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Taak 8 - Step 3 ACF (6)

*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: Fri, 05 Dec 2008 03:10:06 -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/05/t1228471861xsf3wulfnvv8frd.htm/, Retrieved Fri, 05 Dec 2008 10:11:03 +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/05/t1228471861xsf3wulfnvv8frd.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 «

217859 208679 213188 216234 213587 209465 204045 200237 203666 241476 260307 243324 244460 233575 237217 235243 230354 227184 221678 217142 219452 256446 265845 248624 241114 229245 231805 219277 219313 212610 214771 211142 211457 240048 240636 230580 208795 197922 194596 194581 185686 178106 172608 167302 168053 202300 202388 182516 173476 166444 171297 169701 164182 161914 159612 151001 158114 186530 187069 174330

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	-0.22085	-1.5141	0.068352
2	0.175968	1.2064	0.116856
3	-0.11746	-0.8053	0.21236
4	0.190418	1.3054	0.099049
5	0.085878	0.5888	0.279423
6	0.044917	0.3079	0.379745
7	0.082095	0.5628	0.288117
8	-0.151498	-1.0386	0.152148
9	0.19008	1.3031	0.099441
10	-0.073269	-0.5023	0.308899
11	0.260693	1.7872	0.040176
12	-0.336505	-2.307	0.012755
13	0.082756	0.5673	0.28659
14	0.040414	0.2771	0.391472
15	0.07349	0.5038	0.30837
16	-0.147858	-1.0137	0.157967
17	-0.070196	-0.4812	0.316289
18	-0.005895	-0.0404	0.483968
19	-0.025799	-0.1769	0.430184
20	0.089672	0.6148	0.27084
21	-0.029479	-0.2021	0.420357
22	0.008259	0.0566	0.477543
23	-0.116381	-0.7979	0.21448
24	-0.043162	-0.2959	0.384304
25	-0.003548	-0.0243	0.490348
26	-0.070755	-0.4851	0.314939
27	-0.061422	-0.4211	0.337806
28	0.014605	0.1001	0.460335
29	-0.072991	-0.5004	0.309564
30	-0.054839	-0.376	0.354319
31	0.021045	0.1443	0.44295
32	-0.077885	-0.534	0.297945
33	0.01362	0.0934	0.463
34	-0.061358	-0.4206	0.337964
35	-0.037123	-0.2545	0.40011
36	0.005577	0.0382	0.484832
37	-0.043989	-0.3016	0.382154
38	-0.027839	-0.1909	0.42473
39	-0.003971	-0.0272	0.489198
40	-0.000255	-0.0017	0.499307
41	-0.011724	-0.0804	0.46814
42	0.01443	0.0989	0.460808
43	-0.007297	-0.05	0.480158
44	-0.018448	-0.1265	0.44995
45	-0.002012	-0.0138	0.494527
46	-0.000109	-7e-04	0.499705
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.22085	-1.5141	0.068352
2	0.133715	0.9167	0.181989
3	-0.058084	-0.3982	0.346141
4	0.144411	0.99	0.163615
5	0.185383	1.2709	0.105006
6	0.05111	0.3504	0.363805
7	0.101408	0.6952	0.245172
8	-0.154062	-1.0562	0.148139
9	0.078792	0.5402	0.295816
10	-0.012561	-0.0861	0.46587
11	0.177486	1.2168	0.114881
12	-0.246889	-1.6926	0.048577
13	-0.09954	-0.6824	0.249164
14	0.139134	0.9539	0.172518
15	0.018334	0.1257	0.450256
16	-0.185732	-1.2733	0.104584
17	-0.058372	-0.4002	0.345419
18	-0.015623	-0.1071	0.45758
19	0.036888	0.2529	0.400729
20	0.002578	0.0177	0.492986
21	0.109279	0.7492	0.228741
22	0.041188	0.2824	0.389449
23	0.003625	0.0248	0.49014
24	-0.240731	-1.6504	0.052768
25	-0.103933	-0.7125	0.239829
26	-0.006637	-0.0455	0.48195
27	0.014256	0.0977	0.461281
28	-0.019889	-0.1364	0.446061
29	-0.088031	-0.6035	0.274536
30	-0.028411	-0.1948	0.423203
31	0.103698	0.7109	0.240324
32	-0.105257	-0.7216	0.237056
33	0.030151	0.2067	0.418566
34	0.012118	0.0831	0.467072
35	-0.039141	-0.2683	0.394806
36	-0.041929	-0.2874	0.387516
37	-0.008024	-0.055	0.478183
38	0.022595	0.1549	0.438781
39	0.038621	0.2648	0.396172
40	-0.044815	-0.3072	0.38001
41	-0.072914	-0.4999	0.309747
42	-0.070849	-0.4857	0.314714
43	0.100084	0.6861	0.247998
44	-0.011317	-0.0776	0.469242
45	-0.005767	-0.0395	0.484315
46	0.01216	0.0834	0.466957
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228471861xsf3wulfnvv8frd/1hpa11228471804.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228471861xsf3wulfnvv8frd/1hpa11228471804.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228471861xsf3wulfnvv8frd/2ss7r1228471804.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228471861xsf3wulfnvv8frd/2ss7r1228471804.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1.2 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 0.2 ; 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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