Home » date » 2009 » Nov » 26 »

cs.shw.ws8.v1.2

*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 11:20:15 -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/t1259259836kz90fuubrwftafu.htm/, Retrieved Thu, 26 Nov 2009 19:23:58 +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/t1259259836kz90fuubrwftafu.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 «
10570 10297 10635 10872 10296 10383 10431 10574 10653 10805 10872 10625 10407 10463 10556 10646 10702 11353 11346 11451 11964 12574 13031 13812 14544 14931 14886 16005 17064 15168 16050 15839 15137 14954 15648 15305 15579 16348 15928 16171 15937 15713 15594 15683 16438 17032 17696 17745 19394 20148 20108 18584 18441 18391 19178 18079 18483 19644 19195 19650
 
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
10.8477025.87310
20.7314225.06743e-06
30.6224.30934e-05
40.4439483.07580.001731
50.2192841.51920.067631
60.0455050.31530.376962
7-0.118714-0.82250.207436
8-0.330596-2.29040.013216
9-0.462258-3.20260.001209
10-0.563724-3.90560.000147
11-0.627341-4.34633.6e-05
12-0.693689-4.8068e-06
13-0.644805-4.46732.4e-05
14-0.599227-4.15166.7e-05
15-0.52884-3.66390.00031
16-0.385506-2.67090.005149
17-0.224572-1.55590.063153
18-0.102492-0.71010.240544
190.0209570.14520.442584
200.1618431.12130.133873
210.2387831.65430.052292
220.3014812.08870.02103
230.3342982.31610.012435
240.3355822.3250.012174
250.3192192.21160.015894
260.3094252.14380.018573
270.2605221.8050.038679
280.1920061.33030.09486
290.1265360.87670.192518
300.0649490.450.327374
31-0.002402-0.01660.493397
32-0.056678-0.39270.348149
33-0.093547-0.64810.260001
34-0.117106-0.81130.21059
35-0.128964-0.89350.188028
36-0.120266-0.83320.204423
37-0.092592-0.64150.262126
38-0.075434-0.52260.30182
39-0.044737-0.30990.378971
40-0.038352-0.26570.3958
41-0.032288-0.22370.411971
42-0.025785-0.17860.429485
430.0028150.01950.492261
440.0088310.06120.475733
450.0047670.0330.486896
460.0141650.09810.461115
470.0038770.02690.489342
48NANANA
49NANANA
50NANANA
51NANANA
52NANANA
53NANANA
54NANANA
55NANANA
56NANANA
57NANANA
58NANANA
59NANANA
60NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.8477025.87310
20.0455660.31570.376803
3-0.02992-0.20730.418328
4-0.305869-2.11910.01964
5-0.36671-2.54060.007177
6-0.082882-0.57420.284248
7-0.052429-0.36320.35901
8-0.275637-1.90970.031081
9-0.016365-0.11340.455101
10-0.117644-0.81510.209532
110.0321510.22270.412338
12-0.204821-1.4190.081174
130.1167890.80910.211215
14-0.117586-0.81470.209646
150.0144520.10010.460329
160.0938450.65020.259339
170.0622790.43150.334024
18-0.13568-0.940.175957
19-0.065009-0.45040.327226
20-0.134664-0.9330.177749
21-0.059523-0.41240.340946
22-0.08003-0.55450.290918
23-0.112485-0.77930.219809
24-0.171349-1.18710.120507
250.1050510.72780.235131
260.0807430.55940.289243
27-0.036057-0.24980.401901
28-0.051035-0.35360.362599
29-0.059336-0.41110.341417
30-0.005373-0.03720.485229
310.0346870.24030.405555
32-0.002285-0.01580.493718
33-0.107475-0.74460.230069
340.0163920.11360.455027
350.0010540.00730.497101
360.003860.02670.489388
370.0162260.11240.455482
38-0.044922-0.31120.378488
39-0.040336-0.27950.390548
40-0.073888-0.51190.305531
41-0.031388-0.21750.414385
42-0.059404-0.41160.341245
430.0787350.54550.29397
440.0342080.2370.406833
45-0.030484-0.21120.416814
460.0164150.11370.454965
47-0.065285-0.45230.326543
48NANANA
49NANANA
50NANANA
51NANANA
52NANANA
53NANANA
54NANANA
55NANANA
56NANANA
57NANANA
58NANANA
59NANANA
60NANANA
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Nov/26/t1259259836kz90fuubrwftafu/1cz901259259614.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/26/t1259259836kz90fuubrwftafu/1cz901259259614.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/26/t1259259836kz90fuubrwftafu/2kyan1259259614.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/26/t1259259836kz90fuubrwftafu/2kyan1259259614.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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')
 




Copyright

Creative Commons License

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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