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ACF lambda 1: invoer

*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: Sun, 14 Dec 2008 06:22:30 -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/14/t1229261002724javyl530y25o.htm/, Retrieved Sun, 14 Dec 2008 14:23:22 +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/14/t1229261002724javyl530y25o.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 «

11857.9 14616 15643.4 14077.2 14887.5 14159.9 14643 17192.5 15386.1 14287.1 17526.6 14497 14398.3 16629.6 16670.7 16614.8 16869.2 15663.9 16359.9 18447.7 16889 16505 18320.9 15052.1 15699.8 18135.3 16768.7 18883 19021 18101.9 17776.1 21489.9 17065.3 18690 18953.1 16398.9 16895.7 18553 19270 19422.1 17579.4 18637.3 18076.7 20438.6 18075.2 19563 19899.2 19227.5 17789.6 19220.8 21968.9 21131.5 19484.6 22404.1 21099 22486.5 23707.5 21897.5 23326.4 23765.4 20444

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	4 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.332616	2.3283	0.012033
2	0.377919	2.6454	0.005467
3	0.557359	3.9015	0.000146
4	0.201878	1.4131	0.081967
5	0.114091	0.7986	0.214177
6	0.291491	2.0404	0.023357
7	-0.04034	-0.2824	0.389421
8	0.014715	0.103	0.459191
9	0.103633	0.7254	0.23582
10	-0.202738	-1.4192	0.08109
11	-0.165433	-1.158	0.126232
12	-0.118822	-0.8318	0.204792
13	-0.309616	-2.1673	0.01755
14	-0.191101	-1.3377	0.093584
15	-0.192647	-1.3485	0.091844
16	-0.281873	-1.9731	0.027069
17	-0.117976	-0.8258	0.206451
18	-0.064003	-0.448	0.328056
19	-0.197651	-1.3836	0.086382
20	-0.044362	-0.3105	0.378736
21	-0.043674	-0.3057	0.380558
22	-0.083023	-0.5812	0.281899
23	0.056152	0.3931	0.347989
24	-0.141197	-0.9884	0.163911
25	0.014157	0.0991	0.460731
26	0.043143	0.302	0.381964
27	-0.060353	-0.4225	0.337265
28	-0.056564	-0.396	0.34693
29	0.043557	0.3049	0.380868
30	-0.111603	-0.7812	0.219216
31	-0.058846	-0.4119	0.341097
32	-0.027158	-0.1901	0.425005
33	-0.150502	-1.0535	0.148636
34	-0.103341	-0.7234	0.236441
35	0.000566	0.004	0.498429
36	-0.095424	-0.668	0.253644
37	-0.055843	-0.3909	0.348782
38	0.040128	0.2809	0.389985
39	-0.017108	-0.1198	0.452584
40	0.001698	0.0119	0.495283
41	0.063923	0.4475	0.328258
42	-0.008109	-0.0568	0.477484
43	0.043726	0.3061	0.380418
44	0.066962	0.4687	0.320669
45	0.001794	0.0126	0.495017
46	0.023422	0.164	0.435221
47	0.035636	0.2495	0.402027
48	0.010745	0.0752	0.470176

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.332616	2.3283	0.012033
2	0.300534	2.1037	0.020279
3	0.45668	3.1968	0.001217
4	-0.119662	-0.8376	0.203151
5	-0.276559	-1.9359	0.029329
6	0.060384	0.4227	0.337187
7	-0.133084	-0.9316	0.178059
8	0.047637	0.3335	0.370105
9	0.048589	0.3401	0.367608
10	-0.212628	-1.4884	0.071527
11	-0.178378	-1.2486	0.108863
12	-0.125403	-0.8778	0.192163
13	0.01107	0.0775	0.469274
14	0.150385	1.0527	0.148822
15	-0.033481	-0.2344	0.407839
16	-0.068005	-0.476	0.318082
17	0.006162	0.0431	0.482885
18	0.141307	0.9892	0.163724
19	0.004901	0.0343	0.486386
20	-0.077846	-0.5449	0.294139
21	-0.105025	-0.7352	0.232868
22	0.005088	0.0356	0.485866
23	0.128451	0.8992	0.186484
24	-0.311473	-2.1803	0.017033
25	0.047655	0.3336	0.370058
26	-0.021517	-0.1506	0.440447
27	0.044903	0.3143	0.377307
28	-0.088265	-0.6179	0.269767
29	-0.067405	-0.4718	0.319569
30	0.013437	0.0941	0.462723
31	-0.083758	-0.5863	0.28018
32	0.008803	0.0616	0.475556
33	0.016167	0.1132	0.455181
34	-0.096216	-0.6735	0.251893
35	0.040501	0.2835	0.388993
36	0.046577	0.326	0.372891
37	0.029962	0.2097	0.417374
38	0.033943	0.2376	0.406592
39	-0.080244	-0.5617	0.288439
40	-0.065545	-0.4588	0.324197
41	-0.009395	-0.0658	0.473917
42	0.09491	0.6644	0.254783
43	-0.083979	-0.5879	0.279665
44	-0.133572	-0.935	0.177186
45	-0.076985	-0.5389	0.296199
46	0.017992	0.1259	0.450145
47	0.051196	0.3584	0.360802
48	-0.073855	-0.517	0.303746

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229261002724javyl530y25o/1700u1229260944.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229261002724javyl530y25o/1700u1229260944.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229261002724javyl530y25o/2v4hp1229260944.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229261002724javyl530y25o/2v4hp1229260944.ps (open in new window)

Parameters (Session):

par1 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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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