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verbetering

*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: Mon, 15 Dec 2008 09:16:38 -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/15/t1229357852jfid5rs50jgtcot.htm/, Retrieved Mon, 15 Dec 2008 17:17:34 +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/15/t1229357852jfid5rs50jgtcot.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 «

83.1 89.6 105.7 110.7 110.4 109 106 100.9 114.3 101.2 109.2 111.6 91.7 93.7 105.7 109.5 105.3 102.8 100.6 97.6 110.3 107.2 107.2 108.1 97.1 92.2 112.2 111.6 115.7 111.3 104.2 103.2 112.7 106.4 102.6 110.6 95.2 89 112.5 116.8 107.2 113.6 101.8 102.6 122.7 110.3 110.5 121.6 100.3 100.7 123.4 127.1 124.1 131.2 111.6 114.2 130.1 125.9 119 133.8 107.5 113.5 134.4 126.8 135.6 139.9 129.8 131 153.1 134.1 144.1 155.9 123.3 128.1 144.3 153 149.9 150.9 141 138.9 157.4 142.9 151.7 161 138.5 135.9 151.5 164 159.1 157 142.1 144.8 152.1 154.6 148.7 157.7 146.7

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.565004	-5.1783	1e-06
2	0.12928	1.1849	0.119706
3	0.063472	0.5817	0.281154
4	-0.082607	-0.7571	0.225552
5	0.069361	0.6357	0.263349
6	-0.058273	-0.5341	0.297348
7	0.03407	0.3123	0.377809
8	-0.164682	-1.5093	0.067483
9	0.280056	2.5668	0.006019
10	-0.24714	-2.2651	0.013041
11	0.132476	1.2142	0.114044
12	-0.154844	-1.4192	0.079775
13	0.034094	0.3125	0.377726
14	0.045886	0.4205	0.337579
15	-0.022298	-0.2044	0.419283
16	0.020563	0.1885	0.425484
17	-0.128477	-1.1775	0.121158
18	0.343836	3.1513	0.001127
19	-0.326641	-2.9937	0.00181
20	0.153273	1.4048	0.081888
21	-0.016887	-0.1548	0.438685
22	-0.104506	-0.9578	0.170453
23	0.277088	2.5396	0.006471
24	-0.241036	-2.2091	0.014944
25	0.050415	0.4621	0.322618
26	0.058747	0.5384	0.295854
27	0.026856	0.2461	0.403086
28	-0.200963	-1.8419	0.034512
29	0.279109	2.5581	0.00616
30	-0.279311	-2.5599	0.00613
31	0.13121	1.2026	0.116262
32	0.07441	0.682	0.248565
33	-0.124959	-1.1453	0.127675
34	0.038387	0.3518	0.362928
35	-0.088369	-0.8099	0.210139
36	0.079489	0.7285	0.234158
37	-0.072628	-0.6656	0.253731
38	0.073963	0.6779	0.249854
39	-0.1397	-1.2804	0.101969
40	0.193289	1.7715	0.04005
41	-0.091645	-0.8399	0.201664
42	-0.008705	-0.0798	0.468298
43	-0.004071	-0.0373	0.485161
44	0.061395	0.5627	0.287572
45	-0.089479	-0.8201	0.207242
46	0.048727	0.4466	0.328161
47	0.13099	1.2005	0.116651
48	-0.234283	-2.1472	0.017328
49	0.200986	1.8421	0.034497
50	-0.062835	-0.5759	0.283115
51	-0.083568	-0.7659	0.222938
52	0.109644	1.0049	0.158915
53	-0.133557	-1.2241	0.112175
54	0.069456	0.6366	0.263066
55	0.006675	0.0612	0.475683
56	-0.007941	-0.0728	0.471077
57	-0.047916	-0.4392	0.330837
58	0.097573	0.8943	0.186867
59	-0.087443	-0.8014	0.212573
60	0.059131	0.5419	0.294646

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.565004	-5.1783	1e-06
2	-0.279023	-2.5573	0.006173
3	-0.0012	-0.011	0.495627
4	-0.00193	-0.0177	0.492964
5	0.042501	0.3895	0.348934
6	-0.018494	-0.1695	0.432904
7	-0.005641	-0.0517	0.479443
8	-0.250801	-2.2986	0.012005
9	0.102756	0.9418	0.174505
10	-0.023524	-0.2156	0.414911
11	0.036928	0.3385	0.367933
12	-0.224133	-2.0542	0.021532
13	-0.204732	-1.8764	0.032037
14	-0.120419	-1.1037	0.136447
15	0.059388	0.5443	0.293838
16	0.065899	0.604	0.273743
17	-0.117053	-1.0728	0.143215
18	0.211764	1.9408	0.027815
19	8.9e-05	8e-04	0.499675
20	-0.09478	-0.8687	0.19375
21	-0.017834	-0.1635	0.435276
22	-0.108659	-0.9959	0.161085
23	0.254755	2.3349	0.010968
24	0.023	0.2108	0.416776
25	-0.144123	-1.3209	0.09506
26	0.030191	0.2767	0.391344
27	0.070299	0.6443	0.260568
28	-0.142697	-1.3078	0.097249
29	0.149119	1.3667	0.087684
30	-0.009743	-0.0893	0.46453
31	0.037891	0.3473	0.364625
32	-0.056031	-0.5135	0.304462
33	0.024845	0.2277	0.410215
34	-0.031961	-0.2929	0.385151
35	-0.089222	-0.8177	0.207912
36	-0.265382	-2.4323	0.008564
37	-0.006245	-0.0572	0.477247
38	0.01289	0.1181	0.453121
39	-0.107502	-0.9853	0.16366
40	0.100474	0.9209	0.179879
41	-0.108532	-0.9947	0.161366
42	-6.4e-05	-6e-04	0.499768
43	-0.089343	-0.8188	0.207598
44	-0.017914	-0.1642	0.434992
45	-0.036332	-0.333	0.369988
46	-0.039675	-0.3636	0.358523
47	0.031468	0.2884	0.386873
48	-0.000575	-0.0053	0.497905
49	-0.135385	-1.2408	0.109062
50	-0.010925	-0.1001	0.460239
51	-0.022577	-0.2069	0.418285
52	0.003372	0.0309	0.48771
53	-0.019278	-0.1767	0.43009
54	-0.034704	-0.3181	0.375611
55	-0.1292	-1.1841	0.11985
56	-0.01744	-0.1598	0.436695
57	0.097969	0.8979	0.185903
58	-0.031572	-0.2894	0.38651
59	0.102713	0.9414	0.174604
60	-0.003548	-0.0325	0.487069

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229357852jfid5rs50jgtcot/1neww1229357796.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229357852jfid5rs50jgtcot/1neww1229357796.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229357852jfid5rs50jgtcot/2epo11229357796.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229357852jfid5rs50jgtcot/2epo11229357796.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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