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*The author of this computation has been verified*
R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Thu, 17 Dec 2009 04:00:12 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/17/t1261048221mcztk0nk6a8vyh7.htm/, Retrieved Thu, 17 Dec 2009 12:10:24 +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/2009/Dec/17/t1261048221mcztk0nk6a8vyh7.htm/},
    year = {2009},
}
@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 = {2009},
    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 «
43.9 51 51.9 54.3 50.3 57.2 48.8 41.1 58 63 53.8 54.7 55.5 56.1 69.6 69.4 57.2 68 53.3 47.9 60.8 61.7 57.8 51.4 50.5 48.1 58.7 54 56.1 60.4 51.2 50.7 56.4 53.3 52.6 47.7 49.5 48.5 55.3 49.8 57.4 64.6 53 41.5 55.9 58.4 53.5 50.6 58.5 49.1 61.1 52.3 58.4 65.5 61.7 45.1 52.1 59.3 57.9 45 64.9 63.8 69.4 71.1 62.9 73.5 62.7 51.9 73.3 66.7 62.5 70.3
 
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'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
1-0.351567-2.70040.004512
2-0.210195-1.61450.055873
30.2490831.91320.030287
4-0.117409-0.90180.185406
50.0026890.02070.491797
60.0395690.30390.381122
7-0.0375-0.2880.38716
80.0702960.540.295631
9-0.118182-0.90780.183846
100.1458851.12060.133508
110.0463620.35610.361514
12-0.254069-1.95150.027873
130.17151.31730.096413
140.1245590.95680.171297
15-0.225013-1.72840.044577
160.0421410.32370.373659
170.1256890.96540.169133
18-0.075619-0.58080.28178
19-0.072321-0.55550.290324
200.0905780.69570.244662
21-0.053143-0.40820.342304
22-0.07695-0.59110.278369
230.1617611.24250.109482
24-0.034652-0.26620.39552
25-0.17967-1.38010.086386
260.1722281.32290.095485
270.1033270.79370.215284
28-0.14708-1.12970.131579
29-0.102397-0.78650.217352
300.1004470.77160.22173
310.0117120.090.464312
320.0394440.3030.381487
330.0535210.41110.341245
34-0.077701-0.59680.276452
350.0166790.12810.449248
36-0.049894-0.38320.351459


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.351567-2.70040.004512
2-0.38087-2.92550.002437
30.0175350.13470.446657
4-0.093791-0.72040.237054
50.0126430.09710.461482
6-0.020739-0.15930.436989
7-0.004028-0.03090.487711
80.0686340.52720.300021
9-0.094446-0.72550.235522
100.1314391.00960.158405
110.114630.88050.191083
12-0.12213-0.93810.17601
130.0074970.05760.477137
140.1326461.01890.156212
15-0.030802-0.23660.406895
16-0.074235-0.57020.285351
170.0583880.44850.327722
180.0308630.23710.406716
19-0.083258-0.63950.26248
200.0077640.05960.476323
21-0.088369-0.67880.249967
22-0.089284-0.68580.247762
230.1025910.7880.216921
24-0.012893-0.0990.460723
25-0.148887-1.14360.1287
260.0959590.73710.231999
270.1536781.18040.121285
28-0.009902-0.07610.469815
29-0.117995-0.90630.184223
30-0.042502-0.32650.372614
31-0.066758-0.51280.305011
320.1801171.38350.085861
330.1815761.39470.084166
34-0.067765-0.52050.302327
350.0937960.72050.237043
36-0.07173-0.5510.291868
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Dec/17/t1261048221mcztk0nk6a8vyh7/1im8q1261047610.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/17/t1261048221mcztk0nk6a8vyh7/1im8q1261047610.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/17/t1261048221mcztk0nk6a8vyh7/2tpom1261047610.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/17/t1261048221mcztk0nk6a8vyh7/2tpom1261047610.ps (open in new window)


 
Parameters (Session):
par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;
 
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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'
par7 <- as.numeric(par7)
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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))
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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