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Workshop 9

*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, 03 Dec 2010 12:19:31 +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/03/t12913786732z5xdjpr77jvtsx.htm/, Retrieved Fri, 03 Dec 2010 13:17:53 +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/03/t12913786732z5xdjpr77jvtsx.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 «
63.152 60.106 72.616 73.159 68.848 77.056 62.246 60.777 64.513 58.353 56.511 44.554 71.414 65.719 80.997 69.826 65.386 75.589 65.520 59.003 63.961 59.716 57.520 42.886 69.805 64.656 80.353 71.321 76.577 81.580 71.127 63.478 48.152 69.236 57.038 43.621 69.551 72.009 72.140 81.519 73.310 80.406 70.697 59.328 68.281 70.041 51.244 46.538 61.443 62.256 73.117 74.155 65.191 77.889 68.688 59.983 65.470 65.089 54.795 47.123
 
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
1-0.084164-0.58310.281276
20.0805020.55770.289808
30.0997520.69110.246415
4-0.146119-1.01230.158225
50.0094230.06530.47411
60.11750.81410.209814
7-0.137149-0.95020.173387
80.0965560.6690.253363
9-0.012263-0.0850.466322
10-0.092659-0.6420.261977
110.2068691.43320.079137
12-0.341879-2.36860.010964
13-0.093136-0.64530.260914
140.1377670.95450.172312
150.0101730.07050.472053
160.2384391.6520.052536
170.1385330.95980.170987
18-0.195146-1.3520.091354
190.0307630.21310.416064
20-0.159477-1.10490.137357
21-0.045338-0.31410.377399
22-0.036305-0.25150.40124
23-0.042146-0.2920.385775
24-0.095829-0.66390.254958
250.0787220.54540.294002
26-0.025407-0.1760.430507
270.0109890.07610.469815
28-0.074917-0.5190.30306
29-0.056191-0.38930.349386
300.0945670.65520.257741
310.0470240.32580.373
320.0998090.69150.246291
330.036080.250.40184
34-0.039288-0.27220.39332
35-0.045445-0.31480.37712
36-0.033039-0.22890.409959
37-0.042999-0.29790.383531
38-0.047528-0.32930.371688
39-0.076607-0.53070.29902
40-0.039715-0.27520.39219
41-0.003053-0.02120.491606
42-0.019399-0.13440.446825
43-0.037958-0.2630.396847
44-0.014973-0.10370.458906
45-0.012022-0.08330.466984
460.0153260.10620.457941
470.0013560.00940.496273
48NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.084164-0.58310.281276
20.0739430.51230.305399
30.1136720.78750.217418
4-0.138094-0.95670.171745
5-0.031495-0.21820.414097
60.1367730.94760.174042
7-0.094083-0.65180.258812
80.0386030.26740.395135
9-0.003747-0.0260.489699
10-0.056794-0.39350.347853
110.1701391.17880.122153
12-0.337372-2.33740.011819
13-0.13684-0.94810.173925
140.1684031.16670.124542
150.1829241.26730.105575
160.2151921.49090.071266
170.0177060.12270.45144
18-0.170805-1.18340.121244
19-0.098113-0.67970.249965
20-0.170633-1.18220.121479
210.0368360.25520.399828
22-0.152199-1.05450.148474
230.1280610.88720.189689
24-0.125719-0.8710.194043
25-0.10535-0.72990.234504
260.1192820.82640.20633
270.0469860.32550.373099
280.0906750.62820.266421
290.0734970.50920.306471
30-0.043132-0.29880.383181
31-0.057649-0.39940.345683
32-0.134136-0.92930.178686
330.029630.20530.419109
34-0.015999-0.11080.456102
350.0995490.68970.246853
36-0.02133-0.14780.441569
37-0.113825-0.78860.217111
38-0.004187-0.0290.488489
39-0.055488-0.38440.351177
40-0.060885-0.42180.33752
410.0433570.30040.382591
42-0.070039-0.48520.314856
43-0.045857-0.31770.376043
44-0.090481-0.62690.266857
450.0450.31180.378284
46-0.028359-0.19650.422533
47-0.003069-0.02130.491561
48NANANA
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/03/t12913786732z5xdjpr77jvtsx/1usxq1291378768.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/03/t12913786732z5xdjpr77jvtsx/1usxq1291378768.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/03/t12913786732z5xdjpr77jvtsx/2usxq1291378768.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/03/t12913786732z5xdjpr77jvtsx/2usxq1291378768.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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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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