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part autocorr Waals Gewest

*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 11:53:41 -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/t1229280866iohy6g0kczeun9g.htm/, Retrieved Sun, 14 Dec 2008 19:54:26 +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/t1229280866iohy6g0kczeun9g.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 «

258778 252791 256389 258961 258647 256304 250498 247883 249552 262626 264416 273049 272441 267564 265952 263937 264765 263386 258985 257334 257477 271486 274488 281274 272674 269704 268227 276444 272247 268516 263406 263619 265905 281681 287413 289423 281242 273878 269022 272630 270287 260447 262248 252806 238663 258438 266719 263279 258064 248828 248284 253376 251846 239494 239709 228793 229521 249999 254016 251178

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.832866	6.4514	0
2	0.620854	4.8091	5e-06
3	0.465984	3.6095	0.000313
4	0.362132	2.8051	0.003385
5	0.334655	2.5922	0.00598
6	0.322431	2.4975	0.007633
7	0.207137	1.6045	0.056931
8	0.109363	0.8471	0.200147
9	0.097162	0.7526	0.227313
10	0.149933	1.1614	0.125044
11	0.245487	1.9015	0.031018
12	0.291516	2.2581	0.013796
13	0.145831	1.1296	0.13157
14	-0.014036	-0.1087	0.456894
15	-0.143898	-1.1146	0.134728
16	-0.242322	-1.877	0.03269
17	-0.269523	-2.0877	0.020539
18	-0.270162	-2.0927	0.020308
19	-0.333037	-2.5797	0.006178
20	-0.398932	-3.0901	0.001516
21	-0.38654	-2.9941	0.001997
22	-0.297315	-2.303	0.012381
23	-0.178986	-1.3864	0.085375
24	-0.097982	-0.759	0.225421
25	-0.132708	-1.0279	0.15405
26	-0.221763	-1.7178	0.045498
27	-0.280799	-2.1751	0.016789
28	-0.298481	-2.312	0.012113
29	-0.277374	-2.1485	0.017859
30	-0.262442	-2.0329	0.023249
31	-0.2762	-2.1394	0.018239
32	-0.309877	-2.4003	0.009751
33	-0.266723	-2.066	0.021576
34	-0.179834	-1.393	0.084381
35	-0.091521	-0.7089	0.240561
36	-0.020407	-0.1581	0.437466

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.832866	6.4514	0
2	-0.237688	-1.8411	0.035274
3	0.082873	0.6419	0.261681
4	0.014592	0.113	0.455191
5	0.170556	1.3211	0.095739
6	-0.018654	-0.1445	0.442798
7	-0.315741	-2.4457	0.008703
8	0.1367	1.0589	0.146951
9	0.174776	1.3538	0.090438
10	0.143503	1.1116	0.13538
11	0.076302	0.591	0.27836
12	-0.101498	-0.7862	0.217421
13	-0.453547	-3.5132	0.000424
14	0.039875	0.3089	0.379246
15	-0.189348	-1.4667	0.073842
16	-0.119834	-0.9282	0.178505
17	-0.004748	-0.0368	0.485392
18	0.073305	0.5678	0.286139
19	0.042804	0.3316	0.370688
20	-0.181473	-1.4057	0.082487
21	0.071241	0.5518	0.291556
22	0.117677	0.9115	0.182835
23	-0.040679	-0.3151	0.376891
24	-0.039895	-0.309	0.379186
25	-0.009408	-0.0729	0.471073
26	-0.120959	-0.9369	0.176272
27	0.10289	0.797	0.214302
28	-0.05739	-0.4445	0.329125
29	-0.074408	-0.5764	0.283264
30	-0.081686	-0.6327	0.264655
31	0.12073	0.9352	0.176725
32	-0.077663	-0.6016	0.274862
33	-0.010114	-0.0783	0.468909
34	-0.154314	-1.1953	0.118334
35	0.014741	0.1142	0.454736
36	0.023364	0.181	0.428497

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229280866iohy6g0kczeun9g/1aag81229280814.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229280866iohy6g0kczeun9g/1aag81229280814.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229280866iohy6g0kczeun9g/27xcs1229280814.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229280866iohy6g0kczeun9g/27xcs1229280814.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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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