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paper

*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 13:10:38 -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/t1229544721mdjt5keiufh5vg4.htm/, Retrieved Wed, 17 Dec 2008 21:12:02 +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/t1229544721mdjt5keiufh5vg4.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:
Van Dooren Leen
 
Dataseries X:
» Textbox « » Textfile « » CSV «
98.6 98.0 106.8 96.6 100.1 107.7 91.5 97.8 107.4 117.5 105.6 97.4 99.5 98.0 104.3 100.6 101.1 103.9 96.9 95.5 108.4 117.0 103.8 100.8 110.6 104.0 112.6 107.3 98.9 109.8 104.9 102.2 123.9 124.9 112.7 121.9 100.6 104.3 120.4 107.5 102.9 125.6 107.5 108.8 128.4 121.1 119.5 128.7 108.7 105.5 119.8 111.3 110.6 120.1 97.5 107.7 127.3 117.2 119.8 116.2 111.0 112.4 130.6 109.1 118.8 123.9 101.6 112.8 128.0 129.6 125.8 119.5 115.7 113.6 129.7 112.0 116.8 127.0 112.1 114.2 121.1 131.6 125.0 120.4 117.7 117.5 120.6 127.5 112.3 124.5 115.2 104.7 130.5
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time3 seconds
R Server'Herman Ole Andreas Wold' @ 193.190.124.10:1001


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.3966513.82520.000118
20.267662.58120.005704
30.5191195.00621e-06
40.2299292.21740.014518
50.3414643.2930.000701
60.5541825.34430
70.2477622.38930.009449
80.2215742.13680.01762
90.4056833.91238.7e-05
100.1576561.52040.065905
110.3300243.18260.000992
120.6406536.17820
130.2525872.43590.008381
140.1481831.4290.078173
150.3105382.99470.00176
160.0702490.67750.2499
170.1784171.72060.044325
180.338993.26910.000757
190.0560.540.29523
200.0536450.51730.303074
210.1592741.5360.063969
22-0.013646-0.13160.447792
230.1515051.46110.073684
240.3257553.14150.001127
250.0820850.79160.215305
26-0.016507-0.15920.436933
270.0950320.91650.180898
28-0.088637-0.85480.197434
29-0.024506-0.23630.406849
300.1282951.23720.109558
31-0.073679-0.71050.239575
32-0.088116-0.84980.198819
33-0.028844-0.27820.390754
34-0.116102-1.11960.132874
35-0.00172-0.01660.493399
360.203511.96260.026342
37-0.013253-0.12780.449289
38-0.10656-1.02760.153395
39-0.006994-0.06740.473184
40-0.134557-1.29760.098813
41-0.108447-1.04580.149177
420.0042730.04120.48361
43-0.112677-1.08660.140007
44-0.146528-1.41310.080488
45-0.103083-0.99410.161377
46-0.175066-1.68830.047355
47-0.103967-1.00260.159322
480.072620.70030.242738
49-0.101449-0.97830.165222
50-0.185378-1.78770.038539
51-0.108343-1.04480.149407
52-0.185509-1.7890.038436
53-0.153165-1.47710.071517
54-0.089356-0.86170.195529
55-0.18007-1.73650.042891
56-0.223545-2.15580.016841
57-0.162093-1.56320.060705
58-0.260275-2.510.006901
59-0.185796-1.79180.038212
60-0.058065-0.560.288427


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.3966513.82520.000118
20.1309271.26260.104942
30.4526794.36551.6e-05
4-0.138323-1.33390.092741
50.3087292.97730.001854
60.249022.40150.009159
7-0.042074-0.40570.342929
8-0.075452-0.72760.234333
90.1129731.08950.13938
10-0.123911-1.1950.117571
110.2448442.36120.010152
120.3861043.72350.000168
13-0.063166-0.60920.271954
14-0.278725-2.68790.00426
15-0.136538-1.31670.095583
16-0.153763-1.48280.070749
17-0.068335-0.6590.255764
18-0.059018-0.56920.285313
190.0209510.2020.420163
20-0.047106-0.45430.325345
21-0.038332-0.36970.356239
220.0054260.05230.479191
230.0460870.44440.328876
24-0.013927-0.13430.446724
250.1033280.99650.160807
26-0.109961-1.06040.14585
270.0466430.44980.326946
28-0.137539-1.32640.093981
29-0.048821-0.47080.319438
30-0.051289-0.49460.311021
310.1153051.1120.13451
320.0160890.15520.438518
330.0053470.05160.479492
340.0251540.24260.404433
350.0105370.10160.459639
360.1624361.56650.060317
37-0.015277-0.14730.441597
38-0.035069-0.33820.367991
39-0.052197-0.50340.307947
400.007260.070.472167
41-0.076308-0.73590.231825
42-0.131069-1.2640.104697
430.0273350.26360.396332
440.0373860.36050.35963
45-0.024893-0.24010.405406
46-0.032253-0.3110.378236
47-0.105357-1.0160.156127
48-0.059688-0.57560.283134
49-0.125992-1.2150.113717
500.0020640.01990.492079
51-0.039504-0.3810.35205
520.0740620.71420.238439
530.0789090.7610.224299
54-0.023988-0.23130.408781
55-0.047576-0.45880.323723
56-0.065584-0.63250.264317
570.01560.15040.440372
58-0.108828-1.04950.148335
59-0.02238-0.21580.414797
60-0.021666-0.20890.417475
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229544721mdjt5keiufh5vg4/1inye1229544633.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229544721mdjt5keiufh5vg4/1inye1229544633.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229544721mdjt5keiufh5vg4/2ryse1229544633.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229544721mdjt5keiufh5vg4/2ryse1229544633.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')
 




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