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paper autocorrelatie 1-0 lag

*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 06:04:42 -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/t1229173528acqou6gm8ds7mjd.htm/, Retrieved Sat, 13 Dec 2008 14:05:30 +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/t1229173528acqou6gm8ds7mjd.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:

jenske_cole@hotmail.com

Dataseries X:

» Textbox « » Textfile « » CSV «

7.6 7.4 7.3 7.1 6.9 6.8 7.5 7.6 7.8 8 8.1 8.2 8.3 8.2 8 7.9 7.6 7.6 8.2 8.3 8.4 8.4 8.4 8.6 8.9 8.8 8.3 7.5 7.2 7.5 8.8 9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.6 8.2 8.1 8 8.6 8.7 8.8 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8.1 8.2 8.1 8.1 7.9 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.6 6.2 6.2 6.8 6.9 6.8 6.7

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	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.356996	3.213	0.000943
2	-0.164575	-1.4812	0.071219
3	-0.475916	-4.2832	2.5e-05
4	-0.38501	-3.4651	0.000425
5	-0.011924	-0.1073	0.457402
6	0.311374	2.8024	0.003172
7	0.168067	1.5126	0.067137
8	-0.105023	-0.9452	0.173683
9	-0.267608	-2.4085	0.009145
10	-0.149076	-1.3417	0.091724
11	0.161927	1.4573	0.074443
12	0.54154	4.8739	3e-06
13	0.155063	1.3956	0.083329
14	-0.10649	-0.9584	0.170354
15	-0.278183	-2.5036	0.007151
16	-0.194866	-1.7538	0.041624
17	0.002597	0.0234	0.490704
18	0.187917	1.6913	0.047316
19	0.090602	0.8154	0.208611
20	-0.071983	-0.6478	0.259459
21	-0.184021	-1.6562	0.050776
22	-0.062605	-0.5634	0.287343
23	0.085981	0.7738	0.220642
24	0.320482	2.8843	0.002512
25	0.066822	0.6014	0.274628
26	-0.082709	-0.7444	0.229399
27	-0.208409	-1.8757	0.032151
28	-0.105663	-0.951	0.172224
29	0.03761	0.3385	0.367933
30	0.130186	1.1717	0.122381
31	0.08448	0.7603	0.224635
32	-0.060194	-0.5417	0.294741
33	-0.13307	-1.1976	0.117277
34	-0.082085	-0.7388	0.231092
35	-0.012734	-0.1146	0.454522
36	0.19065	1.7158	0.045006
37	0.014707	0.1324	0.447513
38	-0.053768	-0.4839	0.314878
39	-0.094313	-0.8488	0.199243
40	0.03196	0.2876	0.387177
41	0.106018	0.9542	0.171421
42	0.125734	1.1316	0.13057
43	-0.022735	-0.2046	0.419193
44	-0.196401	-1.7676	0.040446
45	-0.186551	-1.679	0.048507
46	-0.110217	-0.992	0.162087
47	0.035637	0.3207	0.374619
48	0.239628	2.1566	0.016999
49	0.094347	0.8491	0.199159
50	-0.048961	-0.4406	0.33032
51	-0.08647	-0.7782	0.219349
52	-0.049906	-0.4491	0.327261
53	0.000472	0.0043	0.49831
54	0.062234	0.5601	0.288475
55	-0.010187	-0.0917	0.463589
56	-0.069554	-0.626	0.266542
57	-0.034963	-0.3147	0.376913
58	-0.05456	-0.491	0.312361
59	-0.027559	-0.248	0.402371
60	0.114349	1.0291	0.153238

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.356996	3.213	0.000943
2	-0.334674	-3.0121	0.00173
3	-0.358821	-3.2294	0.000896
4	-0.169236	-1.5231	0.065811
5	0.033706	0.3034	0.381199
6	0.09867	0.888	0.188577
7	-0.214886	-1.934	0.028304
8	-0.172587	-1.5533	0.062127
9	-0.093911	-0.8452	0.200244
10	0.007036	0.0633	0.474831
11	0.096132	0.8652	0.194746
12	0.403256	3.6293	0.000248
13	-0.284446	-2.56	0.006163
14	0.169688	1.5272	0.065305
15	0.160302	1.4427	0.076478
16	0.121361	1.0923	0.13898
17	-0.075167	-0.6765	0.250325
18	-0.017289	-0.1556	0.438367
19	0.058959	0.5306	0.298564
20	-0.008536	-0.0768	0.469475
21	-0.078941	-0.7105	0.239727
22	0.05011	0.451	0.326601
23	-0.103176	-0.9286	0.177932
24	0.057883	0.5209	0.301914
25	-0.032801	-0.2952	0.384293
26	-0.023561	-0.2121	0.4163
27	-0.088304	-0.7947	0.214545
28	0.04817	0.4335	0.332893
29	0.055259	0.4973	0.31015
30	-0.090822	-0.8174	0.208049
31	0.053295	0.4797	0.316383
32	-0.03005	-0.2704	0.393751
33	0.063163	0.5685	0.285645
34	-0.140174	-1.2616	0.105362
35	-0.0397	-0.3573	0.360899
36	0.033252	0.2993	0.382752
37	-0.148412	-1.3357	0.092693
38	-0.055082	-0.4957	0.31071
39	0.062414	0.5617	0.287927
40	0.079626	0.7166	0.237831
41	0.030806	0.2773	0.391146
42	0.066047	0.5944	0.276944
43	-0.064981	-0.5848	0.280146
44	-0.091187	-0.8207	0.207118
45	0.046204	0.4158	0.339316
46	-0.122256	-1.1003	0.13723
47	-0.051777	-0.466	0.321235
48	-0.040236	-0.3621	0.3591
49	0.081326	0.7319	0.233161
50	-0.120468	-1.0842	0.140743
51	0.027881	0.2509	0.401251
52	-0.09789	-0.881	0.19046
53	-0.084433	-0.7599	0.224762
54	-0.057844	-0.5206	0.302034
55	-0.01863	-0.1677	0.433631
56	0.093987	0.8459	0.200056
57	0.003585	0.0323	0.487171
58	-0.003549	-0.0319	0.4873
59	-0.003846	-0.0346	0.486238
60	0.038809	0.3493	0.363892

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229173528acqou6gm8ds7mjd/165m91229173481.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229173528acqou6gm8ds7mjd/165m91229173481.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229173528acqou6gm8ds7mjd/214pr1229173481.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229173528acqou6gm8ds7mjd/214pr1229173481.ps (open in new window)

Parameters (Session):

par1 = 4 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; 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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