| | *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, 10 Jan 2011 20:58:25 +0000 | | Cite this page as follows: | Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2011/Jan/10/t1294693053ir71n1dx3q9oarr.htm/, Retrieved Mon, 10 Jan 2011 21:57:33 +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/2011/Jan/10/t1294693053ir71n1dx3q9oarr.htm/},
year = {2011},
}
@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 = {2011},
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 « | 921365
987921
1132614
1332224
1418133
1411549
1695920
1636173
1539653
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1241822
1136029 | | Output produced by software: |
Autocorrelation Function | Time lag k | ACF(k) | T-STAT | P-value | 1 | 0.913764 | 7.078 | 0 | 2 | 0.850298 | 6.5864 | 0 | 3 | 0.783388 | 6.0681 | 0 | 4 | 0.689555 | 5.3413 | 1e-06 | 5 | 0.562225 | 4.355 | 2.6e-05 | 6 | 0.454012 | 3.5168 | 0.000419 | 7 | 0.336665 | 2.6078 | 0.005741 | 8 | 0.207031 | 1.6037 | 0.057021 | 9 | 0.068784 | 0.5328 | 0.298069 | 10 | -0.038804 | -0.3006 | 0.38239 | 11 | -0.145498 | -1.127 | 0.132111 | 12 | -0.248504 | -1.9249 | 0.029493 | 13 | -0.304003 | -2.3548 | 0.010911 | 14 | -0.332273 | -2.5738 | 0.006274 | 15 | -0.364008 | -2.8196 | 0.003253 | 16 | -0.367278 | -2.8449 | 0.003034 | 17 | -0.365177 | -2.8287 | 0.003173 | 18 | -0.342493 | -2.6529 | 0.005098 | 19 | -0.324082 | -2.5103 | 0.007388 | 20 | -0.275004 | -2.1302 | 0.018633 | 21 | -0.222699 | -1.725 | 0.044836 | 22 | -0.190592 | -1.4763 | 0.072544 | 23 | -0.161662 | -1.2522 | 0.107673 | 24 | -0.120754 | -0.9354 | 0.176678 | 25 | -0.078808 | -0.6104 | 0.271938 | 26 | -0.061416 | -0.4757 | 0.317999 | 27 | -0.039906 | -0.3091 | 0.379155 | 28 | -0.019158 | -0.1484 | 0.441262 | 29 | 0.006136 | 0.0475 | 0.481124 | 30 | 0.000279 | 0.0022 | 0.499142 | 31 | -0.00392 | -0.0304 | 0.487937 | 32 | -0.010789 | -0.0836 | 0.466837 | 33 | -0.028387 | -0.2199 | 0.413353 | 34 | -0.034241 | -0.2652 | 0.39587 | 35 | -0.023057 | -0.1786 | 0.429426 | 36 | -0.029752 | -0.2305 | 0.40926 | 37 | -0.03116 | -0.2414 | 0.405047 | 38 | -0.041011 | -0.3177 | 0.375919 | 39 | -0.049883 | -0.3864 | 0.350287 | 40 | -0.066827 | -0.5176 | 0.303307 | 41 | -0.077869 | -0.6032 | 0.274334 | 42 | -0.080061 | -0.6202 | 0.268753 | 43 | -0.078222 | -0.6059 | 0.273431 | 44 | -0.094804 | -0.7343 | 0.232799 | 45 | -0.078338 | -0.6068 | 0.273135 | 46 | -0.080681 | -0.6249 | 0.267187 | 47 | -0.086209 | -0.6678 | 0.25342 | 48 | -0.088334 | -0.6842 | 0.24823 | 49 | -0.07375 | -0.5713 | 0.284976 | 50 | -0.071637 | -0.5549 | 0.290514 | 51 | -0.060197 | -0.4663 | 0.321351 | 52 | -0.053181 | -0.4119 | 0.340925 | 53 | -0.039176 | -0.3035 | 0.381296 | 54 | -0.034111 | -0.2642 | 0.396256 | 55 | -0.020368 | -0.1578 | 0.437585 | 56 | -0.016287 | -0.1262 | 0.450014 | 57 | -0.011912 | -0.0923 | 0.463395 | 58 | -0.003073 | -0.0238 | 0.490545 | 59 | -0.002779 | -0.0215 | 0.491449 | 60 | NA | NA | NA |
