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svd

*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: Sun, 20 Dec 2009 13:56:40 -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/20/t1261342662v9gr64m58ohxevh.htm/, Retrieved Sun, 20 Dec 2009 21:57:44 +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/20/t1261342662v9gr64m58ohxevh.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 «
467 460 448 443 436 431 484 510 513 503 471 471 476 475 470 461 455 456 517 525 523 519 509 512 519 517 510 509 501 507 569 580 578 565 547 555 562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514
 
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
10.2621572.38840.009596
2-0.152956-1.39350.083596
3-0.308263-2.80840.003103
4-0.310348-2.82740.00294
50.0404670.36870.356654
60.1634041.48870.07018
70.0504070.45920.323634
8-0.260402-2.37240.009993
9-0.248535-2.26430.013083
10-0.092983-0.84710.199683
110.2486752.26550.013042
120.7606096.92950
130.1824711.66240.050104
14-0.133342-1.21480.113943
15-0.270841-2.46750.007831
16-0.252104-2.29680.012075
170.0247210.22520.41118
180.1135371.03440.151984
190.0287390.26180.397053
20-0.232437-2.11760.018601
21-0.198099-1.80480.037369
22-0.066161-0.60280.274157
230.2135431.94550.027552
240.6262685.70560
250.1362041.24090.109074
26-0.156059-1.42180.079421
27-0.26382-2.40350.009233
28-0.224209-2.04260.022131
290.0322330.29370.384875
300.0833450.75930.224909
310.0167470.15260.439551
32-0.195293-1.77920.039434
33-0.16932-1.54260.063369
34-0.058456-0.53260.297881
350.147971.34810.090652
360.4952344.51181e-05
370.1151741.04930.148546
38-0.116695-1.06310.1454
39-0.225954-2.05850.021338
40-0.187673-1.70980.045521
411e-049e-040.499639
420.0687210.62610.266491
430.0231960.21130.416574
44-0.162482-1.48030.071292
45-0.12847-1.17040.122592
46-0.046822-0.42660.335398
470.1100591.00270.159463
480.3868093.5240.000347
490.0677730.61740.269318
50-0.120556-1.09830.13762
51-0.178652-1.62760.053701
52-0.135107-1.23090.110922
53-0.007697-0.07010.472132
540.055630.50680.306816
550.0022710.02070.491773
56-0.106778-0.97280.166741
57-0.060525-0.55140.291417
58-0.020998-0.19130.424378
590.0873570.79590.214193
600.2640742.40580.009179


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.2621572.38840.009596
2-0.238042-2.16870.016485
3-0.223351-2.03480.02253
4-0.231773-2.11160.018866
50.1038010.94570.173529
6-0.017484-0.15930.436915
7-0.107931-0.98330.164159
8-0.3427-3.12210.001236
9-0.101585-0.92550.1787
10-0.128052-1.16660.123354
110.1364371.2430.108684
120.6463195.88820
13-0.145373-1.32440.094501
140.1585751.44470.076155
150.0787450.71740.237569
160.1328341.21020.114823
17-0.056765-0.51720.303212
18-0.019106-0.17410.431119
19-0.013951-0.12710.449583
20-0.043877-0.39970.345189
21-0.040171-0.3660.357658
22-0.089924-0.81920.207496
23-0.045158-0.41140.340917
240.0985930.89820.185832
25-0.059199-0.53930.295553
26-0.104052-0.9480.17295
27-0.030704-0.27970.390191
28-0.019905-0.18130.42827
290.0097470.08880.464727
30-0.099345-0.90510.184022
31-0.00679-0.06190.475413
320.0114950.10470.458422
33-0.03007-0.2740.392401
34-0.064974-0.59190.277751
35-0.132315-1.20540.115729
36-0.008918-0.08120.467722
370.0004060.00370.49853
380.0254050.23140.408768
39-0.051462-0.46880.320207
400.0383360.34930.363889
41-0.049035-0.44670.328117
420.0927120.84460.200369
43-0.039951-0.3640.358401
440.0054620.04980.480216
450.0213240.19430.423219
460.0335360.30550.380366
47-0.006031-0.05490.478158
48-0.059309-0.54030.295209
49-0.06524-0.59440.276942
50-0.064561-0.58820.279004
510.0280690.25570.399399
52-0.060159-0.54810.292555
53-0.079764-0.72670.234732
54-0.031905-0.29070.386016
55-0.039255-0.35760.360764
560.0676580.61640.269662
570.0162480.1480.441339
580.0141160.12860.448992
590.0473150.43110.33377
60-0.046101-0.420.337786
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Dec/20/t1261342662v9gr64m58ohxevh/17md51261342598.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/20/t1261342662v9gr64m58ohxevh/17md51261342598.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/20/t1261342662v9gr64m58ohxevh/2lcs31261342598.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/20/t1261342662v9gr64m58ohxevh/2lcs31261342598.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ;
 
Parameters (R input):
par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ;
 
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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