paper autocorrelation adapted bel20

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 03 Dec 2008 07:02:03 -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/03/t1228312986ebv2mcgxhquyith.htm/, Retrieved Wed, 03 Dec 2008 14:03:08 +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/03/t1228312986ebv2mcgxhquyith.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 «

2659.81 2638.53 2720.25 2745.88 2735.7 2811.7 2799.43 2555.28 2304.98 2214.95 2065.81 1940.49 2042 1995.37 1946.81 1765.9 1635.25 1833.42 1910.43 1959.67 1969.6 2061.41 2093.48 2120.88 2174.56 2196.72 2350.44 2440.25 2408.64 2472.81 2407.6 2454.62 2448.05 2497.84 2645.64 2756.76 2849.27 2921.44 2981.85 3080.58 3106.22 3119.31 3061.26 3097.31 3161.69 3257.16 3277.01 3295.32 3363.99 3494.17 3667.03 3813.06 3917.96 3895.51 3801.06 3570.12 3701.61 3862.27 3970.1 4138.52 4199.75 4290.89 4443.91 4502.64 4356.98 4591.27 4696.96 4621.4 4562.84 4202.52 4296.49 4435.23 4105.18 4116.68 3844.49 3720.98 3674.4 3857.62 3801.06 3504.37 3032.6 3047.03

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 'Gwilym Jenkins' @ 72.249.127.135 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 -0.325871 -2.9147 0.002308 2 -0.15371 -1.3748 0.086512 3 -0.007065 -0.0632 0.474886 4 -0.154697 -1.3836 0.085158 5 0.174095 1.5571 0.061691 6 0.035798 0.3202 0.37483 7 -0.106637 -0.9538 0.171531 8 0.14522 1.2989 0.098857 9 -0.089681 -0.8021 0.212427 10 -0.10013 -0.8956 0.186579 11 0.083751 0.7491 0.227999 12 0.075861 0.6785 0.2497 13 -0.131962 -1.1803 0.120689 14 0.093263 0.8342 0.203336 15 -0.036249 -0.3242 0.373308 16 0.002871 0.0257 0.489788 17 0.059176 0.5293 0.299037 18 -0.094312 -0.8436 0.200718 19 0.019063 0.1705 0.432522 20 0.011473 0.1026 0.459261 21 0.009807 0.0877 0.465161 22 0.012034 0.1076 0.457277 23 -0.057629 -0.5155 0.303829 24 -0.052703 -0.4714 0.319323 25 0.125823 1.1254 0.131893 26 -0.012031 -0.1076 0.457288 27 0.05027 0.4496 0.327097 28 -0.041022 -0.3669 0.357327 29 -0.066399 -0.5939 0.27713 30 -0.020697 -0.1851 0.426802 31 0.004709 0.0421 0.483255 32 0.077974 0.6974 0.24378 33 -0.002946 -0.0263 0.489522 34 0.027118 0.2425 0.404488 35 -0.084656 -0.7572 0.225582 36 0.026571 0.2377 0.406378 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 -0.325871 -2.9147 0.002308 2 -0.290781 -2.6008 0.005537 3 -0.20346 -1.8198 0.036265 4 -0.359832 -3.2184 0.000931 5 -0.132013 -1.1808 0.120599 6 -0.088232 -0.7892 0.216173 7 -0.173682 -1.5535 0.062131 8 0.036284 0.3245 0.373191 9 -0.008247 -0.0738 0.470691 10 -0.129465 -1.158 0.12516 11 -0.076771 -0.6867 0.247141 12 0.084812 0.7586 0.225166 13 -0.157073 -1.4049 0.08196 14 -0.032968 -0.2949 0.384427 15 -0.005463 -0.0489 0.480576 16 -0.015823 -0.1415 0.443905 17 0.005664 0.0507 0.479861 18 0.002685 0.024 0.490451 19 -0.017427 -0.1559 0.438264 20 -0.085247 -0.7625 0.22401 21 0.032422 0.29 0.386288 22 -0.023768 -0.2126 0.416094 23 -0.11753 -1.0512 0.148161 24 -0.176795 -1.5813 0.058878 25 0.002713 0.0243 0.49035 26 -0.068937 -0.6166 0.269628 27 0.068656 0.6141 0.270453 28 0.067494 0.6037 0.273881 29 0.026051 0.233 0.408174 30 -0.052813 -0.4724 0.318972 31 -0.065102 -0.5823 0.281004 32 0.001332 0.0119 0.49526 33 -0.114646 -1.0254 0.154126 34 0.047216 0.4223 0.336966 35 -0.035852 -0.3207 0.374649 36 0.037621 0.3365 0.368691

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228312986ebv2mcgxhquyith/13hs91228312921.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228312986ebv2mcgxhquyith/13hs91228312921.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228312986ebv2mcgxhquyith/25nqg1228312921.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228312986ebv2mcgxhquyith/25nqg1228312921.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 0.9 ; par3 = 2 ; 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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