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6bis oef 2 stap 1- Sandy Dorekens

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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: Tue, 09 Dec 2008 02:46:40 -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/09/t1228816053levvf60e49ug77r.htm/, Retrieved Tue, 09 Dec 2008 09:47:35 +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/09/t1228816053levvf60e49ug77r.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 «

9.026 9.787 9.536 9.490 9.736 9.694 9.647 9.753 10.070 10.137 9.984 9.732 9.103 9.155 9.308 9.394 9.948 10.177 10.002 9.728 10.002 10.063 10.018 9.960 10.236 10.893 10.756 10.940 10.997 10.827 10.166 10.186 10.457 10.368 10.244 10.511 10.812 10.738 10.171 9.721 9.897 9.828 9.924 10.371 10.846 10.413 10.709 10.662 10.570 10.297 10.635 10.872 10.296 10.383 10.431 10.574 10.653 10.805 10.872 10.625 10.407 10.463 10.556 10.646 10.702 11.353 11.346 11.451 11.964 12.574 13.031 13.812 14.544 14.931 14.886 16.005 17.064 15.168 16.050 15.839 15.137 14.954 15.648 15.305

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	0.940213	8.6172	0
2	0.882895	8.0919	0
3	0.836704	7.6685	0
4	0.77338	7.0881	0
5	0.696045	6.3794	0
6	0.62656	5.7425	0
7	0.565884	5.1864	1e-06
8	0.470534	4.3125	2.2e-05
9	0.391121	3.5847	0.000283
10	0.329582	3.0207	0.001671
11	0.264345	2.4228	0.008776
12	0.199325	1.8268	0.035638
13	0.144884	1.3279	0.093906
14	0.104231	0.9553	0.171086
15	0.072558	0.665	0.253933
16	0.048362	0.4432	0.329363
17	0.037625	0.3448	0.365538
18	0.029432	0.2697	0.394009
19	0.017583	0.1612	0.436179
20	0.008181	0.075	0.470204
21	0.002178	0.02	0.49206
22	-0.004717	-0.0432	0.482809
23	-0.011005	-0.1009	0.459951
24	-0.013618	-0.1248	0.450485
25	-0.014947	-0.137	0.445684
26	-0.020189	-0.185	0.426824
27	-0.025488	-0.2336	0.407933
28	-0.027213	-0.2494	0.401826
29	-0.033048	-0.3029	0.381362
30	-0.03928	-0.36	0.359871
31	-0.047378	-0.4342	0.332618
32	-0.051817	-0.4749	0.318041
33	-0.06585	-0.6035	0.273892
34	-0.073311	-0.6719	0.251742
35	-0.074392	-0.6818	0.248616
36	-0.077977	-0.7147	0.238398
37	-0.081404	-0.7461	0.228852
38	-0.079335	-0.7271	0.234587
39	-0.077239	-0.7079	0.240481
40	-0.086088	-0.789	0.216163
41	-0.089813	-0.8232	0.206377
42	-0.08711	-0.7984	0.213453
43	-0.083	-0.7607	0.224481
44	-0.078907	-0.7232	0.235783
45	-0.068433	-0.6272	0.266114
46	-0.0644	-0.5902	0.278309
47	-0.066042	-0.6053	0.273311
48	-0.075644	-0.6933	0.245021

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.940213	8.6172	0
2	-0.009534	-0.0874	0.465289
3	0.065897	0.604	0.27375
4	-0.170087	-1.5589	0.061393
5	-0.156119	-1.4309	0.078091
6	-0.0082	-0.0752	0.470136
7	0.037595	0.3446	0.365643
8	-0.309153	-2.8334	0.002882
9	0.089396	0.8193	0.207458
10	0.038223	0.3503	0.363488
11	-0.000424	-0.0039	0.498453
12	-0.001587	-0.0145	0.494216
13	-0.020537	-0.1882	0.425576
14	0.029353	0.269	0.394285
15	0.167064	1.5312	0.064743
16	-0.031829	-0.2917	0.385612
17	0.040655	0.3726	0.355189
18	-0.007071	-0.0648	0.474241
19	-0.069793	-0.6397	0.262065
20	-0.031188	-0.2858	0.387851
21	-0.035642	-0.3267	0.372366
22	-0.077552	-0.7108	0.239596
23	0.047357	0.434	0.332688
24	-0.005044	-0.0462	0.481619
25	0.013776	0.1263	0.449915
26	0.006423	0.0589	0.476599
27	-0.014524	-0.1331	0.447209
28	0.026096	0.2392	0.405778
29	-0.00037	-0.0034	0.498653
30	-0.016577	-0.1519	0.439803
31	-0.026682	-0.2445	0.403704
32	0.019987	0.1832	0.427546
33	-0.111232	-1.0195	0.155456
34	0.06364	0.5833	0.280636
35	-0.003742	-0.0343	0.48636
36	-0.000336	-0.0031	0.498777
37	0.010695	0.098	0.461074
38	0.044451	0.4074	0.342376
39	-0.045281	-0.415	0.339599
40	-0.028823	-0.2642	0.396149
41	-0.033798	-0.3098	0.378752
42	0.024271	0.2225	0.412251
43	0.055555	0.5092	0.305985
44	0.009678	0.0887	0.464766
45	0.011002	0.1008	0.459963
46	-0.066425	-0.6088	0.272153
47	-0.035156	-0.3222	0.374047
48	-0.11877	-1.0885	0.139734

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228816053levvf60e49ug77r/12gty1228815999.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228816053levvf60e49ug77r/12gty1228815999.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228816053levvf60e49ug77r/2fjil1228815999.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228816053levvf60e49ug77r/2fjil1228815999.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; 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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