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Autocorrelation Function porto

*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, 25 Jan 2010 07:02:55 -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/25/t1264428251vsyx7slxotcysn8.htm/, Retrieved Mon, 25 Jan 2010 15:04:13 +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/25/t1264428251vsyx7slxotcysn8.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:
KDGP2W21
 
Dataseries X:
» Textbox « » Textfile « » CSV «
8,2 8,21 8,22 8,2 8,18 8,2 8,19 8,24 8,31 8,27 8,36 8,32 8,29 8,27 8,27 8,43 8,46 8,48 8,46 8,46 8,43 8,4 8,38 8,3 8,39 8,53 8,52 8,54 8,62 8,52 8,49 8,44 8,31 8,26 8,21 8,03 7,89 7,83 7,85 7,84 7,88 8,01 8,08 8,11 8,11 8,07 8,06 7,95 7,95 8,07 8,17 8,21 8,2 8,19 8,18 8,16 8,17 8,17 8,19 8,01 8,04 8,13 8,14 8,17 8,25 8,27 8,27 8,26 8,24 8,21 8,25 8,06 8,16 8,32 8,43 8,39 8,41
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time3 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.9125798.00780
20.7873046.90860
30.6562085.75820
40.5240494.59858e-06
50.4162223.65230.000236
60.3452333.02940.001667
70.2826022.47980.007665
80.2422.12350.01846
90.2047051.79630.038186
100.1549141.35940.089
110.1068460.93760.175699
120.0648510.56910.285483
13-0.009756-0.08560.465999
14-0.077009-0.67580.25061
15-0.125987-1.10550.136185
16-0.167195-1.46710.073206
17-0.205832-1.80620.0374
18-0.232144-2.03710.022541
19-0.260262-2.28380.01257
20-0.265898-2.33320.011124
21-0.255424-2.24130.013942
22-0.225801-1.98140.025559
23-0.191722-1.68240.048275
24-0.190302-1.66990.049501
25-0.230631-2.02380.023231
26-0.274308-2.4070.009239
27-0.31383-2.75380.003672
28-0.335292-2.94220.002152
29-0.325322-2.85470.002766
30-0.289385-2.53930.006561
31-0.249978-2.19350.015643
32-0.208329-1.82810.035705
33-0.175439-1.53950.063894
34-0.16113-1.41390.08071
35-0.15412-1.35240.090104
36-0.152606-1.33910.092237
37-0.168833-1.48150.071277
38-0.164464-1.44320.076515
39-0.139852-1.22720.111743
40-0.117078-1.02740.153734
41-0.092539-0.8120.20964
42-0.066457-0.58320.280747
43-0.052451-0.46030.323314
44-0.028439-0.24960.401799
450.0110710.09720.461429
460.0354810.31130.37819
470.0530680.46570.321383
480.0693930.60890.272185


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.9125798.00780
2-0.272102-2.38770.009703
3-0.06106-0.53580.296821
4-0.082293-0.72210.236204
50.0727010.63790.262701
60.1016260.89180.187648
7-0.088057-0.77270.221034
80.0738670.64820.259399
9-0.073022-0.64080.261789
10-0.084734-0.74350.22971
110.0110860.09730.461378
12-0.002248-0.01970.492157
13-0.240753-2.11260.018938
140.0449420.39440.3472
150.0244640.21470.415296
16-0.0252-0.22110.412787
17-0.106483-0.93440.176512
18-0.024617-0.2160.414776
19-0.032905-0.28870.386779
200.0837180.73460.2324
210.0180770.15860.43719
220.1100110.96530.168697
23-0.058904-0.51690.303362
24-0.284325-2.49490.007369
25-0.129872-1.13960.128987
260.0516350.45310.325877
270.011670.10240.459352
280.029130.25560.399464
290.0678240.59520.276743
300.0107780.09460.46245
31-0.086755-0.76130.224409
32-0.065107-0.57130.284725
330.0316390.27760.39102
34-0.096408-0.8460.200094
35-0.024173-0.21210.416288
360.0759920.66680.253437
37-0.068703-0.60290.274186
380.0121470.10660.457698
390.018390.16140.436113
40-0.058227-0.51090.305428
41-0.03142-0.27570.391756
420.0069050.06060.475922
430.0170040.14920.440888
440.0627430.55060.291763
450.0003670.00320.49872
46-0.159015-1.39530.083461
470.0121550.10670.457667
480.0727630.63850.262523
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Jan/25/t1264428251vsyx7slxotcysn8/1veca1264428171.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Jan/25/t1264428251vsyx7slxotcysn8/1veca1264428171.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Jan/25/t1264428251vsyx7slxotcysn8/25q2d1264428171.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Jan/25/t1264428251vsyx7slxotcysn8/25q2d1264428171.ps (open in new window)


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