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(Partial) Autocorrelation Function Prijsindexcijfers Grondstoffen

*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: Mon, 08 Dec 2008 10:51:15 -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/08/t1228758734cseywg8z7hq57sd.htm/, Retrieved Mon, 08 Dec 2008 17:52:14 +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/08/t1228758734cseywg8z7hq57sd.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 «

101 104 99 105 107 111 117 119 127 128 135 132 136 143 142 153 145 138 148 152 169 169 161 174 179 191 190 182 175 181 197 194 197 216 221 218 230 227 204 197 199 208 191 202 211 224 224 231 244 235 250 266 288 283 295 312 334 348 383 407

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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.89218	6.9108	0
2	0.793506	6.1465	0
3	0.712927	5.5223	0
4	0.636964	4.9339	3e-06
5	0.56885	4.4063	2.2e-05
6	0.509814	3.949	0.000104
7	0.459	3.5554	0.000372
8	0.396586	3.0719	0.001598
9	0.350209	2.7127	0.004348
10	0.315858	2.4466	0.008684
11	0.290257	2.2483	0.014121
12	0.247842	1.9198	0.029822
13	0.214094	1.6584	0.051231
14	0.187797	1.4547	0.075486
15	0.159181	1.233	0.111191
16	0.138476	1.0726	0.143867
17	0.122354	0.9478	0.173529
18	0.113572	0.8797	0.191259
19	0.093967	0.7279	0.234763
20	0.084094	0.6514	0.258642
21	0.082296	0.6375	0.263125
22	0.073471	0.5691	0.285704
23	0.039893	0.309	0.379194
24	0.005802	0.0449	0.482153
25	-0.019129	-0.1482	0.441352
26	-0.047992	-0.3717	0.355695
27	-0.078266	-0.6062	0.273318
28	-0.100009	-0.7747	0.220789
29	-0.124251	-0.9624	0.169844
30	-0.15045	-1.1654	0.124238
31	-0.160103	-1.2402	0.109874
32	-0.167198	-1.2951	0.100121
33	-0.180848	-1.4008	0.083205
34	-0.197632	-1.5309	0.065531
35	-0.214708	-1.6631	0.050752
36	-0.226963	-1.758	0.04192

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.89218	6.9108	0
2	-0.012157	-0.0942	0.462645
3	0.035375	0.274	0.392508
4	-0.018164	-0.1407	0.44429
5	0.00048	0.0037	0.498524
6	0.00748	0.0579	0.476994
7	0.010468	0.0811	0.467823
8	-0.081349	-0.6301	0.265502
9	0.041506	0.3215	0.374474
10	0.025685	0.199	0.421484
11	0.0321	0.2486	0.402241
12	-0.093042	-0.7207	0.236945
13	0.017382	0.1346	0.446675
14	0.006412	0.0497	0.480275
15	-0.014699	-0.1139	0.454866
16	0.012893	0.0999	0.46039
17	0.004964	0.0384	0.484729
18	0.026038	0.2017	0.420421
19	-0.03971	-0.3076	0.379729
20	0.027553	0.2134	0.415859
21	0.024996	0.1936	0.423563
22	-0.028193	-0.2184	0.413936
23	-0.122669	-0.9502	0.172913
24	-0.036384	-0.2818	0.389521
25	0.001435	0.0111	0.495585
26	-0.02776	-0.215	0.415237
27	-0.050986	-0.3949	0.347146
28	0.001296	0.01	0.49601
29	-0.040347	-0.3125	0.377862
30	-0.013063	-0.1012	0.459871
31	0.031214	0.2418	0.404888
32	-0.025321	-0.1961	0.422583
33	-0.040354	-0.3126	0.377843
34	-0.024681	-0.1912	0.424517
35	-0.037718	-0.2922	0.385584
36	-0.009408	-0.0729	0.471073

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228758734cseywg8z7hq57sd/1fbef1228758670.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228758734cseywg8z7hq57sd/1fbef1228758670.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228758734cseywg8z7hq57sd/2zeh91228758670.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228758734cseywg8z7hq57sd/2zeh91228758670.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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')

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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