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Autocorrelation Japan

*Unverified author*
R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Sun, 14 Dec 2008 10:49:08 -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/14/t1229277147g4irizulm77o3k5.htm/, Retrieved Sun, 14 Dec 2008 18:52:27 +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/14/t1229277147g4irizulm77o3k5.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 «
122.36 123.33 123.04 124.53 125.13 125.85 126.50 126.53 127.07 124.55 124.90 124.32 122.84 123.31 123.31 124.87 124.64 124.73 124.90 124.04 123.28 123.86 122.29 124.09 124.54 125.65 125.70 125.53 125.61 125.55 125.41 127.60 124.68 124.41 126.43 126.38 125.78 124.70 125.07 125.25 126.58 127.13 125.82 123.70 124.39 123.70 124.42 121.05 121.02 123.23 121.32 120.91 120.72 123.31 119.58 119.53 120.59 118.63 118.47 111.81 114.71 117.34 115.77 118.38 117.84 118.83 120.02 116.21 117.08 120.20 119.83 118.92 118.03 117.71 119.55 116.13 115.97 115.99 114.96 116.46 116.55 113.05 117.44 118.84 117.06 117.54 119.31 118.72 121.55 122.61 121.53 123.31 124.07 123.59 122.97 123.22 123.04 122.96 122.81 122.81 122.62 120.82 119.41 121.56 121.59 118.50 118.77 118.86 117.60 119.90 121.83 121.84 122.12 122.12 121.36 119.66 119.32 120.36 117.06 117.48 115.60 113.86 116.92 117.75 117.75 115.31 116.28 115.22 115.65 115.11 118.67 118.04 116.50 119.78 119.95 120.37 119.79 119.43 121.06 121.74 121.09 122.97 120.50 117.18 115.03 113.36 112.59 111.65 111.98 114.87 114.67 114.09 114.77 117.05 117.22 113.18 110.95 112.14 112.72 110.01 110.29 110.74 110.32 105.89 108.97 109.34 106.57 99.49 101.81 104.29 109.73 105.06 107.97 108.13 109.86 108.95 111.20 110.69 106.10 105.68 104.12 104.71 104.30 103.52 107.76 107.80 107.30 108.64 105.03 108.30 107.21 109.27 109.50 111.68 111.80 111.75 106.68 106.37 105.76 109.01 109.01 109.01 109.01 107.69 105.19 105.48 102.22 100.54 105.00 105.44 107.89 108.64 106.70 109.10 105.23 108.41 108.80 110.39 110.22 110.86 108.58 107.70 106.62 109.84 107.16 107.26 108.70 109.85 109.41 112.36 111.03 110.67 109.21 113.58 113.88 114.08 112.33 113.92 114.41 114.57 115.35 113.13 113.29 112.56 113.06 113.46 115.39 116.62 117.04 117.42 115.62 115.16 115.69 112.85 114.05 112.00 113.74 116.26 118.63 116.49 118.23 116.83 118.82 114.36 112.02 113.24 109.75 110.33 112.86 113.04 113.80 110.90 109.96 108.69 108.84 108.47 108.07 107.94 108.11 108.11 106.81 105.58 105.61 106.52 103.86 104.60 104.73 105.12 104.76 103.85 103.83 103.22 101.64 102.13 104.33 104.92 107.78 104.49 102.80 102.86 104.51 104.73 102.58 99.93 101.41 101.05 99.86 101.11 100.89 101.09 98.31 98.08 99.55 99.62 97.37 98.16 97.98 98.15 97.10 97.24 96.70 96.64 100.65 96.75 97.74 97.92 98.34 93.84 97.80 96.20 95.99 95.18 95.95 92.23 91.78 92.97 89.76 92.88 96.23 95.79 93.97 93.90 93.60 93.96 88.69 88.57 85.62 86.25 85.33 83.33 77.78 78.70 72.05 80.75 81.41 82.65 75.85 75.70 78.25 77.41 76.84 74.25 74.95 68.78 73.21 73.26 78.67 75.63 74.99 83.87 79.62 80.13 79.76 78.20 78.05 79.05 73.32 75.17 73.26 73.72 73.57 70.60 71.25 74.22 73.32 73.01 74.21 75.32 71.73 71.94 72.94 72.47 71.94 74.30 74.30
 
