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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 13:23:33 -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/t12592670424vmiy9a13yuo05g.htm/, Retrieved Thu, 26 Nov 2009 21:24:05 +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/t12592670424vmiy9a13yuo05g.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 «
110.5 110.8 104.2 88.9 89.8 90 93.9 91.3 87.8 99.7 73.5 79.2 96.9 95.2 95.6 89.7 92.8 88 101.1 92.7 95.8 103.8 81.8 87.1 105.9 108.1 102.6 93.7 103.5 100.6 113.3 102.4 102.1 106.9 87.3 93.1 109.1 120.3 104.9 92.6 109.8 111.4 117.9 121.6 117.8 124.2 106.8 102.7 116.8 113.6 96.1 85 83.2 84.9 83 79.6 83.2 83.8 82.8 71.4
 
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
1-0.261058-1.78970.039971
20.1975681.35450.091033
30.1821821.2490.108929
4-0.162759-1.11580.135086
50.1799231.23350.111763
6-0.094374-0.6470.260392
70.0138310.09480.462429
80.0323230.22160.412795
9-0.244175-1.6740.050389
100.0913930.62660.266989
11-0.131448-0.90120.186048
12-0.069673-0.47770.317555
130.0900090.61710.270083
14-0.046351-0.31780.376035
150.1170070.80220.213248
16-0.019268-0.13210.447738
170.0229220.15710.437902
18-0.043886-0.30090.382421
190.0632990.4340.333153
20-0.130347-0.89360.18804
210.155741.06770.145555
22-0.019649-0.13470.446711
230.0891540.61120.272004
24-0.182766-1.2530.108205
250.0713390.48910.313531
260.0194480.13330.447252
27-0.090555-0.62080.268861
280.1237670.84850.200228
29-0.044967-0.30830.379617
300.0066170.04540.482004
31-0.025876-0.17740.429978
32-0.131222-0.89960.186457
330.0449020.30780.379784
34-0.145022-0.99420.162603
35-0.039619-0.27160.393554
360.0377960.25910.398339


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.261058-1.78970.039971
20.1388820.95210.172952
30.2876241.97180.027264
4-0.095021-0.65140.258971
50.028910.19820.421873
6-0.046733-0.32040.375048
7-0.004929-0.03380.486592
8-0.000529-0.00360.49856
9-0.226758-1.55460.063378
10-0.047718-0.32710.372509
11-0.020285-0.13910.444996
12-0.028731-0.1970.422349
130.0517050.35450.362284
140.1012510.69410.245506
150.1207430.82780.205991
160.0028430.01950.492266
17-0.028164-0.19310.423862
18-0.171979-1.1790.122161
190.0462620.31720.376265
20-0.163622-1.12170.133837
210.1085870.74440.23016
220.1040990.71370.239481
230.2174111.49050.071388
24-0.25187-1.72670.045392
25-0.014442-0.0990.460775
260.0731650.50160.309148
27-0.008323-0.05710.477369
28-0.017058-0.11690.453702
29-0.072832-0.49930.309944
300.0626630.42960.334726
31-0.039193-0.26870.394671
32-0.131901-0.90430.185233
33-0.072063-0.4940.311789
34-0.016028-0.10990.456484
35-0.05624-0.38560.35078
36-0.094853-0.65030.25934
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Nov/26/t12592670424vmiy9a13yuo05g/1lcjb1259267011.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/26/t12592670424vmiy9a13yuo05g/1lcjb1259267011.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/26/t12592670424vmiy9a13yuo05g/2ggun1259267011.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/26/t12592670424vmiy9a13yuo05g/2ggun1259267011.ps (open in new window)


 
Parameters (Session):
par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 36 ; par2 = 1 ; par3 = 1 ; 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')
 





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