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*Unverified author*
R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Thu, 18 Dec 2008 03:41:32 -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/18/t12295969289fjujhp6lwce6pq.htm/, Retrieved Thu, 18 Dec 2008 11:42:16 +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/18/t12295969289fjujhp6lwce6pq.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 «
6,3 6,1 6,1 6,3 6,3 6 6,2 6,4 6,8 7,5 7,5 7,6 7,6 7,4 7,3 7,1 6,9 6,8 7,5 7,6 7,8 8 8,1 8,2 8,3 8,2 8 7,9 7,6 7,6 8,2 8,3 8,4 8,4 8,4 8,6 8,9 8,8 8,3 7,5 7,2 7,5 8,8 9,3 9,3 8,7 8,2 8,3 8,5 8,6 8,6 8,2 8,1 8 8,6 8,7 8,8 8,5 8,4 8,5 8,7
 
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'George Udny Yule' @ 72.249.76.132


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.3928743.04320.001736
2-0.135145-1.04680.149689
3-0.522766-4.04937.5e-05
4-0.432729-3.35190.000697
5-0.032609-0.25260.400726
60.2663652.06330.021712
70.0973430.7540.226894
8-0.189432-1.46730.073753
9-0.241908-1.87380.032914
10-0.093599-0.7250.23563
110.2071861.60490.056888
120.5426934.20374.4e-05
130.19071.47720.072431
14-0.063164-0.48930.313218
15-0.265399-2.05580.022082
16-0.246316-1.9080.030593
17-0.07808-0.60480.273795
180.1100850.85270.198605
190.0020530.01590.493682
20-0.072162-0.5590.289134
21-0.066969-0.51870.302926
220.0191430.14830.441311
230.129711.00470.159531
240.2623192.03190.023299
250.0353260.27360.392653
26-0.044928-0.3480.364526
27-0.10314-0.79890.213744
28-0.11878-0.92010.180611
29-0.076147-0.58980.278758
30-0.067633-0.52390.301145
31-0.071196-0.55150.291677
320.001630.01260.494983
330.1188410.92050.18049
340.1376211.0660.145346
350.0573670.44440.329189
360.028140.2180.414095
37-0.121558-0.94160.175091
38-0.027597-0.21380.415729
39-0.01244-0.09640.461779
400.0138890.10760.457343
41-0.012017-0.09310.463074
42-0.047585-0.36860.356866
43-0.043599-0.33770.368378
44-0.005193-0.04020.484023
450.0591790.45840.324162
460.0426330.33020.371187
470.0167270.12960.448671
48-0.019746-0.1530.439474
49-0.055616-0.43080.334079
50-0.002415-0.01870.492567
510.0236110.18290.42775
520.0269930.20910.417545
53-0.00465-0.0360.485694
54-0.009118-0.07060.471963
55-0.012077-0.09360.462889
560.0136470.10570.458082
570.0085750.06640.473632
58-0.00314-0.02430.490338
59-0.005797-0.04490.482166
60NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.3928743.04320.001736
2-0.342335-2.65170.005115
3-0.424622-3.28910.000842
4-0.13434-1.04060.15112
50.0667820.51730.303428
6-0.013146-0.10180.459617
7-0.372413-2.88470.002717
8-0.317589-2.460.008395
9-0.024549-0.19020.424914
10-0.118638-0.9190.180897
11-0.14626-1.13290.130877
120.3677572.84860.003003
13-0.229565-1.77820.040219
140.1186920.91940.180788
150.2293561.77660.040353
160.0176350.13660.445901
17-0.076873-0.59550.276889
180.089090.69010.246399
190.0022020.01710.493223
200.0264270.20470.419249
21-0.085744-0.66420.254563
220.1101510.85320.198465
23-0.027245-0.2110.416786
24-0.092306-0.7150.238692
250.0207770.16090.436342
260.0773310.5990.275712
27-0.034025-0.26360.396513
28-0.069238-0.53630.296863
290.0085640.06630.473664
30-0.212364-1.6450.052603
310.0372560.28860.386947
32-0.007866-0.06090.475809
33-0.017096-0.13240.447544
34-0.074522-0.57720.282967
35-0.07961-0.61670.269897
360.0030760.02380.490536
37-0.07768-0.60170.274818
38-0.054935-0.42550.335989
39-0.092738-0.71830.237665
400.006190.04790.48096
410.0223230.17290.431652
420.0721960.55920.289044
430.0308030.23860.406113
44-0.022504-0.17430.431101
45-0.020333-0.15750.437692
46-0.004263-0.0330.486885
470.0068140.05280.479041
48-0.095105-0.73670.232094
490.0056440.04370.482637
50-0.077576-0.60090.275084
510.0336120.26040.397739
52-0.055285-0.42820.335008
53-0.041952-0.3250.373172
540.0806210.62450.267337
55-0.033759-0.26150.397303
56-0.040589-0.31440.377153
570.0382520.29630.384013
580.027950.21650.414667
590.0315490.24440.403885
60NANANA
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t12295969289fjujhp6lwce6pq/1csf71229596891.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t12295969289fjujhp6lwce6pq/1csf71229596891.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t12295969289fjujhp6lwce6pq/23x341229596891.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t12295969289fjujhp6lwce6pq/23x341229596891.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;
 
Parameters (R input):
par1 = 60 ; par2 = 1 ; par3 = 1 ; 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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