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paper autocorrelatie 1-1 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 06:06:03 -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/t1229173607ls3ji58ftab9tn9.htm/, Retrieved Sat, 13 Dec 2008 14:06:47 +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/t1229173607ls3ji58ftab9tn9.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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.465646	3.8679	0.000123
2	-0.098028	-0.8143	0.209144
3	-0.546388	-4.5386	1.2e-05
4	-0.601195	-4.9939	2e-06
5	-0.20412	-1.6955	0.04724
6	0.166161	1.3802	0.085985
7	0.312156	2.593	0.005804
8	0.297469	2.471	0.007974
9	0.101087	0.8397	0.20199
10	-0.082585	-0.686	0.247505
11	-0.143481	-1.1918	0.118703
12	-0.229263	-1.9044	0.030514
13	-0.059504	-0.4943	0.31134
14	0.077653	0.645	0.260522
15	0.155358	1.2905	0.100593
16	0.098614	0.8192	0.20776
17	-0.075659	-0.6285	0.265885
18	-0.106422	-0.884	0.189881
19	-0.090723	-0.7536	0.226827
20	0.089558	0.7439	0.229725
21	0.149278	1.24	0.109589
22	0.06574	0.5461	0.293386
23	-0.05183	-0.4305	0.334074
24	-0.200937	-1.6691	0.049814
25	-0.095343	-0.792	0.215543
26	0.040944	0.3401	0.367405
27	0.080996	0.6728	0.251659
28	-0.003383	-0.0281	0.488831
29	-0.093009	-0.7726	0.221201
30	-0.141139	-1.1724	0.122536
31	0.081731	0.6789	0.249732
32	0.19591	1.6274	0.054111
33	0.187565	1.558	0.061901
34	0.066375	0.5513	0.291588
35	-0.140809	-1.1696	0.123083
36	-0.201986	-1.6778	0.048953
37	-0.171613	-1.4255	0.079257
38	0.000643	0.0053	0.497876
39	0.103487	0.8596	0.196486
40	0.173448	1.4408	0.077087
41	0.151579	1.2591	0.106117
42	0.038161	0.317	0.376105
43	-0.094083	-0.7815	0.218587
44	-0.192042	-1.5952	0.057617
45	-0.148398	-1.2327	0.110937
46	-0.009053	-0.0752	0.470137
47	0.119238	0.9905	0.162704
48	0.151856	1.2614	0.105705
49	0.099293	0.8248	0.206168
50	-0.04179	-0.3471	0.364775
51	-0.086104	-0.7152	0.238439
52	-0.064597	-0.5366	0.296641
53	-0.018176	-0.151	0.440217
54	0.050916	0.4229	0.336828
55	0.014401	0.1196	0.452564
56	0.000557	0.0046	0.498162
57	-0.023276	-0.1933	0.423628
58	-0.021942	-0.1823	0.427955
59	-0.017017	-0.1414	0.444002
60	0.000647	0.0054	0.497865

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.465646	3.8679	0.000123
2	-0.402023	-3.3395	0.000678
3	-0.449577	-3.7345	0.000192
4	-0.275893	-2.2917	0.012489
5	0.055067	0.4574	0.324404
6	-0.11861	-0.9852	0.163973
7	-0.199527	-1.6574	0.05099
8	0.056074	0.4658	0.321418
9	0.040875	0.3395	0.367619
10	-0.032764	-0.2722	0.393158
11	0.035512	0.295	0.384447
12	-0.156036	-1.2961	0.099624
13	0.156	1.2958	0.099676
14	0.034511	0.2867	0.387612
15	-0.007566	-0.0629	0.475033
16	-0.120533	-1.0012	0.160108
17	-0.079342	-0.6591	0.256024
18	0.117601	0.9769	0.166024
19	-0.114271	-0.9492	0.172915
20	0.146826	1.2196	0.113378
21	-0.022122	-0.1838	0.42737
22	-0.042137	-0.35	0.363696
23	0.05474	0.4547	0.325373
24	-0.195901	-1.6273	0.054118
25	0.215214	1.7877	0.039108
26	-0.078247	-0.65	0.258935
27	-0.11844	-0.9838	0.164316
28	-0.257461	-2.1386	0.018004
29	-0.148922	-1.237	0.110133
30	-0.036713	-0.305	0.380656
31	0.023989	0.1993	0.421319
32	0.069562	0.5778	0.282632
33	-0.065386	-0.5431	0.294392
34	0.078317	0.6506	0.258748
35	0.132759	1.1028	0.136977
36	-0.118022	-0.9804	0.165167
37	0.073654	0.6118	0.271335
38	0.120032	0.9971	0.16111
39	-0.035587	-0.2956	0.384209
40	-0.061049	-0.5071	0.306846
41	-0.022951	-0.1906	0.42468
42	0.048352	0.4016	0.344594
43	-0.027153	-0.2256	0.411109
44	0.010572	0.0878	0.465138
45	-0.009904	-0.0823	0.467334
46	-0.032548	-0.2704	0.393843
47	0.022924	0.1904	0.42477
48	-0.058594	-0.4867	0.314001
49	0.025581	0.2125	0.416175
50	0.056718	0.4711	0.319516
51	-0.025602	-0.2127	0.416108
52	-0.102969	-0.8553	0.197665
53	-0.082684	-0.6868	0.247247
54	-0.018062	-0.15	0.440587
55	0.038769	0.322	0.3742
56	-0.020814	-0.1729	0.43162
57	-0.035927	-0.2984	0.383134
58	-0.01854	-0.154	0.439027
59	0.012554	0.1043	0.458626
60	0.025003	0.2077	0.418042

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229173607ls3ji58ftab9tn9/1y8je1229173558.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229173607ls3ji58ftab9tn9/1y8je1229173558.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229173607ls3ji58ftab9tn9/2qx6c1229173558.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229173607ls3ji58ftab9tn9/2qx6c1229173558.ps (open in new window)

Parameters (Session):

par1 = 4 ;

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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