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ws8

*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: Fri, 27 Nov 2009 02:57:00 -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/27/t12593159402j257x4fa085nuo.htm/, Retrieved Fri, 27 Nov 2009 10:59:03 +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/27/t12593159402j257x4fa085nuo.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 «
29571 30167 30524 30996 31033 31198 30937 31649 33115 34106 33926 33382 32851 32948 36112 36113 35210 35193 34383 35349 37058 38076 36630 36045 35638 35114 35465 35254 35299 35916 36683 37288 38536 38977 36407 34955 34951 32680 34791 34178 35213 34871 35299 35443 37108 36419 34471 33868 34385 33643 34627 32919 35500 36110 37086 37711 40427 39884 38512 38767
 
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
10.8205296.35580
20.6518535.04922e-06
30.4719063.65540.000271
40.3314192.56720.006382
50.2351121.82120.036784
60.1704111.320.095925
70.0813490.63010.265501
80.0285330.2210.412916
90.0568330.44020.330679
100.0980520.75950.22526
110.1494311.15750.125831
120.1617151.25260.107599
130.054060.41870.338448
14-0.04577-0.35450.362091
15-0.11078-0.85810.197126
16-0.148806-1.15260.126814
17-0.173881-1.34690.091542
18-0.188138-1.45730.075123
19-0.2187-1.6940.047721
20-0.226292-1.75290.042368
21-0.153681-1.19040.119287
22-0.065416-0.50670.307107
230.0364060.2820.389457
240.07440.57630.283284
250.0378030.29280.385336
26-0.016017-0.12410.450839
27-0.073815-0.57180.284808
28-0.112398-0.87060.193713
29-0.124871-0.96720.168651
30-0.122984-0.95260.172299
31-0.110691-0.85740.197316
32-0.076991-0.59640.276585
330.0062330.04830.480828
340.0898610.69610.244538
350.1427121.10540.136691
360.139631.08160.141886
370.1092780.84650.20033
380.0549180.42540.336037
390.0256120.19840.421705
40-0.005301-0.04110.483693
41-0.005083-0.03940.484362
42-0.005925-0.04590.481772
43-0.032034-0.24810.402438
44-0.050634-0.39220.348145
45-0.037888-0.29350.385084
46-0.043661-0.33820.368199
47-0.050436-0.39070.348709
48-0.082747-0.6410.261996


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.8205296.35580
2-0.065544-0.50770.306761
3-0.135969-1.05320.148233
4-0.000524-0.00410.498387
50.03730.28890.386818
60.010230.07920.468552
7-0.144068-1.11590.134447
80.0350060.27120.3936
90.2308661.78830.03939
100.0361570.28010.390194
110.0070060.05430.478452
12-0.062187-0.48170.315886
13-0.317634-2.46040.008388
14-0.032301-0.25020.401641
150.0609940.47250.319158
160.0094040.07280.471086
17-0.035801-0.27730.391247
18-0.014639-0.11340.455047
19-0.012154-0.09410.462654
20-0.044685-0.34610.36523
210.0973750.75430.226821
220.0794440.61540.270318
230.0969870.75130.227718
24-0.067733-0.52470.300877
25-0.10799-0.83650.203099
26-0.057497-0.44540.328827
27-0.130562-1.01130.15796
28-0.006019-0.04660.481483
290.1219060.94430.174407
300.0831260.64390.261049
310.0787880.61030.271987
32-0.027272-0.21130.416703
330.0013850.01070.495737
34-0.026579-0.20590.418791
35-0.100713-0.78010.219193
36-0.00241-0.01870.492584
370.1071330.82980.204957
38-0.01016-0.07870.468768
390.044530.34490.365678
40-0.071366-0.55280.291226
410.0410.31760.375952
420.008020.06210.475337
43-0.126797-0.98220.16498
44-0.05147-0.39870.345771
450.0112330.0870.465477
46-0.122581-0.94950.173086
47-0.028195-0.21840.413929
48-0.038978-0.30190.381877
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Nov/27/t12593159402j257x4fa085nuo/1ntzw1259315819.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t12593159402j257x4fa085nuo/1ntzw1259315819.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/27/t12593159402j257x4fa085nuo/2l84h1259315819.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t12593159402j257x4fa085nuo/2l84h1259315819.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 48 ; par2 = 1 ; par3 = 0 ; 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')
 




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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