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OEF 2 deel 1 De Laet Sven

*Unverified author*
R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Thu, 11 Dec 2008 01:24:21 -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/11/t1228983906wqdzqwa2bizxrje.htm/, Retrieved Thu, 11 Dec 2008 08:25:09 +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/11/t1228983906wqdzqwa2bizxrje.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 «
102.9 102.9 102.9 102.9 104.2 104.7 104.7 104.7 104.7 104.7 104.7 104.7 104.7 104.7 104.7 104.7 106 107 107 107 107 107 107 107 107 107 107 107 107.6 109.9 109.9 109.9 109.9 109.9 109.9 109.9 109.9 109.9 109.9 109.9 110.6 114.3 114.3 114.3 114.3 114.3 114.3 114.3 114.3 114.3 114.3 114.3 114.3 119.01 119.01 119.01 119.01 119.01 119.01 119.01 119.01 119.01 119.01 119.01 121.27 123.54 123.54 123.54 123.54 123.54 123.54 123.54 123.54 123.54 123.54 123.54 123.54 125.24 125.24 125.24 125.24 125.24 125.24 125.24 125.24 125.24 125.24 125.24 125.24 128.35 128.35 128.35 128.35 128.35 128.35 128.35
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.9702359.50630
20.9387989.19830
30.9073628.89030
40.8759268.58230
50.8469168.2980
60.818848.0230
70.7907647.74790
80.7688537.53320
90.7469417.31850
100.725037.10380
110.7031196.88910
120.6791656.65440
130.6474286.34350
140.6136266.01230
150.5798245.68110
160.5460235.34990
170.5146485.04251e-06
180.485144.75344e-06
190.4556324.46431.1e-05
200.4294944.20822.9e-05
210.4033563.95217.4e-05
220.3772183.6960.000182
230.351083.43990.000431
240.3235263.16990.001023
250.2895562.83710.002777
260.2526762.47570.007525
270.2157952.11440.018538
280.1789151.7530.041397
290.1431551.40260.081977
300.1116891.09430.138276
310.0802220.7860.216897
320.0532560.52180.301506
330.0307690.30150.381852
340.0082820.08110.467746
35-0.014204-0.13920.444802
36-0.03753-0.36770.356946
37-0.066147-0.64810.259231
38-0.096804-0.94850.172633
39-0.127461-1.24890.107378
40-0.158117-1.54920.062309
41-0.187467-1.83680.034667
42-0.209909-2.05670.021215
43-0.232352-2.27660.012516
44-0.245458-2.4050.009045
45-0.258564-2.53340.006458
46-0.27167-2.66180.004556
47-0.284775-2.79020.003177
48-0.298223-2.9220.002168


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.9702359.50630
2-0.043606-0.42720.335078
3-0.015438-0.15130.440043
4-0.016504-0.16170.435939
50.0247270.24230.404544
6-0.002054-0.02010.491993
7-0.016298-0.15970.436732
80.0896770.87870.190891
9-0.017171-0.16820.433374
10-0.011693-0.11460.454513
11-0.013055-0.12790.449244
12-0.040256-0.39440.34707
13-0.144359-1.41440.080236
14-0.048954-0.47960.316285
15-0.008489-0.08320.466942
16-0.024718-0.24220.404575
170.0106290.10410.458637
180.0065980.06460.474295
19-0.026154-0.25630.39915
200.0123820.12130.451848
21-0.024254-0.23760.406332
22-0.016031-0.15710.43776
23-0.020575-0.20160.420329
24-0.027599-0.27040.39371
25-0.109876-1.07660.142187
26-0.067441-0.66080.255166
27-0.018572-0.1820.427997
28-0.034724-0.34020.367214
29-0.028083-0.27520.391893
300.0337190.33040.370917
31-0.035085-0.34380.365889
320.0216540.21220.416215
330.044010.43120.333642
34-0.018208-0.17840.429392
35-0.025606-0.25090.401219
36-0.022555-0.2210.412784
37-0.074555-0.73050.233436
38-0.053443-0.52360.30087
39-0.017734-0.17380.43121
40-0.022846-0.22380.411678
41-0.028748-0.28170.389399
420.0691930.67790.249718
43-0.036818-0.36070.359543
440.1059821.03840.150845
45-0.051667-0.50620.306927
46-0.0104-0.10190.459526
47-0.024694-0.2420.404666
48-0.011557-0.11320.455041
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1228983906wqdzqwa2bizxrje/1p3n31228983860.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1228983906wqdzqwa2bizxrje/1p3n31228983860.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1228983906wqdzqwa2bizxrje/2xyg71228983860.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1228983906wqdzqwa2bizxrje/2xyg71228983860.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')
 




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Creative Commons License

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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