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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, 26 Nov 2009 08:10:30 -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/Nov/26/t1259248273e558et3mvmeygud.htm/, Retrieved Thu, 26 Nov 2009 16:11:15 +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/Nov/26/t1259248273e558et3mvmeygud.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:
ws8,acf2
 
Dataseries X:
» Textbox « » Textfile « » CSV «
1.3 1.2 1.1 1.4 1.2 1.5 1.1 1.3 1.5 1.1 1.4 1.3 1.5 1.6 1.7 1.1 1.6 1.3 1.7 1.6 1.7 1.9 1.8 1.9 1.6 1.5 1.6 1.6 1.7 2 2 1.9 1.7 1.8 1.9 1.7 2 2.1 2.4 2.5 2.5 2.6 2.2 2.5 2.8 2.8 2.9 3 3.1 2.9 2.7 2.2 2.5 2.3 2.6 2.3 2.2 1.8 1.8
 
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
1-0.536357-4.08486.9e-05
20.3032012.30910.01226
3-0.176373-1.34320.092217
4-0.04064-0.30950.379023
50.0445190.3390.367899
6-0.01859-0.14160.443954
7-0.011706-0.08920.464634
80.0708710.53970.295721
90.1217440.92720.17884
10-0.087676-0.66770.25348
110.1959471.49230.070522
12-0.382261-2.91120.002551
130.2001651.52440.06642
14-0.23103-1.75950.041885
150.10280.78290.218435
160.0547970.41730.338992
17-0.069798-0.53160.298528
180.1632961.24360.10932
19-0.149326-1.13720.130058
200.05590.42570.335942
21-0.085017-0.64750.259941
22-0.028197-0.21470.415362
230.0172730.13150.447899
24-0.034708-0.26430.396231
250.0562820.42860.334891
260.0927720.70650.241344
270.003570.02720.489202
28-0.050043-0.38110.352254
29-0.028759-0.2190.413702
30-0.067929-0.51730.303446
310.100920.76860.22263
32-0.090864-0.6920.245849
330.0754090.57430.283992
340.033650.25630.399325
35-0.117271-0.89310.187745
360.2018091.53690.064874
37-0.203117-1.54690.063665
380.0962020.73270.23336
39-0.16622-1.26590.105306
400.109090.83080.204746
41-0.060149-0.45810.324303
420.1116330.85020.199363
43-0.089764-0.68360.248467
440.0291290.22180.412607
45-0.016741-0.12750.449494
46-0.036702-0.27950.390422
470.033260.25330.400465
48-0.058052-0.44210.330027


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.536357-4.08486.9e-05
20.0217910.1660.434386
3-0.007872-0.060.4762
4-0.200473-1.52680.066129
5-0.067872-0.51690.303597
60.0316280.24090.405252
7-0.053552-0.40780.342446
80.032640.24860.402282
90.2881262.19430.016116
100.1001610.76280.224337
110.2098421.59810.057726
12-0.208695-1.58940.058706
13-0.157529-1.19970.117565
14-0.196089-1.49340.070381
15-0.19235-1.46490.074175
16-0.024524-0.18680.426246
17-0.098574-0.75070.227929
180.0690010.52550.300622
19-0.036401-0.27720.391298
20-0.013466-0.10260.459336
210.0995270.7580.225768
220.0337360.25690.399072
230.1772021.34950.091206
24-0.083302-0.63440.264154
25-0.039588-0.30150.382058
260.0480070.36560.357993
270.0479860.36550.358051
28-0.01406-0.10710.45755
29-0.172799-1.3160.096677
30-0.032527-0.24770.402615
310.0074980.05710.477329
32-0.057259-0.43610.332201
33-0.015175-0.11560.454197
340.0410980.3130.377706
35-0.139421-1.06180.146364
36-0.036544-0.27830.390882
370.0083620.06370.474721
380.0666750.50780.306766
39-0.112837-0.85930.196845
400.0334960.25510.399775
41-0.043097-0.32820.371964
420.0259240.19740.42209
430.0067830.05170.47949
44-0.078894-0.60080.275143
450.0032080.02440.490296
46-0.016761-0.12760.449435
47-0.068056-0.51830.30311
480.0453920.34570.365411
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Nov/26/t1259248273e558et3mvmeygud/1zt6e1259248228.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/26/t1259248273e558et3mvmeygud/1zt6e1259248228.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/26/t1259248273e558et3mvmeygud/20vse1259248228.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/26/t1259248273e558et3mvmeygud/20vse1259248228.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 0.0 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 48 ; par2 = 0.0 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; 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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This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa


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