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
0119.84940
1-0.21911-4.34920.999991
2-0.031684-0.62890.735113
3-0.055898-1.10950.866062
40.0558521.10860.134135
5-0.041618-0.82610.795375
6-0.051257-1.01740.845211
7-0.082678-1.64110.949214
80.1248022.47730.006829
9-0.096878-1.9230.972398
10-0.011146-0.22120.587488
110.0862131.71130.043909
12-0.015506-0.30780.620797
130.0238960.47430.317765
14-0.094921-1.88410.969858
15-0.033475-0.66450.746608
160.095881.90320.028874
170.0061430.12190.451506
18-0.00415-0.08240.532805
190.0182930.36310.358361
20-0.030253-0.60050.725739
210.0676831.34350.089948
22-0.062631-1.24320.892731
230.034870.69220.244623
240.0307210.60980.271174
250.0218820.43430.332139
26-0.03938-0.78170.782562
270.0320620.63640.26244
28-0.070849-1.40630.91979
290.0332420.65980.254873
30-0.016722-0.33190.629937
310.0420170.8340.202389
32-0.039602-0.78610.78385
33-0.128569-2.5520.994457
340.0559671.11090.133643
350.0073320.14550.442181
360.0088070.17480.430662
37-0.069081-1.37120.914455
380.0405640.80520.210604
390.0274290.54450.293218
400.0447750.88880.187337
41-0.036176-0.71810.763431
420.0263520.52310.300612
430.0526471.0450.148328
44-0.071677-1.42280.9222
45-0.00413-0.0820.532644
460.0015950.03170.487383
470.084481.67690.04718
48-0.012674-0.25160.599246
490.0174730.34680.364451
50-0.056325-1.1180.867879
510.0147180.29220.385163
52-0.070605-1.40150.919069
530.058781.16670.122009
54-0.008784-0.17430.56916
55-0.03808-0.75590.774909
56-0.13356-2.65110.995827
570.061011.2110.113308
58-0.012181-0.24180.595461
590.0806631.60110.055077


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
0-0.21911-4.34920.999991
1-0.083712-1.66160.951309
2-0.086493-1.71680.956602
30.021230.42140.336842
4-0.033782-0.67060.748552
5-0.071746-1.42410.922398
6-0.11964-2.37480.990981
70.0672921.33570.091207
8-0.076503-1.51850.935159
9-0.051619-1.02460.846911
100.0788591.56530.059158
11-0.011406-0.22640.5895
120.0276570.5490.29167
13-0.081863-1.62490.947511
14-0.081725-1.62220.947219
150.0477940.94870.171684
160.0444890.88310.188866
170.030590.60720.272034
180.016340.32430.372923
19-0.022955-0.45570.675554
200.0442370.87810.190216
21-0.026703-0.530.701807
220.0375860.74610.228035
230.0355410.70550.240465
240.0634691.25980.10424
250.0077040.15290.439271
260.0222820.44230.329266
27-0.061632-1.22340.889037
28-0.023916-0.47470.682376
290.0228160.45290.325439
300.0586371.16390.122584
31-0.019762-0.39230.652466
32-0.157622-3.12870.999057
33-0.022589-0.44840.672936
34-0.026899-0.53390.703153
350.0071930.14280.443271
36-0.074719-1.48310.93058
37-0.00181-0.03590.51432
380.0201660.40030.344581
390.0344960.68470.246961
400.0034470.06840.472746
41-0.0364-0.72250.764799
420.0654521.29920.097321
43-0.023076-0.4580.676411
440.0155160.3080.379129
45-0.00889-0.17650.569988
460.0527451.0470.147882
470.0309660.61470.269568
480.0846291.67980.04689
49-0.028438-0.56450.713624
50-0.034625-0.68730.753847
51-0.06309-1.25230.8944
520.0627941.24640.106673
530.0448550.89040.18691
54-0.056228-1.11610.867469
55-0.179873-3.57040.9998
56-0.02183-0.43330.667486
57-0.012238-0.24290.595906
580.0419350.83240.202846
590.0216680.43010.33368
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229277147g4irizulm77o3k5/14am01229276943.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229277147g4irizulm77o3k5/14am01229276943.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229277147g4irizulm77o3k5/2hpgx1229276943.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229277147g4irizulm77o3k5/2hpgx1229276943.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 2.0 ; par3 = 1 ; par4 = 0 ; par5 = 1 ;
 
Parameters (R input):
par1 = 60 ; par2 = 2.0 ; par3 = 1 ; par4 = 0 ; par5 = 1 ;
 
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 1:par1) {
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(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-1,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(mytstat,lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')
 





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