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NSTS_Q7 (bouw)

*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, 01 Dec 2008 11:45:53 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/01/t122815728289xbd41t33lyzja.htm/, Retrieved Mon, 01 Dec 2008 18:48:03 +0000

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/2008/Dec/01/t122815728289xbd41t33lyzja.htm/},
    year = {2008},
}
@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 = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
test

Post a new message

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

82.7 88.9 105.9 100.8 94 105 58.5 87.6 113.1 112.5 89.6 74.5 82.7 90.1 109.4 96 89.2 109.1 49.1 92.9 107.7 103.5 91.1 79.8 71.9 82.9 90.1 100.7 90.7 108.8 44.1 93.6 107.4 96.5 93.6 76.5 76.7 84 103.3 88.5 99 105.9 44.7 94 107.1 104.8 102.5 77.7 85.2 91.3 106.5 92.4 97.5 107 51.1 98.6 102.2 114.3 99.4 72.5

Output produced by software:

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.094194	-0.6526	0.258565
2	0.20824	1.4427	0.077796
3	0.055139	0.382	0.352069
4	0.166807	1.1557	0.126767
5	0.095895	0.6644	0.254812
6	0.20209	1.4001	0.083954
7	-0.059065	-0.4092	0.342102
8	0.186938	1.2951	0.100733
9	0.200831	1.3914	0.085261
10	-0.020102	-0.1393	0.444909
11	0.078727	0.5454	0.29399
12	-0.168396	-1.1667	0.124552
13	0.046895	0.3249	0.373335
14	-0.111289	-0.771	0.222233
15	0.103798	0.7191	0.237773
16	-0.209014	-1.4481	0.077046
17	0.121197	0.8397	0.202626
18	-0.091108	-0.6312	0.265448
19	0.010078	0.0698	0.472311
20	-0.222109	-1.5388	0.065208
21	-0.003924	-0.0272	0.489213
22	-0.250558	-1.7359	0.044497
23	-0.012287	-0.0851	0.466258
24	-0.143634	-0.9951	0.162332
25	-0.175376	-1.215	0.115147
26	0.059464	0.412	0.341093
27	-0.079423	-0.5503	0.292347
28	-0.115728	-0.8018	0.213314
29	-0.085094	-0.5895	0.27913
30	-0.069681	-0.4828	0.315728
31	-0.118511	-0.8211	0.207833
32	0.034693	0.2404	0.405538
33	-0.080035	-0.5545	0.290906
34	0.02787	0.1931	0.423852
35	0.047448	0.3287	0.371894
36	-0.059884	-0.4149	0.340035

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.094194	-0.6526	0.258565
2	0.201152	1.3936	0.084926
3	0.094378	0.6539	0.258159
4	0.145908	1.0109	0.158571
5	0.103341	0.716	0.23874
6	0.173305	1.2007	0.117881
7	-0.082496	-0.5715	0.285147
8	0.079291	0.5493	0.292657
9	0.2258	1.5644	0.062148
10	-0.078245	-0.5421	0.295131
11	-0.040654	-0.2817	0.389708
12	-0.259479	-1.7977	0.039256
13	-0.083956	-0.5817	0.281758
14	-0.181169	-1.2552	0.107745
15	0.055804	0.3866	0.350372
16	-0.106745	-0.7395	0.231588
17	0.059765	0.4141	0.340336
18	0.057013	0.395	0.347297
19	0.010816	0.0749	0.470289
20	-0.121325	-0.8406	0.20238
21	0.036887	0.2556	0.39969
22	-0.15013	-1.0401	0.151744
23	-0.065073	-0.4508	0.327068
24	-0.102596	-0.7108	0.240321
25	-0.146642	-1.016	0.15737
26	0.082261	0.5699	0.285694
27	0.084188	0.5833	0.281221
28	-0.025869	-0.1792	0.429257
29	0.070497	0.4884	0.31374
30	0.036162	0.2505	0.40162
31	0.052758	0.3655	0.358166
32	-0.057705	-0.3998	0.345542
33	0.102847	0.7125	0.239788
34	-0.036831	-0.2552	0.39984
35	0.038213	0.2647	0.396168
36	-0.182762	-1.2662	0.105774

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/01/t122815728289xbd41t33lyzja/1mx0z1228157152.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/01/t122815728289xbd41t33lyzja/1mx0z1228157152.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/01/t122815728289xbd41t33lyzja/2qslb1228157152.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/01/t122815728289xbd41t33lyzja/2qslb1228157152.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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 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')

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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