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Broodprijs

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 29 Nov 2007 12:46:36 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2007/Nov/29/t119636560624sg61k5s678ozb.htm/, Retrieved Thu, 29 Nov 2007 20:46:46 +0100

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

1,43 1,43 1,43 1,43 1,43 1,43 1,44 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,57 1,58 1,58 1,58 1,58 1,59 1,6 1,6 1,61 1,61 1,61 1,62 1,63 1,63 1,64 1,64 1,64 1,64 1,64 1,65 1,65 1,65 1,65

Text written by user:

Output produced by software:

Summary of compuational transaction Raw Input view raw input (R code) Raw Output view raw output of R engine Computing time 6 seconds R Server 'Herman Ole Andreas Wold' @ 193.190.124.10:1001 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 0 1 7.746 0 1 0.947211 7.3371 0 2 0.889916 6.8933 0 3 0.832021 6.4448 0 4 0.773224 5.9894 0 5 0.717526 5.5579 0 6 0.658223 5.0986 2e-06 7 0.598225 4.6338 1e-05 8 0.548961 4.2522 3.8e-05 9 0.496392 3.845 0.000147 10 0.447223 3.4642 0.000494 11 0.397753 3.081 0.001556 12 0.348679 2.7009 0.004488 13 0.300601 2.3284 0.011638 14 0.251923 1.9514 0.027842 15 0.20024 1.5511 0.063074 16 0.152257 1.1794 0.121451 17 0.104275 0.8077 0.211225 18 0.059992 0.4647 0.321916 19 0.019108 0.148 0.441415 20 -0.024479 -0.1896 0.574873 21 -0.068066 -0.5272 0.700012 22 -0.111653 -0.8649 0.804719 23 -0.15154 -1.1738 0.877447 24 -0.158128 -1.2249 0.887292 25 -0.164717 -1.2759 0.896545 26 -0.171306 -1.3269 0.90522 27 -0.177894 -1.378 0.913334 28 -0.184483 -1.429 0.920905 29 -0.191072 -1.48 0.927952 30 -0.19766 -1.5311 0.934496 31 -0.215063 -1.6659 0.949524 32 -0.236371 -1.8309 0.963961 33 -0.257979 -1.9983 0.974889 34 -0.279588 -2.1657 0.982839 35 -0.301196 -2.3331 0.988492 36 -0.324006 -2.5097 0.992601 37 -0.348318 -2.6981 0.995478 38 -0.346751 -2.6859 0.995329 39 -0.343476 -2.6606 0.995004 40 -0.340503 -2.6375 0.99469 41 -0.337529 -2.6145 0.994359 42 -0.335757 -2.6008 0.994152 43 -0.332578 -2.5761 0.993765 44 -0.32679 -2.5313 0.992999 45 -0.322204 -2.4958 0.992333 46 -0.31501 -2.4401 0.991172 47 -0.307816 -2.3843 0.989855 48 -0.300621 -2.3286 0.988366 49 -0.290518 -2.2503 0.985947 50 -0.278708 -2.1589 0.982565 51 -0.267198 -2.0697 0.978603 52 -0.252779 -1.958 0.972559 53 -0.23836 -1.8463 0.965111 54 -0.209142 -1.62 0.944763 55 -0.176225 -1.365 0.91133 56 -0.143307 -1.11 0.864296 57 -0.10748 -0.8325 0.795796 58 -0.071653 -0.555 0.709529 59 -0.035827 -0.2775 0.60883 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 0 0.947211 7.3371 0 1 -0.070945 -0.5495 0.707663 2 -0.03442 -0.2666 0.604659 3 -0.040033 -0.3101 0.621219 4 -0.002078 -0.0161 0.506394 5 -0.070172 -0.5436 0.705618 6 -0.039873 -0.3089 0.620749 7 0.068544 0.5309 0.29871 8 -0.072054 -0.5581 0.710583 9 -0.001621 -0.0126 0.504988 10 -0.040693 -0.3152 0.623151 11 -0.024561 -0.1902 0.575121 12 -0.037411 -0.2898 0.61351 13 -0.041371 -0.3205 0.625134 14 -0.0604 -0.4679 0.67921 15 -0.01095 -0.0848 0.533656 16 -0.037162 -0.2879 0.612774 17 -0.010848 -0.084 0.533344 18 -0.01062 -0.0823 0.532644 19 -0.06868 -0.532 0.701653 20 -0.046728 -0.362 0.640671 21 -0.052043 -0.4031 0.655855 22 -0.004943 -0.0383 0.515207 23 0.277356 2.1484 0.017864 24 -0.04622 -0.358 0.639208 25 -0.027012 -0.2092 0.582514 26 -0.037089 -0.2873 0.612561 27 -0.010218 -0.0791 0.531411 28 -0.054265 -0.4203 0.662128 29 -0.025111 -0.1945 0.576783 30 -0.08186 -0.6341 0.735781 31 -0.095676 -0.7411 0.769239 32 -0.020671 -0.1601 0.563336 33 -0.042725 -0.3309 0.629082 34 -0.0387 -0.2998 0.617304 35 -0.059292 -0.4593 0.67615 36 -0.067794 -0.5251 0.699286 37 0.207935 1.6107 0.056252 38 -0.018454 -0.1429 0.556592 39 -0.028255 -0.2189 0.58625 40 -0.018945 -0.1467 0.558087 41 -0.01657 -0.1284 0.55085 42 -0.053918 -0.4176 0.661151 43 -0.012278 -0.0951 0.537726 44 -0.00112 -0.0087 0.503445 45 -0.007327 -0.0568 0.522535 46 0.08917 0.6907 0.246207 47 -0.047973 -0.3716 0.64425 48 0.004959 0.0384 0.484744 49 -0.008059 -0.0624 0.524784 50 -0.0263 -0.2037 0.580367 51 0.00303 0.0235 0.490675 52 -0.009186 -0.0712 0.528245 53 0.116429 0.9019 0.185369 54 -0.00523 -0.0405 0.51609 55 0.018952 0.1468 0.441892 56 0.006493 0.0503 0.480026 57 -0.00315 -0.0244 0.509692 58 -0.020626 -0.1598 0.5632 59 NA NA NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t119636560624sg61k5s678ozb/11b2p1196365588.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t119636560624sg61k5s678ozb/11b2p1196365588.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t119636560624sg61k5s678ozb/2itv11196365588.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t119636560624sg61k5s678ozb/2itv11196365588.ps (open in new window)

Parameters:

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

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 (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='lags',ylab='ACF') 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 1:par1) { 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(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-1,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(mytstat,lengthx),6)) a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable1.tab')

Copyright

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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