(P)ACF Producten van metaal (2)

*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 11:17:13 -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/t1228328318wa0g03owl9r1qtc.htm/, Retrieved Wed, 03 Dec 2008 18:18:40 +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/t1228328318wa0g03owl9r1qtc.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 «

98.4 99.4 108.8 112.6 104.4 112.2 81.1 97.1 112.6 113.8 107.8 103.2 103.3 101.2 107.7 110.4 101.9 115.9 89.9 88.6 117.2 123.9 100 103.6 94.1 98.7 119.5 112.7 104.4 124.7 89.1 97 121.6 118.8 114 111.5 97.2 102.5 113.4 109.8 104.9 126.1 80 96.8 117.2 112.3 117.3 111.1 102.2 104.3 122.9 107.6 121.3 131.5 89 104.4 128.9 135.9 133.3 121.3 120.5 120.4 137.9 126.1 133.2 151.1 105 119 140.4 156.6 137.1 122.7 125.8

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 0.353905 2.7641 0.003769 2 0.422805 3.3022 0.000804 3 0.53415 4.1718 4.9e-05 4 0.250239 1.9544 0.027619 5 0.378158 2.9535 0.002229 6 0.33071 2.5829 0.006105 7 0.066596 0.5201 0.302428 8 0.227941 1.7803 0.040006 9 0.231652 1.8093 0.03767 10 -0.05887 -0.4598 0.323651 11 0.058245 0.4549 0.325395 12 -0.122266 -0.9549 0.171691 13 -0.066084 -0.5161 0.303814 14 0.008279 0.0647 0.474326 15 -0.163036 -1.2734 0.103862 16 -0.144066 -1.1252 0.132458 17 -0.039544 -0.3088 0.379244 18 -0.099552 -0.7775 0.219927 19 -0.116018 -0.9061 0.184215 20 -0.02868 -0.224 0.411752 21 -0.133829 -1.0452 0.150019 22 -0.103983 -0.8121 0.209936 23 0.064184 0.5013 0.308984 24 -0.170803 -1.334 0.093579 25 -0.052773 -0.4122 0.340831 26 0.073649 0.5752 0.283631 27 -0.058248 -0.4549 0.325387 28 -0.01446 -0.1129 0.455227 29 0.053813 0.4203 0.337874 30 -0.079984 -0.6247 0.26725 31 0.016349 0.1277 0.449408 32 0.028594 0.2233 0.412014 33 -0.157257 -1.2282 0.112042 34 -0.02359 -0.1842 0.427216 35 -0.104268 -0.8144 0.209303 36 -0.132736 -1.0367 0.151984 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.353905 2.7641 0.003769 2 0.34016 2.6567 0.005028 3 0.407263 3.1808 0.001155 4 -0.074765 -0.5839 0.28071 5 0.089383 0.6981 0.243882 6 0.03153 0.2463 0.403155 7 -0.243684 -1.9032 0.030866 8 -0.023201 -0.1812 0.428405 9 0.171202 1.3371 0.093073 10 -0.205831 -1.6076 0.056544 11 -0.158019 -1.2342 0.110937 12 -0.221558 -1.7304 0.044305 13 0.159907 1.2489 0.108235 14 0.087494 0.6834 0.248486 15 -0.016172 -0.1263 0.449953 16 -0.040325 -0.315 0.376937 17 0.089947 0.7025 0.242517 18 0.06267 0.4895 0.313133 19 -0.083523 -0.6523 0.258318 20 0.098866 0.7722 0.221498 21 0.048041 0.3752 0.354402 22 -0.267171 -2.0867 0.020552 23 0.110435 0.8625 0.195888 24 -0.096599 -0.7545 0.226737 25 0.036725 0.2868 0.387608 26 0.082101 0.6412 0.261888 27 0.071448 0.558 0.289435 28 -0.132573 -1.0354 0.152278 29 0.008639 0.0675 0.473213 30 0.056405 0.4405 0.330552 31 -0.048117 -0.3758 0.354182 32 -0.082241 -0.6423 0.261534 33 -0.069009 -0.539 0.295932 34 -0.154858 -1.2095 0.115572 35 -0.0748 -0.5842 0.280619 36 -0.027465 -0.2145 0.415432

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228328318wa0g03owl9r1qtc/1gcuc1228328232.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228328318wa0g03owl9r1qtc/1gcuc1228328232.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228328318wa0g03owl9r1qtc/28unx1228328232.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228328318wa0g03owl9r1qtc/28unx1228328232.ps (open in new window)

Parameters (Session):

par1 = -0.4 ; par2 = 0 ; par3 = 1 ; par4 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = -0.8 ; 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')

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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