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loïqueverhasselt

*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: Thu, 11 Dec 2008 07:31:57 -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/t1229006003fspf7g501dk66vg.htm/, Retrieved Thu, 11 Dec 2008 14:33:23 +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/t1229006003fspf7g501dk66vg.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)

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Paper statistiek, ACF 1

Dataseries X:

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77,7 78,89 90,2 77,26 80,76 84,93 66,08 71,56 80,78 83,31 85,3 73,94 78,7 81,32 86,8 80,76 84,46 84,21 73,64 70,85 83,78 89,12 78,93 80,54 81,67 82,53 88,2 89,17 83,7 89,79 77,58 70,11 88,07 92,49 83,33 90,05 82,91 88,52 96,42 90,87 86,4 97,47 85,67 79,91 95,73 94,6 91,92 90,38 82,31 87,82 101,29 89,58 87,83 99,95 82,67 84,65 97,83 97,47 97,66 99,14 90,02 100,97 112,48 91,44 108,46 98,41 89,35 92,8 100,43 104,85 108,36 101,54 105,26 101,8 112,36 99,5 104,65 101,13 89,8 87,84 96,41 103,26 100,31 92,33 96,19 96,37 103,06 101,5 101,88 100,85 95,56 87,6 101,18 110,8 101,1 104,42 103,27 100,87 107,8 104,99 100,76 104,46 100,62 87,84 107,31 115,61 103,43 109,93 104,43 106,69 123,1 109,42 101,46 124,48 101,49 100,46 115,51 113,37 115,4 118,2 106,82 110,17 119,91 112,31 110,62 120,37 97,94 103,02 116,36 108,51 122,54 121,32 112,25 109,89 129,58 107,2 118,68 118,25 102,67 104,19 117,74 123,3 122,2 112,71 118,53 115,32 127,36 110,45 122,22 123,39 116,2 109,22 116,98 132,89 125,24 115,68

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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.773743	9.664	0
2	0.698202	8.7205	0
3	0.758669	9.4758	0
4	0.68845	8.5987	0
5	0.706533	8.8246	0
6	0.760912	9.5038	0
7	0.646868	8.0794	0
8	0.642109	8.0199	0
9	0.653894	8.1671	0
10	0.54901	6.8571	0
11	0.635749	7.9405	0
12	0.738973	9.2298	0
13	0.574396	7.1742	0
14	0.522237	6.5227	0
15	0.535335	6.6863	0
16	0.480652	6.0033	0
17	0.524534	6.5514	0
18	0.554157	6.9214	0
19	0.469091	5.8589	0
20	0.46329	5.7865	0
21	0.4545	5.6767	0
22	0.37165	4.6419	4e-06
23	0.465544	5.8146	0
24	0.506559	6.3269	0
25	0.400681	5.0045	1e-06
26	0.339158	4.2361	1.9e-05
27	0.330668	4.13	2.9e-05
28	0.312236	3.8998	7.1e-05
29	0.341947	4.2709	1.7e-05
30	0.347086	4.3351	1.3e-05
31	0.307659	3.8427	8.8e-05
32	0.288963	3.6091	0.000207
33	0.257212	3.2126	0.000799
34	0.214949	2.6847	0.004022
35	0.276161	3.4493	0.000362
36	0.320745	4.0061	4.8e-05
37	0.246208	3.0751	0.001242
38	0.158941	1.9852	0.024439
39	0.161815	2.0211	0.022492
40	0.159661	1.9942	0.023938
41	0.160304	2.0022	0.023498
42	0.170476	2.1292	0.017402
43	0.154336	1.9277	0.027857
44	0.118467	1.4797	0.070491
45	0.100702	1.2578	0.105177
46	0.07163	0.8947	0.186173
47	0.091375	1.1413	0.127752
48	0.163634	2.0438	0.021328
49	0.096949	1.2109	0.113884
50	-0.010162	-0.1269	0.449582
51	0.019444	0.2429	0.404217
52	0.00898	0.1122	0.455422
53	-0.006356	-0.0794	0.468413
54	0.04157	0.5192	0.302177
55	0.00481	0.0601	0.476088
56	-0.032443	-0.4052	0.342936
57	-0.020263	-0.2531	0.400269
58	-0.061726	-0.771	0.220948
59	-0.042479	-0.5306	0.298239
60	0.054246	0.6775	0.249536

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.773743	9.664	0
2	0.247991	3.0974	0.001158
3	0.426218	5.3235	0
4	-0.008364	-0.1045	0.458469
5	0.26728	3.3383	0.000527
6	0.215711	2.6942	0.003914
7	-0.161167	-2.013	0.022919
8	0.063825	0.7972	0.21328
9	-0.071647	-0.8949	0.186117
10	-0.183355	-2.2901	0.011678
11	0.277011	3.4599	0.000349
12	0.342374	4.2763	1.6e-05
13	-0.269782	-3.3696	0.000474
14	-0.251988	-3.1473	0.000987
15	-0.129453	-1.6169	0.053964
16	0.042842	0.5351	0.296672
17	0.023166	0.2893	0.38635
18	0.103265	1.2898	0.099518
19	0.103844	1.297	0.098272
20	-0.086038	-1.0746	0.142104
21	-0.008449	-0.1055	0.458044
22	-0.044071	-0.5504	0.2914
23	0.084243	1.0522	0.147169
24	-0.071642	-0.8948	0.186133
25	0.033221	0.4149	0.339382
26	-0.18565	-2.3188	0.010853
27	-0.030299	-0.3784	0.352811
28	0.096959	1.211	0.113861
29	-0.042572	-0.5317	0.297835
30	-0.030445	-0.3803	0.352134
31	0.095728	1.1956	0.116825
32	0.004446	0.0555	0.477895
33	-0.049304	-0.6158	0.269462
34	-0.008999	-0.1124	0.455324
35	0.000321	0.004	0.498403
36	0.066316	0.8283	0.204386
37	-0.050612	-0.6321	0.264109
38	-0.106085	-1.325	0.093555
39	0.005372	0.0671	0.473294
40	-0.029914	-0.3736	0.354597
41	-0.047971	-0.5992	0.27497
42	-0.041233	-0.515	0.303641
43	0.102925	1.2855	0.100256
44	0.004832	0.0603	0.475977
45	0.054491	0.6806	0.248569
46	-0.02492	-0.3113	0.378013
47	-0.078752	-0.9836	0.163414
48	0.042567	0.5317	0.297858
49	-0.034184	-0.427	0.335001
50	-0.107255	-1.3396	0.091159
51	0.040378	0.5043	0.307372
52	-0.038153	-0.4765	0.317182
53	-0.016316	-0.2038	0.419391
54	0.052066	0.6503	0.258226
55	-0.018148	-0.2267	0.410487
56	0.031348	0.3915	0.347968
57	-0.015837	-0.1978	0.421728
58	0.05487	0.6853	0.247079
59	0.00991	0.1238	0.450826
60	0.040776	0.5093	0.305633

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229006003fspf7g501dk66vg/1fj721229005911.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229006003fspf7g501dk66vg/1fj721229005911.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229006003fspf7g501dk66vg/2db521229005911.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229006003fspf7g501dk66vg/2db521229005911.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; 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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Error 001_3: History of computation (impact.txt) is not saved due to a technical problem. We are sorry for this inconveniance and will correct it A.S.A.P.