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KDGP2W21

*Unverified author*
R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Mon, 04 Jan 2010 07:15:27 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Jan/04/t1262614626c512dw0qmyv0rpi.htm/, Retrieved Mon, 04 Jan 2010 15:17:08 +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/Jan/04/t1262614626c512dw0qmyv0rpi.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 «
46.5 47 47.5 48.3 49.1 50.1 51.1 52 53.2 53.9 54.5 55.2 55.6 55.7 56.1 56.8 57.5 58.3 58.9 59.4 59.8 60 60 60.3 60.1 59.7 59.5 59.4 59.3 59.2 59.1 59 59.3 59.5 59.5 59.5 59.7 59.7 60.5 60.7 61.3 61.4 61.8 62.4 62.4 62.9 63.2 63.4 63.9 64.5 65 65.4 66.3 67.7 69 70 71.4 72.5 73.4 74.6 75.2 75.9 76.8 77.9 79.2 80.5 82.6 84.4 85.9 87.6
 
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'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.8007016.65110
20.7324146.08390
30.6493235.39370
40.5012034.16334.5e-05
50.4354683.61730.000281
60.3534932.93630.002255
70.3365462.79560.003352
80.3070032.55020.006496
90.3200532.65860.004873
100.3682483.05890.001581
110.3324652.76170.003682
120.2936742.43940.008643
130.2643372.19570.015738
140.1814271.5070.068181
150.1147810.95340.171847
160.0454470.37750.353476
17-0.049078-0.40770.342387
18-0.117775-0.97830.165669
19-0.14914-1.23880.1098
20-0.170551-1.41670.080535
21-0.169413-1.40730.081921
22-0.228976-1.9020.030672
23-0.216768-1.80060.038067
24-0.222805-1.85080.034242
25-0.272323-2.26210.013422
26-0.247384-2.05490.021837
27-0.294897-2.44960.008422
28-0.313553-2.60460.005628
29-0.323758-2.68930.004485
30-0.33041-2.74460.003858
31-0.329636-2.73820.003927
32-0.352141-2.92510.002328
33-0.31891-2.64910.004999
34-0.302967-2.51660.007088
35-0.289074-2.40120.00952
36-0.290419-2.41240.009255
37-0.280763-2.33220.011308
38-0.301172-2.50170.007367
39-0.306685-2.54750.006541
40-0.309146-2.5680.006199
41-0.306778-2.54830.006527
42-0.276713-2.29860.012282
43-0.243027-2.01870.023701
44-0.197133-1.63750.053039
45-0.119874-0.99570.161425
46-0.056236-0.46710.320938
47-0.017311-0.14380.443039
480.0420440.34920.363984


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.8007016.65110
20.2543842.11310.019107
30.0249520.20730.418207
4-0.231672-1.92440.029214
50.0377890.31390.377271
60.0103560.0860.465848
70.1789571.48650.070847
80.0070160.05830.476849
90.1138510.94570.173797
100.1377221.1440.128288
11-0.111232-0.9240.179363
12-0.191901-1.5940.057748
13-0.021883-0.18180.428145
14-0.061031-0.5070.3069
15-0.029278-0.24320.404285
16-0.057214-0.47530.318052
17-0.151071-1.25490.106876
18-0.097261-0.80790.21096
190.0295020.24510.403567
20-0.01733-0.1440.442979
210.0364760.3030.381403
22-0.230174-1.9120.030016
230.0209430.1740.4312
240.0493550.410.341547
25-0.072533-0.60250.274406
260.046480.38610.350308
27-0.026534-0.22040.413102
280.0054760.04550.481927
29-0.021469-0.17830.429492
300.0009190.00760.496967
31-0.054439-0.45220.326271
32-0.000718-0.0060.497628
330.0749940.6230.267685
340.0107280.08910.464624
35-0.000371-0.00310.498775
36-0.203815-1.6930.047482
370.0080590.06690.473411
38-0.038192-0.31730.376006
39-0.027576-0.22910.40975
40-0.102565-0.8520.19859
410.0355610.29540.38429
420.0687860.57140.284799
430.0681370.5660.286619
44-0.065151-0.54120.295062
450.1006560.83610.202989
460.1457271.21050.115109
47-0.061917-0.51430.304335
480.099930.83010.204679
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Jan/04/t1262614626c512dw0qmyv0rpi/12nfa1262614524.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Jan/04/t1262614626c512dw0qmyv0rpi/12nfa1262614524.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Jan/04/t1262614626c512dw0qmyv0rpi/23txk1262614524.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Jan/04/t1262614626c512dw0qmyv0rpi/23txk1262614524.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')
 




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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