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(P)ACF tabaksproductie

*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: Sat, 13 Dec 2008 05:52:28 -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/13/t1229172789g1twj3bsqmzfoz3.htm/, Retrieved Sat, 13 Dec 2008 13:53:10 +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/13/t1229172789g1twj3bsqmzfoz3.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 «

44.9 48.1 52.3 48.9 52.6 60.3 50.5 41.6 56 51.4 52.9 54.9 43.9 51 51.9 54.3 50.3 57.2 48.8 41.1 58 63 53.8 54.7 55.5 56.1 69.6 69.4 57.2 68 53.3 47.9 60.8 61.7 57.8 51.4 50.5 48.1 58.7 54 56.1 60.4 51.2 50.7 56.4 53.3 52.6 47.7 49.5 48.5 55.3 49.8 57.4 64.6 53 41.5 55.9 58.4 53.5 50.6 58.5

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	-0.360148	-2.4952	0.008041
2	-0.116148	-0.8047	0.212481
3	0.212462	1.472	0.073777
4	-0.237959	-1.6486	0.052878
5	0.104213	0.722	0.236895
6	0.131045	0.9079	0.184233
7	-0.162335	-1.1247	0.133157
8	0.077477	0.5368	0.29695
9	-0.008105	-0.0562	0.477726
10	-0.085236	-0.5905	0.278802
11	0.120762	0.8367	0.203463
12	-0.202583	-1.4035	0.083447
13	0.018398	0.1275	0.449553
14	0.215149	1.4906	0.071305
15	-0.355828	-2.4653	0.00866
16	0.246471	1.7076	0.047086
17	0.045054	0.3121	0.378141
18	-0.203453	-1.4096	0.082557
19	0.173157	1.1997	0.118078
20	-0.050166	-0.3476	0.364844
21	-0.090065	-0.624	0.267794
22	0.143482	0.9941	0.162587
23	0.040212	0.2786	0.390876
24	-0.22624	-1.5674	0.061791
25	0.096332	0.6674	0.253854
26	-0.104601	-0.7247	0.236079
27	0.078719	0.5454	0.294009
28	0.065312	0.4525	0.326476
29	-0.123379	-0.8548	0.198456
30	0.034941	0.2421	0.404876
31	-0.053321	-0.3694	0.356721
32	-0.006997	-0.0485	0.48077
33	0.123239	0.8538	0.198721
34	-0.092083	-0.638	0.263263
35	-0.018735	-0.1298	0.448635
36	0.081218	0.5627	0.288131
37	-0.036186	-0.2507	0.401558
38	-0.010219	-0.0708	0.471926
39	0.080573	0.5582	0.289642
40	-0.062396	-0.4323	0.333732
41	0.027603	0.1912	0.424573
42	-0.000555	-0.0038	0.498475
43	-0.019002	-0.1316	0.447906
44	-0.000708	-0.0049	0.498053
45	0.006104	0.0423	0.483222
46	-0.008262	-0.0572	0.477296
47	0.012785	0.0886	0.464894
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.360148	-2.4952	0.008041
2	-0.282496	-1.9572	0.028077
3	0.071268	0.4938	0.311864
4	-0.185026	-1.2819	0.103018
5	-0.003617	-0.0251	0.490055
6	0.110292	0.7641	0.224266
7	-0.003145	-0.0218	0.491354
8	0.014286	0.099	0.460784
9	-0.014167	-0.0981	0.461111
10	-0.040058	-0.2775	0.391283
11	0.032252	0.2234	0.412067
12	-0.20879	-1.4465	0.077263
13	-0.118234	-0.8192	0.208374
14	0.117843	0.8164	0.20914
15	-0.246373	-1.7069	0.047149
16	0.067694	0.469	0.320598
17	0.065085	0.4509	0.327038
18	0.024493	0.1697	0.432983
19	-0.00329	-0.0228	0.490953
20	0.001251	0.0087	0.496561
21	-0.0011	-0.0076	0.496975
22	-0.018744	-0.1299	0.448609
23	0.136175	0.9434	0.175089
24	-0.218209	-1.5118	0.068571
25	-0.122479	-0.8486	0.20017
26	-0.162084	-1.1229	0.133522
27	-0.0392	-0.2716	0.393554
28	-0.007263	-0.0503	0.480039
29	0.038883	0.2694	0.394393
30	-0.102378	-0.7093	0.240785
31	-0.022615	-0.1567	0.438078
32	0.001322	0.0092	0.496365
33	0.02463	0.1706	0.432611
34	-0.002873	-0.0199	0.4921
35	-0.031868	-0.2208	0.413098
36	-0.07424	-0.5144	0.304683
37	-0.047314	-0.3278	0.372244
38	0.012482	0.0865	0.465724
39	-0.099858	-0.6918	0.246187
40	0.065549	0.4541	0.325889
41	-0.003987	-0.0276	0.48904
42	-0.024695	-0.1711	0.432434
43	0.017893	0.124	0.45093
44	-0.056871	-0.394	0.347658
45	-0.025353	-0.1756	0.430654
46	-0.039661	-0.2748	0.392332
47	0.04844	0.3356	0.369317
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229172789g1twj3bsqmzfoz3/1z4021229172742.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229172789g1twj3bsqmzfoz3/1z4021229172742.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229172789g1twj3bsqmzfoz3/2ik0r1229172742.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229172789g1twj3bsqmzfoz3/2ik0r1229172742.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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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