80.554643.92190.000134
90.5059573.57770.000391
100.4646663.28570.000932
110.4121252.91420.002661
120.336922.38240.010522
130.2623091.85480.034763
140.1851971.30950.098169
150.09790.69230.245989
160.0139580.09870.460886
17-0.059042-0.41750.339054
18-0.119314-0.84370.201434
19-0.157627-1.11460.135178
20-0.191548-1.35440.090841
21-0.230386-1.62910.054791
22-0.262988-1.85960.034415
23-0.293652-2.07640.021507
24-0.310606-2.19630.016367
25-0.33589-2.37510.01071
26-0.375524-2.65540.0053
27-0.418529-2.95940.00235
28-0.445413-3.14950.001379
29-0.459657-3.25030.001033
30-0.456549-3.22830.001101
31-0.456594-3.22860.0011
32-0.4573-3.23360.001084
33-0.443719-3.13760.001427
34-0.42081-2.97560.002248
35-0.385642-2.72690.004397
36-0.352746-2.49430.007986
37-0.330886-2.33970.011666
38-0.30946-2.18820.016677
39-0.28178-1.99250.025896
40-0.256149-1.81120.038056
41-0.231667-1.63810.053836
42-0.201691-1.42620.080017
43-0.170066-1.20250.117408
44-0.134973-0.95440.172235
45-0.098372-0.69560.244952
46-0.066021-0.46680.321321
47-0.047205-0.33380.369966
48-0.034114-0.24120.405184
49-0.017897-0.12650.449903
50NANANA
51NANANA
52NANANA
53NANANA
54NANANA
55NANANA
56NANANA
57NANANA
58NANANA
59NANANA
60NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.95366.7430
2-0.214597-1.51740.067728
30.0936830.66240.255366
4-0.031378-0.22190.412658
5-0.017662-0.12490.450555
6-0.065389-0.46240.32291
7-0.11292-0.79850.214189
80.0362810.25650.399292
90.0389820.27560.391979
100.0237230.16770.43373
11-0.171584-1.21330.115361
12-0.23748-1.67920.049673
130.0255840.18090.428586
14-0.167611-1.18520.120773
15-0.191828-1.35640.090528
16-0.018287-0.12930.448815
170.0515940.36480.358389
180.0898950.63570.263951
190.1458161.03110.153734
20-0.082849-0.58580.280312
21-0.069875-0.49410.311704
220.0826310.58430.280827
23-0.082601-0.58410.280897
240.1045950.73960.2315
25-0.164782-1.16520.124737
26-0.06802-0.4810.316317
27-0.069241-0.48960.313276
280.0883350.62460.26753
29-0.058318-0.41240.340915
300.0410360.29020.386443
31-0.101353-0.71670.238456
32-0.004116-0.02910.488448
330.075660.5350.297513
340.002820.01990.492086
350.1406190.99430.162426
360.0172340.12190.451749
370.0103780.07340.470897
38-0.003046-0.02150.491452
390.0016650.01180.495327
40-0.046432-0.32830.372018
41-0.095223-0.67330.251919
420.1073130.75880.225761
43-0.122627-0.86710.195013
44-0.034328-0.24270.404602
450.0311840.22050.413189
46-0.09065-0.6410.262226
47-0.134255-0.94930.173511
48-0.073088-0.51680.303784
49-0.014521-0.10270.459314
50NANANA
51NANANA
52NANANA
53NANANA
54NANANA
55NANANA
56NANANA
57NANANA
58NANANA
59NANANA
60NANANA
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229190307kyvcqzzovlku0tc/1ndta1229190227.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229190307kyvcqzzovlku0tc/1ndta1229190227.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229190307kyvcqzzovlku0tc/2czgp1229190227.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229190307kyvcqzzovlku0tc/2czgp1229190227.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')
 




Copyright

Creative Commons License

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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