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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: Mon, 13 Dec 2010 20:02:45 +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/13/t1292270459qln6ul0dml4uh8z.htm/, Retrieved Mon, 13 Dec 2010 21:00:59 +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/13/t1292270459qln6ul0dml4uh8z.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 «
31293 30236 30160 32436 30695 27525 26434 25739 25204 24977 24320 22680 22052 21467 21383 21777 21928 21814 22937 23595 20830 19650 19195 19644 18483 18079 19178 18391 18441 18584 20108 20148 19394 17745 17696 17032 16438 15683 15594 15713 15937 16171 15928 16348 15579 15305 15648 14954 15137 15839 16050 15168 17064 16005 14886 14931 14544 13812
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'Sir Ronald Aylmer Fisher' @ 193.190.124.24


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.8327235.64780
20.6624214.49282.4e-05
30.5153563.49530.00053
40.3689412.50230.007979
50.2547311.72770.045379
60.1967111.33420.09436
70.1755761.19080.119917
80.1449350.9830.165375
90.1063450.72130.237198
100.0325330.22070.41317
11-0.002949-0.020.492063
120.001890.01280.494913
130.0249530.16920.433176
140.0207010.14040.444477
150.0491850.33360.370103
160.0383520.26010.397967
17-0.004496-0.03050.487902
18-0.034624-0.23480.40769
19-0.060422-0.40980.341926
20-0.063316-0.42940.334807
21-0.054629-0.37050.356352
22-0.032195-0.21840.414058
23-0.02124-0.14410.443042
24-0.051805-0.35140.363462
25-0.054668-0.37080.356253
26-0.025795-0.17490.430944
27-0.028904-0.1960.422723
28-0.044701-0.30320.38156
29-0.045706-0.310.378984
30-0.054817-0.37180.35588
31-0.104332-0.70760.241377
32-0.164569-1.11620.135075
33-0.225645-1.53040.066383
34-0.281782-1.91110.031115
35-0.326814-2.21660.015819
36-0.358236-2.42970.009537
37-0.369203-2.50410.007943
38-0.331447-2.2480.014707
39-0.298341-2.02340.02443
40-0.28399-1.92610.030141
41-0.221263-1.50070.070136
42-0.160392-1.08780.141168
43-0.108609-0.73660.232546
44-0.07582-0.51420.304775
45-0.034645-0.2350.407636
46NANANA
47NANANA
48NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.8327235.64780
2-0.101141-0.6860.248086
3-0.025791-0.17490.430953
4-0.097148-0.65890.256627
50.0042460.02880.488576
60.0882620.59860.27618
70.0655560.44460.329339
8-0.058088-0.3940.347712
9-0.055356-0.37540.354529
10-0.148332-1.0060.159831
110.1014940.68840.247341
120.1095020.74270.230727
130.063480.43050.334405
14-0.128265-0.86990.194426
150.0710020.48160.3162
16-0.11985-0.81290.210243
17-0.019267-0.13070.448302
180.0271730.18430.427294
19-0.007229-0.0490.480555
200.0085470.0580.477013
21-0.006236-0.04230.483222
220.0153870.10440.458668
230.0124840.08470.466446
24-0.156494-1.06140.147026
250.1280270.86830.194863
260.1078820.73170.234035
27-0.10526-0.71390.239446
28-0.118073-0.80080.213678
290.0186990.12680.449818
30-0.021828-0.1480.441478
31-0.100166-0.67940.250157
32-0.054158-0.36730.357532
33-0.087733-0.5950.277369
34-0.119396-0.80980.211117
35-0.084945-0.57610.28367
360.005730.03890.484583
370.0203480.1380.44542
380.0095610.06480.474288
39-0.037943-0.25730.39903
40-0.02716-0.18420.427331
410.0917610.62240.268391
420.0031760.02150.491453
430.0566840.38450.351208
44-0.04414-0.29940.383003
450.0080620.05470.478316
46NANANA
47NANANA
48NANANA
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/13/t1292270459qln6ul0dml4uh8z/1qepn1292270561.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/13/t1292270459qln6ul0dml4uh8z/1qepn1292270561.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/13/t1292270459qln6ul0dml4uh8z/21n681292270561.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/13/t1292270459qln6ul0dml4uh8z/21n681292270561.ps (open in new window)


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





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Software written by Ed van Stee & Patrick Wessa


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