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eigen reeks stap 2 ACF

*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 13:06:09 -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/t12287668236o6gl06il3exwpp.htm/, Retrieved Mon, 08 Dec 2008 20:07:03 +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/08/t12287668236o6gl06il3exwpp.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 «

97,8 107,4 117,5 105,6 97,4 99,5 98,0 104,3 100,6 101,1 103,9 96,9 95,5 108,4 117,0 103,8 100,8 110,6 104,0 112,6 107,3 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 97,5 107,7 127,3 117,2 119,8 116,2 111,0 112,4 130,6 109,1 118,8 123,9 101,6 112,8 128,0 129,6 125,8 119,5 115,7 113,6 129,7 112,0 116,8 127,0 112,1 114,2 121,1 131,6 125,0 120,4 117,7 117,5 120,6 127,5 112,3 124,5 115,2 105,4

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	0.359538	3.3148	0.000675
2	0.198261	1.8279	0.035538
3	0.486407	4.4845	1.1e-05
4	0.174528	1.6091	0.055655
5	0.269103	2.481	0.007536
6	0.533942	4.9227	2e-06
7	0.165069	1.5219	0.065878
8	0.161808	1.4918	0.069728
9	0.3648	3.3633	0.000578
10	0.02642	0.2436	0.404071
11	0.223418	2.0598	0.021238
12	0.604234	5.5708	0
13	0.151393	1.3958	0.083209
14	0.062669	0.5778	0.282469
15	0.237415	2.1889	0.015675
16	-0.043026	-0.3967	0.346298
17	0.113438	1.0458	0.149299
18	0.283185	2.6108	0.005337
19	-0.039348	-0.3628	0.358839
20	0.010017	0.0924	0.463317
21	0.119473	1.1015	0.136897
22	-0.150362	-1.3863	0.084646
23	0.082731	0.7627	0.223865
24	0.278179	2.5647	0.006042
25	0.005686	0.0524	0.479157
26	-0.017912	-0.1651	0.434613
27	0.053853	0.4965	0.310413
28	-0.158961	-1.4655	0.073231
29	0.012591	0.1161	0.45393
30	0.082978	0.765	0.223191
31	-0.099444	-0.9168	0.180913
32	-0.052247	-0.4817	0.315631
33	-0.066604	-0.6141	0.270408
34	-0.188083	-1.734	0.043268
35	0.00782	0.0721	0.471347
36	0.1475	1.3599	0.088732

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.359538	3.3148	0.000675
2	0.079236	0.7305	0.233541
3	0.453369	4.1799	3.5e-05
4	-0.171629	-1.5823	0.058643
5	0.309026	2.8491	0.002749
6	0.247102	2.2782	0.012613
7	-0.113711	-1.0484	0.148721
8	0.004331	0.0399	0.484121
9	0.049101	0.4527	0.325962
10	-0.191573	-1.7662	0.040475
11	0.224567	2.0704	0.020724
12	0.399173	3.6802	0.000204
13	-0.140109	-1.2917	0.099975
14	-0.234495	-2.1619	0.016717
15	-0.14282	-1.3167	0.095734
16	-0.078857	-0.727	0.234604
17	-0.014838	-0.1368	0.445758
18	-0.069026	-0.6364	0.263118
19	0.039188	0.3613	0.359387
20	-0.031494	-0.2904	0.386125
21	-0.024223	-0.2233	0.411908
22	0.007363	0.0679	0.473018
23	0.09957	0.918	0.180612
24	-0.071321	-0.6575	0.256303
25	0.123064	1.1346	0.129868
26	-0.062041	-0.572	0.284418
27	0.045901	0.4232	0.336615
28	-0.114518	-1.0558	0.147024
29	0.015588	0.1437	0.443033
30	-0.136172	-1.2554	0.106379
31	0.150166	1.3845	0.08492
32	-0.100638	-0.9278	0.178061
33	-0.014401	-0.1328	0.447345
34	-0.005736	-0.0529	0.478974
35	0.073677	0.6793	0.249406
36	0.104162	0.9603	0.169807

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t12287668236o6gl06il3exwpp/11lak1228766764.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t12287668236o6gl06il3exwpp/11lak1228766764.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t12287668236o6gl06il3exwpp/2vplc1228766764.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t12287668236o6gl06il3exwpp/2vplc1228766764.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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