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(P)ACF Transportmiddelen (2)

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 04 Dec 2008 11:19:15 -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/04/t122841491090nc1h7jb7rpf6g.htm/, Retrieved Thu, 04 Dec 2008 18:21:53 +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/04/t122841491090nc1h7jb7rpf6g.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 «

100.8 105.3 116.1 112.8 114.5 117.2 77.1 80.1 120.3 133.4 109.4 93.2 91.2 99.2 108.2 101.5 106.9 104.4 77.9 60 99.5 95 105.6 102.5 93.3 97.3 127 111.7 96.4 133 72.2 95.8 124.1 127.6 110.7 104.6 112.7 115.3 139.4 119 97.4 154 81.5 88.8 127.7 105.1 114.9 106.4 104.5 121.6 141.4 99 126.7 134.1 81.3 88.6 132.7 132.9 134.4 103.7 119.7 115 132.9 108.5 113.9 142 97.7 92.2 128.8 134.9 128.2 114.8 117.9

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	0.179105	1.3989	0.08346
2	0.370076	2.8904	0.002661
3	0.186929	1.46	0.074716
4	0.094025	0.7344	0.232772
5	0.257603	2.0119	0.024324
6	0.177769	1.3884	0.08503
7	-0.026996	-0.2108	0.416855
8	0.153936	1.2023	0.116951
9	0.00351	0.0274	0.48911
10	-0.130911	-1.0224	0.155303
11	-0.063915	-0.4992	0.30972
12	-0.475099	-3.7106	0.000225
13	-0.135679	-1.0597	0.146733
14	-0.241581	-1.8868	0.031974
15	-0.141391	-1.1043	0.136901
16	-0.153752	-1.2008	0.117227
17	-0.210444	-1.6436	0.0527
18	-0.194127	-1.5162	0.067319
19	-0.07565	-0.5908	0.278403
20	-0.183631	-1.4342	0.07831
21	-0.013146	-0.1027	0.45928
22	-0.19271	-1.5051	0.068728
23	0.022523	0.1759	0.430474
24	0.03912	0.3055	0.3805
25	0.072396	0.5654	0.286928
26	0.131628	1.028	0.153994
27	0.04417	0.345	0.36565
28	0.007724	0.0603	0.476046
29	0.094781	0.7403	0.230991
30	0.032937	0.2572	0.398927
31	0.012134	0.0948	0.462405
32	0.070076	0.5473	0.29308
33	-0.022376	-0.1748	0.430923
34	0.171922	1.3428	0.092164
35	0.009818	0.0767	0.469565
36	-0.043872	-0.3427	0.366519

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.179105	1.3989	0.08346
2	0.3492	2.7273	0.004163
3	0.095599	0.7467	0.229071
4	-0.075705	-0.5913	0.278262
5	0.187477	1.4642	0.074131
6	0.139668	1.0908	0.139817
7	-0.250506	-1.9565	0.027493
8	0.049527	0.3868	0.350118
9	0.089121	0.6961	0.244518
10	-0.311764	-2.435	0.008917
11	-0.169372	-1.3228	0.095414
12	-0.365724	-2.8564	0.002925
13	-0.003832	-0.0299	0.488112
14	-0.023453	-0.1832	0.427634
15	0.080372	0.6277	0.266264
16	0.020667	0.1614	0.436151
17	0.019982	0.1561	0.438249
18	0.088808	0.6936	0.245278
19	0.048605	0.3796	0.352775
20	-0.009085	-0.071	0.471831
21	0.114845	0.897	0.186631
22	-0.305173	-2.3835	0.010139
23	-0.003607	-0.0282	0.488808
24	-0.109216	-0.853	0.198497
25	0.058086	0.4537	0.325839
26	0.05468	0.4271	0.335419
27	0.031168	0.2434	0.404243
28	-0.096161	-0.751	0.227758
29	-0.046451	-0.3628	0.359007
30	0.028982	0.2264	0.41084
31	-0.078062	-0.6097	0.272167
32	-0.12799	-0.9996	0.160718
33	0.101509	0.7928	0.215481
34	-0.031209	-0.2438	0.40412
35	0.025766	0.2012	0.42059
36	-0.129749	-1.0134	0.157442

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/04/t122841491090nc1h7jb7rpf6g/1k5w31228414754.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/04/t122841491090nc1h7jb7rpf6g/1k5w31228414754.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/04/t122841491090nc1h7jb7rpf6g/2m3ju1228414754.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/04/t122841491090nc1h7jb7rpf6g/2m3ju1228414754.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = -0.1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = -0.1 ; 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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