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autocorrelatie autos

*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 10:38:37 -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/t1229017193u1e1mt6hzf02nni.htm/, Retrieved Thu, 11 Dec 2008 17:39:54 +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/t1229017193u1e1mt6hzf02nni.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:

Dataseries X:

» Textbox « » Textfile « » CSV «

104.89 105.15 105.24 105.57 105.62 106.17 106.27 106.41 106.94 107.16 107.32 107.32 107.35 107.55 107.87 108.37 108.38 107.92 108.03 108.14 108.3 108.64 108.66 109.04 109.03 109.03 109.54 109.75 109.83 109.65 109.82 109.95 110.12 110.15 110.21 109.99 110.14 110.14 110.81 110.97 110.99 109.73 109.81 110.02 110.18 110.21 110.25 110.36 110.51 110.6 110.95 111.18 111.19 111.69 111.7 111.83 111.77 111.73 112.01 111.86 112.04

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.056764	-0.3933	0.347929
2	0.003845	0.0266	0.489428
3	-0.18183	-1.2598	0.106924
4	-0.037964	-0.263	0.396831
5	0.061612	0.4269	0.335695
6	-0.005075	-0.0352	0.486049
7	0.011995	0.0831	0.467058
8	0.08098	0.561	0.288688
9	0.013377	0.0927	0.463272
10	0.024316	0.1685	0.433463
11	-0.023463	-0.1626	0.435775
12	-0.45133	-3.1269	0.001499
13	6e-05	4e-04	0.499834
14	0.006886	0.0477	0.481074
15	0.135349	0.9377	0.17654
16	0.04886	0.3385	0.368226
17	0.026481	0.1835	0.427603
18	-0.107294	-0.7434	0.230445
19	-0.004335	-0.03	0.488083
20	-0.107813	-0.747	0.229368
21	0.02739	0.1898	0.425147
22	0.032099	0.2224	0.412478
23	0.016051	0.1112	0.45596
24	0.2649	1.8353	0.036332
25	0.016072	0.1114	0.455901
26	-0.097038	-0.6723	0.252309
27	-0.034678	-0.2403	0.405578
28	-0.034198	-0.2369	0.40686
29	0.003268	0.0226	0.491014
30	0.061398	0.4254	0.336232
31	-0.048163	-0.3337	0.370036
32	0.045226	0.3133	0.377691
33	-0.061835	-0.4284	0.335137
34	-0.004062	-0.0281	0.488832
35	0.016065	0.1113	0.45592
36	-0.275557	-1.9091	0.031118

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.056764	-0.3933	0.347929
2	0.000625	0.0043	0.498281
3	-0.182164	-1.2621	0.106511
4	-0.060767	-0.421	0.337815
5	0.056694	0.3928	0.348108
6	-0.032719	-0.2267	0.410816
7	-0.008255	-0.0572	0.477315
8	0.105537	0.7312	0.234112
9	0.024744	0.1714	0.432302
10	0.023279	0.1613	0.436275
11	0.018528	0.1284	0.449198
12	-0.463189	-3.2091	0.001187
13	-0.075415	-0.5225	0.301866
14	0.012476	0.0864	0.465739
15	-0.051769	-0.3587	0.36071
16	0.026346	0.1825	0.427967
17	0.137354	0.9516	0.17303
18	-0.133758	-0.9267	0.179358
19	0.022073	0.1529	0.439548
20	-0.005941	-0.0412	0.483669
21	-0.072673	-0.5035	0.30846
22	0.059596	0.4129	0.340762
23	0.005118	0.0355	0.485931
24	0.03573	0.2475	0.40277
25	0.067812	0.4698	0.320307
26	-0.100728	-0.6979	0.244316
27	0.042512	0.2945	0.38481
28	0.074658	0.5172	0.303681
29	-0.042605	-0.2952	0.384565
30	-0.022376	-0.155	0.438725
31	-0.034965	-0.2422	0.404812
32	-0.127842	-0.8857	0.190094
33	-0.038232	-0.2649	0.396117
34	0.042401	0.2938	0.385102
35	0.007188	0.0498	0.480245
36	-0.171446	-1.1878	0.120376

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229017193u1e1mt6hzf02nni/1jseu1229017116.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229017193u1e1mt6hzf02nni/1jseu1229017116.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229017193u1e1mt6hzf02nni/233bz1229017116.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229017193u1e1mt6hzf02nni/233bz1229017116.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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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