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blok 17 Q8 acf x(t) d=1 D=1

*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: Wed, 03 Dec 2008 14:05:57 -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/t1228338498rfg0xi14iyyyxmd.htm/, Retrieved Wed, 03 Dec 2008 21:08:21 +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/t1228338498rfg0xi14iyyyxmd.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

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

98.6 98 106.8 96.6 100.1 107.7 91.5 97.8 107.4 117.5 105.6 97.4 99.5 98 104.3 100.6 101.1 103.9 96.9 95.5 108.4 117 103.8 100.8 110.6 104 112.6 107.3 98.9 109.8 104.9 102.2 123.9 124.9 112.7 121.9 100.6 104.3 120.4 107.5 102.9 125.6 107.5 108.8 128.4 121.1 119.5 128.7 108.7 105.5 119.8 111.3 110.6 120.1 97.5 107.7 127.3 117.2 119.8 116.2 111 112.4 130.6 109.1 118.8 123.9 101.6 112.8 128 129.6 125.8 119.5

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	-0.467724	-3.5927	0.000334
2	-0.139294	-1.0699	0.144503
3	0.275622	2.1171	0.019239
4	-0.234141	-1.7985	0.038609
5	0.000547	0.0042	0.498331
6	0.257656	1.9791	0.026239
7	-0.342314	-2.6294	0.005446
8	0.097772	0.751	0.227819
9	0.289108	2.2207	0.015113
10	-0.32773	-2.5173	0.00728
11	0.176668	1.357	0.089973
12	-0.052783	-0.4054	0.343311
13	-0.233198	-1.7912	0.039193
14	0.336664	2.586	0.0061
15	-0.105237	-0.8083	0.211072
16	-0.232052	-1.7824	0.039913
17	0.378587	2.908	0.00256
18	-0.15505	-1.191	0.119219
19	-0.100851	-0.7747	0.220819
20	0.140967	1.0828	0.141654
21	-0.057233	-0.4396	0.330912
22	-0.128718	-0.9887	0.163423
23	0.332167	2.5514	0.00667
24	-0.266682	-2.0484	0.022488
25	-0.018736	-0.1439	0.443029
26	0.120794	0.9278	0.178636
27	-0.078569	-0.6035	0.274244
28	0.018001	0.1383	0.445248
29	0.055484	0.4262	0.335763
30	-0.100677	-0.7733	0.221212
31	0.049063	0.3769	0.353815
32	0.101304	0.7781	0.219801
33	-0.183264	-1.4077	0.082237
34	0.09098	0.6988	0.243701
35	0.00565	0.0434	0.482766
36	-0.068822	-0.5286	0.299522

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.467724	-3.5927	0.000334
2	-0.458326	-3.5205	0.000419
3	-0.054705	-0.4202	0.337935
4	-0.217554	-1.6711	0.050003
5	-0.225694	-1.7336	0.044107
6	0.07605	0.5842	0.280672
7	-0.216472	-1.6628	0.050833
8	-0.204038	-1.5672	0.061203
9	0.149852	1.151	0.127181
10	0.021141	0.1624	0.435779
11	0.156638	1.2032	0.11686
12	-0.063317	-0.4863	0.314261
13	-0.239794	-1.8419	0.035259
14	0.002537	0.0195	0.492258
15	-0.07553	-0.5802	0.282009
16	-0.212506	-1.6323	0.053972
17	0.037334	0.2868	0.387646
18	0.018416	0.1415	0.443996
19	0.017151	0.1317	0.44782
20	-0.188739	-1.4497	0.076214
21	0.127665	0.9806	0.165394
22	-0.028526	-0.2191	0.41366
23	0.148168	1.1381	0.129839
24	0.06531	0.5017	0.30889
25	-0.064786	-0.4976	0.310297
26	-0.243903	-1.8735	0.032981
27	-0.105866	-0.8132	0.209694
28	-0.160488	-1.2327	0.111282
29	-0.057344	-0.4405	0.330603
30	0.017427	0.1339	0.446985
31	-0.063471	-0.4875	0.313846
32	-0.070175	-0.539	0.295949
33	-0.03475	-0.2669	0.395231
34	-0.019076	-0.1465	0.442002
35	-0.002544	-0.0195	0.492239
36	0.008051	0.0618	0.475451

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228338498rfg0xi14iyyyxmd/1z9iq1228338355.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228338498rfg0xi14iyyyxmd/1z9iq1228338355.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228338498rfg0xi14iyyyxmd/2r4471228338355.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228338498rfg0xi14iyyyxmd/2r4471228338355.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; 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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