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W9 - autocorrelation (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: Sat, 04 Dec 2010 20:36:59 +0000
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/04/t1291494976ai8ualwn90txk20.htm/, Retrieved Sat, 04 Dec 2010 21:36:16 +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/2010/Dec/04/t1291494976ai8ualwn90txk20.htm/},
    year = {2010},
}
@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 = {2010},
    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 «
612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528 533 536 537 524 536 587 597 581 564 558 575 580 575 563 552 537 545 601 604 586 564
 
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'Sir Ronald Aylmer Fisher' @ 193.190.124.24


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.2504881.94030.028525
2-0.320898-2.48570.007867
3-0.34588-2.67920.004755
4-0.16479-1.27650.103356
50.1265510.98030.165447
60.2879222.23020.014742
70.1312281.01650.15674
8-0.193859-1.50160.069219
9-0.318135-2.46430.008306
10-0.29557-2.28950.012793
110.2538531.96630.026945
120.7180685.56210
130.1305551.01130.157973
14-0.310571-2.40570.009621
15-0.24512-1.89870.031208
16-0.120213-0.93120.17775
170.1217580.94310.174697
180.1903111.47410.072836
190.0681570.52790.299743
20-0.200394-1.55220.062932
21-0.276923-2.1450.018004
22-0.213713-1.65540.051531
230.2015131.56090.061902
240.5014983.88460.000129
250.0464590.35990.360104
26-0.244569-1.89440.031496
27-0.211318-1.63690.053447
28-0.098774-0.76510.223606
290.0742070.57480.283786
300.1303791.00990.158297
310.0430560.33350.369957
32-0.153721-1.19070.119227
33-0.190793-1.47790.072335
34-0.112236-0.86940.194053
350.174571.35220.090691
360.3387252.62380.005506
370.007860.06090.475826
38-0.155428-1.20390.116671
39-0.125143-0.96940.16813
40-0.04167-0.32280.373995
410.0494230.38280.351599
420.0796530.6170.269788
430.0106520.08250.467257
44-0.120626-0.93440.17693
45-0.126968-0.98350.164657
46-0.016029-0.12420.450801
470.092470.71630.238303
480.1715441.32880.094477


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.2504881.94030.028525
2-0.409325-3.17060.001198
3-0.166704-1.29130.100779
4-0.180609-1.3990.083481
50.0458620.35520.361826
60.1103860.8550.197964
70.025860.20030.420958
8-0.128855-0.99810.161119
9-0.145234-1.1250.132539
10-0.313329-2.4270.009121
110.2827542.19020.016204
120.5169274.00418.7e-05
13-0.190973-1.47930.07215
140.0431560.33430.369665
150.1607911.24550.108899
16-0.087614-0.67870.249983
170.0416030.32230.37419
18-0.20943-1.62220.054998
190.0014860.01150.495427
20-0.055134-0.42710.33543
21-0.053091-0.41120.341181
220.0030440.02360.490634
23-0.135244-1.04760.149514
24-0.008407-0.06510.474147
250.0310010.24010.405522
26-0.046346-0.3590.36043
27-0.098638-0.7640.223918
28-0.075753-0.58680.279777
29-0.065848-0.51010.305943
30-0.046013-0.35640.361391
31-0.035838-0.27760.391137
32-0.02676-0.20730.418245
330.0560830.43440.332771
340.0504190.39050.348758
350.0245810.19040.424819
36-0.021846-0.16920.433097
37-0.011077-0.08580.465955
380.0693950.53750.296443
390.0274240.21240.416248
400.0281010.21770.414213
41-0.035827-0.27750.391171
420.0130930.10140.459778
43-0.023901-0.18510.426872
44-0.017996-0.13940.444801
45-0.063005-0.4880.313652
460.0464520.35980.360123
47-0.214885-1.66450.050614
48-0.05545-0.42950.334544
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/04/t1291494976ai8ualwn90txk20/1tyg41291495015.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/04/t1291494976ai8ualwn90txk20/1tyg41291495015.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/04/t1291494976ai8ualwn90txk20/2tyg41291495015.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/04/t1291494976ai8ualwn90txk20/2tyg41291495015.ps (open in new window)


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