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Taak

*Unverified author*
R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Wed, 17 Dec 2008 11:43:02 -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/17/t12295395091ygv6inlq038u4i.htm/, Retrieved Wed, 17 Dec 2008 19:45:11 +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/17/t12295395091ygv6inlq038u4i.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 «
104.3 103.9 103.9 103.9 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.0 108.2 112.3 111.3 111.3 115.3 117.2 118.3 118.3 118.3 119.0 120.6 122.6 122.6 127.4 125.9 121.5 118.8 121.6 122.3 122.7 120.8 120.1 120.1 120.1 120.1 128.4 129.8 129.8 128.6 128.6 133.7 130.0 125.9 129.4 129.4 130.6 130.6 130.6 130.8 129.7 125.8 126.0 125.6 125.4 124.7 126.9 129.1
 
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'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.950988.18060
20.9023317.76210
30.8673387.46110
40.831277.15090
50.8005396.88650
60.7652846.58320
70.7360456.33170
80.7039816.05590
90.6558375.64170
100.6083155.23291e-06
110.5718844.91953e-06
120.5405824.65037e-06
130.4987824.29072.7e-05
140.4524983.89250.000108
150.421933.62960.00026
160.3934323.38440.000572
170.3495843.00720.0018
180.3100252.66690.004698
190.2747992.36390.010355
200.2396992.0620.021361
210.1957571.6840.048201
220.1479751.27290.103515
230.1151620.99070.16254
240.0847780.72930.234063
250.0430420.37030.356123
26-0.002385-0.02050.491843
27-0.050326-0.43290.333167
28-0.097348-0.83740.202526
29-0.135299-1.16390.124105
30-0.180051-1.54890.062841
31-0.214517-1.84530.034494
32-0.23943-2.05970.021475
33-0.272037-2.34010.010987
34-0.307278-2.64330.005008
35-0.335354-2.88480.002564
36-0.362751-3.12050.001287
37-0.386264-3.32280.000694
38-0.402762-3.46470.000443
39-0.410187-3.52860.000361
40-0.412902-3.55190.000335
41-0.407889-3.50880.000385
42-0.406701-3.49860.000398
43-0.413329-3.55560.000331
44-0.41611-3.57950.000306
45-0.413414-3.55630.00033
46-0.412563-3.5490.000338
47-0.403446-3.47060.000435
48-0.398109-3.42470.000504


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.950988.18060
2-0.021251-0.18280.427723
30.1173011.00910.158118
4-0.029934-0.25750.398753
50.0562690.4840.314893
6-0.068864-0.59240.277696
70.0637640.54850.292495
8-0.064904-0.55830.289153
9-0.163616-1.40750.081736
10-0.039996-0.34410.36589
110.059660.51320.304664
120.0240790.20710.418237
13-0.123406-1.06160.145939
14-0.056087-0.48250.315445
150.1125620.96830.168026
160.0031420.0270.489255
17-0.144001-1.23870.109678
180.0222920.19180.424227
19-0.026652-0.22930.409646
20-0.034804-0.29940.382739
21-0.101465-0.87280.192789
22-0.043435-0.37360.354869
230.0440580.3790.352886
24-0.023844-0.20510.419023
25-0.083348-0.7170.237819
26-0.063953-0.55010.291937
27-0.126515-1.08830.139993
28-0.07086-0.60960.272011
290.1161390.99910.160509
30-0.117818-1.01350.15706
31-0.012938-0.11130.455842
320.0463140.39840.345739
33-0.002542-0.02190.491307
34-0.065608-0.56440.2871
350.0165160.14210.443704
36-0.072188-0.6210.268259
370.0382270.32880.371603
380.0659580.56740.286083
390.0472860.40680.342675
400.0125060.10760.457311
410.1099120.94550.17374
42-0.011142-0.09590.461949
43-0.073622-0.63330.26424
44-0.036679-0.31550.376627
450.0428510.36860.356733
460.0102170.08790.465099
470.0268770.23120.408897
48-0.095873-0.82470.206088
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t12295395091ygv6inlq038u4i/10poq1229539380.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t12295395091ygv6inlq038u4i/10poq1229539380.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t12295395091ygv6inlq038u4i/2tcm41229539380.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t12295395091ygv6inlq038u4i/2tcm41229539380.ps (open in new window)


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