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Paper autocorrelation functie metaal

*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: Fri, 12 Dec 2008 08:21:21 -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/12/t1229095379tdgvi90kubosjvq.htm/, Retrieved Fri, 12 Dec 2008 16:22:59 +0100

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/12/t1229095379tdgvi90kubosjvq.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},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

103.3 101.2 107.7 110.4 101.9 115.9 89.9 88.6 117.2 123.9 100 103.6 94.1 98.7 119.5 112.7 104.4 124.7 89.1 97 121.6 118.8 114 111.5 97.2 102.5 113.4 109.8 104.9 126.1 80 96.8 117.2 112.3 117.3 111.1 102.2 104.3 122.9 107.6 121.3 131.5 89 104.4 128.9 135.9 133.3 121.3 120.5 120.4 137.9 126.1 133.2 151.1 105 119 140.4 156.6 137.1 122.7

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	-0.518769	-3.5565	0.000435
2	0.051769	0.3549	0.362123
3	0.138226	0.9476	0.174083
4	-0.139179	-0.9542	0.172441
5	0.054631	0.3745	0.354848
6	0.14407	0.9877	0.164181
7	-0.211477	-1.4498	0.076875
8	0.021039	0.1442	0.442965
9	0.243458	1.6691	0.050877
10	-0.279328	-1.915	0.030796
11	0.100511	0.6891	0.247085
12	0.01755	0.1203	0.452373
13	-0.067995	-0.4662	0.321629
14	-0.04635	-0.3178	0.376038
15	0.082616	0.5664	0.286912
16	-0.185397	-1.271	0.104989
17	0.191314	1.3116	0.098016
18	-0.088045	-0.6036	0.274504
19	-0.065065	-0.4461	0.3288
20	0.004308	0.0295	0.488282
21	0.071811	0.4923	0.312395
22	-0.101483	-0.6957	0.245012
23	0.164082	1.1249	0.133174
24	-0.105117	-0.7206	0.237347
25	-0.136463	-0.9355	0.177146
26	0.287048	1.9679	0.027497
27	-0.217091	-1.4883	0.071675
28	0.083384	0.5717	0.285141
29	0.059615	0.4087	0.342307
30	-0.124835	-0.8558	0.198219
31	0.129686	0.8891	0.189243
32	0.042931	0.2943	0.384904
33	-0.111661	-0.7655	0.223898
34	0.080056	0.5488	0.292859
35	0.068313	0.4683	0.320857
36	-0.12248	-0.8397	0.202669
37	0.047262	0.324	0.373684
38	0.01745	0.1196	0.452643
39	-0.049553	-0.3397	0.36779
40	0.068029	0.4664	0.321549
41	-0.030423	-0.2086	0.417842
42	-0.051954	-0.3562	0.361651
43	0.08806	0.6037	0.27447
44	-0.051068	-0.3501	0.363911
45	-0.047966	-0.3288	0.371869
46	-0.005516	-0.0378	0.484999
47	NA	NA	NA
48	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.518769	-3.5565	0.000435
2	-0.297386	-2.0388	0.02356
3	0.028208	0.1934	0.423746
4	-0.027431	-0.1881	0.42582
5	-0.019509	-0.1337	0.447088
6	0.198428	1.3604	0.090103
7	-0.009048	-0.062	0.475402
8	-0.16619	-1.1393	0.130167
9	0.187447	1.2851	0.102533
10	0.001717	0.0118	0.495329
11	-0.096308	-0.6603	0.256158
12	-0.071235	-0.4884	0.313782
13	0.025632	0.1757	0.430632
14	-0.19459	-1.334	0.09431
15	-0.141093	-0.9673	0.169177
16	-0.142425	-0.9764	0.166929
17	0.054446	0.3733	0.355315
18	-0.073609	-0.5046	0.308086
19	-0.040207	-0.2756	0.392013
20	-0.117993	-0.8089	0.211319
21	0.002203	0.0151	0.494007
22	-0.074743	-0.5124	0.305381
23	0.180823	1.2397	0.110628
24	0.079692	0.5463	0.293709
25	-0.209712	-1.4377	0.07857
26	0.006329	0.0434	0.482788
27	-0.010679	-0.0732	0.470974
28	-0.050927	-0.3491	0.364272
29	0.01206	0.0827	0.467229
30	-0.056377	-0.3865	0.350434
31	0.098483	0.6752	0.251439
32	-0.005157	-0.0354	0.485975
33	0.073016	0.5006	0.309505
34	0.056526	0.3875	0.350058
35	0.080515	0.552	0.291787
36	0.034606	0.2372	0.406748
37	-0.030285	-0.2076	0.418211
38	-0.080263	-0.5503	0.292376
39	-0.043173	-0.296	0.384274
40	-0.05358	-0.3673	0.357514
41	0.002074	0.0142	0.494359
42	0.04379	0.3002	0.382672
43	0.06364	0.4363	0.332311
44	-0.049048	-0.3363	0.369086
45	-0.037531	-0.2573	0.399036
46	-0.061258	-0.42	0.338214
47	NA	NA	NA
48	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229095379tdgvi90kubosjvq/15ii81229095276.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229095379tdgvi90kubosjvq/15ii81229095276.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229095379tdgvi90kubosjvq/2ucxe1229095276.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229095379tdgvi90kubosjvq/2ucxe1229095276.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; 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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