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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 11:47:42 -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/t12295396964hdaegwhdjrby73.htm/, Retrieved Wed, 17 Dec 2008 19:48:16 +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/t12295396964hdaegwhdjrby73.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 time1 seconds
R Server'Sir Ronald Aylmer Fisher' @ 193.190.124.24


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.0885880.69190.245814
20.0164810.12870.449001
30.1630641.27360.103823
4-0.249472-1.94840.027983
50.1144740.89410.1874
6-0.009348-0.0730.471017
7-0.157813-1.23260.111235
80.2014231.57320.060427
9-0.12922-1.00920.158424
10-0.188521-1.47240.073027
11-0.162429-1.26860.104699
12-0.455691-3.55910.000364
130.0568780.44420.329223
14-0.060034-0.46890.320414
15-0.175263-1.36890.088033
160.1683421.31480.096751
170.0106040.08280.467133
18-0.00218-0.0170.493234
190.056340.440.330736
20-0.003877-0.03030.487971
210.1522621.18920.119483
220.1389581.08530.141031
230.0433730.33880.36798
240.0834130.65150.258592
250.0283270.22120.412821
260.152891.19410.118529
270.0220510.17220.431916
28-0.173853-1.35780.089759
290.0534780.41770.338826
30-0.072233-0.56420.287356
31-0.076423-0.59690.276397
320.0037180.0290.488466
33-0.04968-0.3880.349678
340.0201330.15720.437786
350.010280.08030.468136
36-0.156466-1.2220.113198
37-0.055933-0.43690.331881
38-0.079472-0.62070.268556
390.0088670.06930.472506
400.0830170.64840.259586
41-0.110505-0.86310.195739
420.0917410.71650.238201
430.0595040.46470.321887
44-0.058256-0.4550.325365
450.016550.12930.448787
46-0.01543-0.12050.452238
470.0029290.02290.490911
480.0850810.66450.254436


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.0885880.69190.245814
20.0087020.0680.473019
30.1621311.26630.105114
4-0.287613-2.24630.014157
50.1932341.50920.068204
6-0.098946-0.77280.221315
7-0.045779-0.35750.360958
80.1251890.97780.166029
9-0.118072-0.92220.180036
10-0.167435-1.30770.097939
11-0.256943-2.00680.024605
12-0.326264-2.54820.006681
130.1175460.91810.181101
14-0.158267-1.23610.110579
15-0.08277-0.64650.260204
16-0.041593-0.32490.373202
170.1337061.04430.15024
18-0.091818-0.71710.238018
19-0.058133-0.4540.325708
200.1550771.21120.115247
21-0.020401-0.15930.436966
22-0.054442-0.42520.336093
23-0.077341-0.60410.274024
24-0.089497-0.6990.243607
250.0395640.3090.379186
260.0826840.64580.260421
27-0.038889-0.30370.381183
28-0.148986-1.16360.124555
290.118320.92410.179536
30-0.118777-0.92770.178615
310.0178470.13940.444802
320.0831320.64930.259296
330.1019590.79630.214465
34-0.052445-0.40960.341765
350.0383120.29920.382892
36-0.10586-0.82680.205789
370.0046090.0360.4857
38-0.059399-0.46390.322177
390.0021810.0170.493233
40-0.086903-0.67870.249938
41-0.046532-0.36340.358771
42-0.073766-0.57610.283323
43-0.000155-0.00120.499518
440.0902170.70460.241865
45-0.025847-0.20190.420344
46-0.060066-0.46910.320325
47-0.026115-0.2040.41953
48-0.075587-0.59040.278568
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t12295396964hdaegwhdjrby73/1ypik1229539657.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t12295396964hdaegwhdjrby73/1ypik1229539657.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t12295396964hdaegwhdjrby73/2r59s1229539657.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t12295396964hdaegwhdjrby73/2r59s1229539657.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;
 
Parameters (R input):
par1 = 48 ; par2 = 1 ; par3 = 1 ; 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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Software written by Ed van Stee & Patrick Wessa


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