nsts Q8

*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: Tue, 02 Dec 2008 12:58:11 -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/02/t1228247936vyfsf1tya7ols0g.htm/, Retrieved Tue, 02 Dec 2008 19:58:58 +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/02/t1228247936vyfsf1tya7ols0g.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 «

377.2 332.2 364.8 352.4 341.6 298.2 355.3 330.9 314.5 418.9 433.2 367 422.9 352.1 419.8 432.7 414.2 387.7 297.2 357.4 384.2 425.2 385.3 355.4 409.8 421.2 421.8 464.2 494 404.2 411.4 403.4 403.3 520.9 439.8 434.8 476.5 454.3 522 498.4 439.9 450.7 447.1 451.3 466.8 498 533.6 451.9 477.1 410.4 469.5 485.4 406.7 439.7 412.2 440.2 411.1 477.7 463.2 320.5

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 0.560628 4.3426 2.8e-05 2 0.446991 3.4624 0.000497 3 0.442499 3.4276 0.000553 4 0.356382 2.7605 0.003822 5 0.485445 3.7602 0.000194 6 0.387619 3.0025 0.00195 7 0.349669 2.7085 0.004397 8 0.199079 1.5421 0.064159 9 0.163943 1.2699 0.104512 10 0.244242 1.8919 0.031667 11 0.273427 2.118 0.019165 12 0.35007 2.7116 0.00436 13 0.209425 1.6222 0.055003 14 0.09189 0.7118 0.23968 15 0.062409 0.4834 0.31528 16 0.053119 0.4115 0.341103 17 0.137416 1.0644 0.145701 18 0.163396 1.2657 0.105263 19 0.026269 0.2035 0.419724 20 -0.143921 -1.1148 0.13469 21 -0.137298 -1.0635 0.145908 22 -0.097382 -0.7543 0.226804 23 -0.122866 -0.9517 0.17253 24 -0.063201 -0.4896 0.313118 25 -0.185412 -1.4362 0.07807 26 -0.261403 -2.0248 0.023671 27 -0.215084 -1.666 0.05046 28 -0.268755 -2.0818 0.020819 29 -0.141704 -1.0976 0.138374 30 -0.163078 -1.2632 0.105702 31 -0.252614 -1.9567 0.027518 32 -0.297626 -2.3054 0.012309 33 -0.296059 -2.2933 0.012676 34 -0.23356 -1.8091 0.037719 35 -0.245372 -1.9006 0.031078 36 -0.137657 -1.0663 0.145283 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.560628 4.3426 2.8e-05 2 0.193508 1.4989 0.069571 3 0.199857 1.5481 0.06343 4 0.024102 0.1867 0.426265 5 0.310878 2.408 0.009564 6 -0.035676 -0.2763 0.391617 7 0.056791 0.4399 0.330793 8 -0.254175 -1.9688 0.026798 9 0.0192 0.1487 0.441135 10 0.033271 0.2577 0.398754 11 0.179914 1.3936 0.084288 12 0.145084 1.1238 0.132783 13 -0.060027 -0.465 0.321819 14 -0.172253 -1.3343 0.09358 15 -0.13665 -1.0585 0.147038 16 -0.093717 -0.7259 0.235353 17 0.038309 0.2967 0.383846 18 0.16666 1.2909 0.100838 19 -0.07131 -0.5524 0.291376 20 -0.216374 -1.676 0.049468 21 -0.09426 -0.7301 0.234075 22 -0.070039 -0.5425 0.294734 23 -0.1624 -1.2579 0.106643 24 0.095159 0.7371 0.231968 25 -0.021999 -0.1704 0.432632 26 0.073799 0.5716 0.284849 27 0.048719 0.3774 0.353614 28 -0.184632 -1.4302 0.07893 29 -0.035948 -0.2785 0.390811 30 -0.080489 -0.6235 0.267672 31 -0.009905 -0.0767 0.469548 32 0.027743 0.2149 0.415288 33 0.174161 1.349 0.091196 34 -0.024677 -0.1912 0.424526 35 -0.066831 -0.5177 0.303294 36 0.025254 0.1956 0.422785

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228247936vyfsf1tya7ols0g/1b3fn1228247890.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228247936vyfsf1tya7ols0g/1b3fn1228247890.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228247936vyfsf1tya7ols0g/2y8sk1228247890.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228247936vyfsf1tya7ols0g/2y8sk1228247890.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; 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 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

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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