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*Unverified author*
R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Sun, 21 Nov 2010 10:25:32 +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/Nov/21/t1290335067wz84b6v21dojoqf.htm/, Retrieved Sun, 21 Nov 2010 11:24:27 +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/Nov/21/t1290335067wz84b6v21dojoqf.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:
KDGP2W12
 
Dataseries X:
» Textbox « » Textfile « » CSV «
68897 38683 44720 39525 45315 50380 40600 36279 42438 38064 31879 11379 70249 39253 47060 41697 38708 49267 39018 32228 40870 39383 34571 12066 70938 34077 45409 40809 37013 44953 37848 32745 43412 34931 33008 8620 68906 39556 50669 36432 40891 48428 36222 33425 39401 37967 34801 12657 69116 41519 51321 38529 41547 52073 38401 40898 40439 41888 37898 8771 68184 50530 47221 41756 45633 48138 39486 39341 41117 41629 29722 7054 56676 34870 35117 30169 30936 35699 33228 27733 33666 35429 27438 8170
 
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'RServer@AstonUniversity' @ vre.aston.ac.uk


Autocorrelation Function
Time lag kACF(k)T-STATP-value
1-0.597407-5.44260
20.1511751.37730.086065
3-0.099838-0.90960.182841
40.0799280.72820.234276
50.097280.88630.189018
6-0.215265-1.96120.026607
70.0766930.69870.243346
80.09540.86910.193639
9-0.089173-0.81240.209441
100.170611.55430.061956
11-0.596355-5.4330
120.8408647.66060
13-0.496748-4.52561e-05
140.1449771.32080.095099
15-0.101493-0.92460.178916
160.0804210.73270.232911
170.0801420.73010.233685
18-0.185391-1.6890.047487
190.0775330.70640.24097
200.0685710.62470.266937
21-0.078777-0.71770.237481
220.1570261.43060.078154
23-0.510477-4.65076e-06
240.6743266.14340
25-0.373614-3.40380.000513
260.1059150.96490.168691
27-0.101719-0.92670.178383
280.0930260.84750.199574
290.049390.450.326955
30-0.149773-1.36450.088049
310.0652210.59420.277
320.0416310.37930.352726
33-0.040037-0.36480.358113
340.12291.11970.133042
35-0.408075-3.71770.000182
360.4982684.53949e-06
37-0.25955-2.36460.010192
380.0679130.61870.268898
39-0.080092-0.72970.233823
400.0747280.68080.248946
410.0364850.33240.370213
42-0.10623-0.96780.167977
430.0534820.48720.313685
440.0129770.11820.453087
45-0.0111-0.10110.459847
460.0852350.77650.219821
47-0.303702-2.76690.003488
480.3369083.06940.001449


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.597407-5.44260
2-0.319884-2.91430.00229
3-0.297482-2.71020.004084
4-0.194208-1.76930.040257
50.1210921.10320.136565
6-0.064035-0.58340.280607
7-0.173732-1.58280.058638
80.0413530.37670.353662
9-0.009274-0.08450.466437
100.2778082.53090.006631
11-0.645016-5.87640
120.4053733.69310.000198
130.1032790.94090.17474
140.0402360.36660.357437
150.0199260.18150.428196
160.0866680.78960.216011
17-0.08406-0.76580.222977
18-0.009002-0.0820.467416
190.1267111.15440.125827
20-0.00819-0.07460.470349
21-0.024629-0.22440.411506
22-0.17821-1.62360.05413
230.0694020.63230.26447
24-0.101396-0.92380.179144
250.1442991.31460.096128
26-0.017974-0.16380.435161
27-0.020587-0.18760.425841
28-0.016532-0.15060.440324
29-0.026939-0.24540.403365
300.0437520.39860.345605
31-0.024198-0.22050.413029
32-0.044483-0.40530.343166
33-0.042166-0.38410.350926
34-0.012726-0.11590.453989
350.0278390.25360.400206
36-0.045183-0.41160.340834
37-0.023853-0.21730.414251
38-0.085546-0.77940.218991
390.0473330.43120.333712
40-0.088322-0.80470.211659
410.0131770.120.452368
420.0179480.16350.435256
430.0105150.09580.461956
44-0.025024-0.2280.41011
45-0.012139-0.11060.456103
460.0108030.09840.46092
47-0.055595-0.50650.306927
48-0.071866-0.65470.257227
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Nov/21/t1290335067wz84b6v21dojoqf/1jknq1290335129.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Nov/21/t1290335067wz84b6v21dojoqf/1jknq1290335129.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Nov/21/t1290335067wz84b6v21dojoqf/2jknq1290335129.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Nov/21/t1290335067wz84b6v21dojoqf/2jknq1290335129.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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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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