Partial Autocorrelation Function | Time lag k | PACF(k) | T-STAT | P-value | 1 | 0.913764 | 7.078 | 0 | 2 | 0.092909 | 0.7197 | 0.23726 | 3 | -0.038457 | -0.2979 | 0.383409 | 4 | -0.205256 | -1.5899 | 0.058556 | 5 | -0.314363 | -2.435 | 0.00894 | 6 | -0.036057 | -0.2793 | 0.390488 | 7 | -0.081024 | -0.6276 | 0.26632 | 8 | -0.112653 | -0.8726 | 0.193178 | 9 | -0.175804 | -1.3618 | 0.089181 | 10 | 0.024015 | 0.186 | 0.426529 | 11 | -0.008733 | -0.0676 | 0.473147 | 12 | -0.038798 | -0.3005 | 0.382407 | 13 | 0.195606 | 1.5152 | 0.067492 | 14 | 0.146084 | 1.1316 | 0.131161 | 15 | -0.007059 | -0.0547 | 0.478287 | 16 | 0.037387 | 0.2896 | 0.386561 | 17 | -0.156194 | -1.2099 | 0.115536 | 18 | 0.000824 | 0.0064 | 0.497464 | 19 | -0.087048 | -0.6743 | 0.251365 | 20 | 0.064248 | 0.4977 | 0.31027 | 21 | -0.007488 | -0.058 | 0.476971 | 22 | -0.184924 | -1.4324 | 0.078608 | 23 | -0.106363 | -0.8239 | 0.206634 | 24 | -0.044102 | -0.3416 | 0.366918 | 25 | 0.197924 | 1.5331 | 0.065252 | 26 | 0.008346 | 0.0646 | 0.474336 | 27 | 0.003794 | 0.0294 | 0.488328 | 28 | -0.026748 | -0.2072 | 0.418282 | 29 | 0.088067 | 0.6822 | 0.248881 | 30 | -0.074439 | -0.5766 | 0.283183 | 31 | -0.097494 | -0.7552 | 0.226547 | 32 | -0.052354 | -0.4055 | 0.343264 | 33 | -0.052853 | -0.4094 | 0.341854 | 34 | 0.062171 | 0.4816 | 0.315929 | 35 | 0.106479 | 0.8248 | 0.206382 | 36 | -0.083981 | -0.6505 | 0.258922 | 37 | 0.055854 | 0.4326 | 0.333411 | 38 | -0.098745 | -0.7649 | 0.223673 | 39 | -0.061124 | -0.4735 | 0.318799 | 40 | -0.059607 | -0.4617 | 0.322979 | 41 | -0.06122 | -0.4742 | 0.318537 | 42 | 0.047938 | 0.3713 | 0.355851 | 43 | -0.006272 | -0.0486 | 0.480708 | 44 | -0.057828 | -0.4479 | 0.327906 | 45 | 0.076887 | 0.5956 | 0.276853 | 46 | -0.023732 | -0.1838 | 0.427384 | 47 | 0.0719 | 0.5569 | 0.289823 | 48 | 0.023471 | 0.1818 | 0.428173 | 49 | 0.036543 | 0.2831 | 0.389053 | 50 | -0.138052 | -1.0693 | 0.144599 | 51 | -0.031625 | -0.245 | 0.403659 | 52 | -0.029692 | -0.23 | 0.40944 | 53 | -0.025466 | -0.1973 | 0.422145 | 54 | 0.023532 | 0.1823 | 0.427991 | 55 | -0.037076 | -0.2872 | 0.387477 | 56 | -0.11864 | -0.919 | 0.180892 | 57 | -0.004518 | -0.035 | 0.486101 | 58 | 0.07272 | 0.5633 | 0.28767 | 59 | -0.030339 | -0.235 | 0.407502 | 60 | NA | NA | NA |
| | Charts produced by software: | | http://www.freestatistics.org/blog/date/2011/Jan/10/t1294693053ir71n1dx3q9oarr/1sjo51294693102.png (open in new window) | http://www.freestatistics.org/blog/date/2011/Jan/10/t1294693053ir71n1dx3q9oarr/1sjo51294693102.ps (open in new window) |
| http://www.freestatistics.org/blog/date/2011/Jan/10/t1294693053ir71n1dx3q9oarr/274ou1294693102.png (open in new window) | http://www.freestatistics.org/blog/date/2011/Jan/10/t1294693053ir71n1dx3q9oarr/274ou1294693102.ps (open in new window) |
| | Parameters (Session): | par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ; | | Parameters (R input): | par1 = 60 ; 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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