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paper autocorr D,d 0,0 werk

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 16 Dec 2008 11:55:35 -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/16/t1229453788gbp2z51g76urbn0.htm/, Retrieved Tue, 16 Dec 2008 19:56:30 +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/16/t1229453788gbp2z51g76urbn0.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:

paper autocorr D,d 0,0 werk

Dataseries X:

» Textbox « » Textfile « » CSV «

95.20 95.00 94.00 92.20 91.00 91.20 103.40 105.00 104.60 103.80 101.80 102.40 103.80 103.40 102.00 101.80 100.20 101.40 113.80 116.00 115.60 113.00 109.40 111.00 112.40 112.20 111.00 108.80 107.40 108.60 118.80 122.20 122.60 122.20 118.80 119.00 118.20 117.80 116.80 114.60 113.40 113.80 124.20 125.80 125.60 122.40 119.00 119.40 118.60 118.00 116.00 114.80 114.60 114.60 124.00 125.20 124.00 117.60 113.20 111.40 112.20 109.80 106.40 105.20 102.20 99.80 111.00 113.00 108.40 105.40 102.00 102.80

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	0.88479	7.5077	0
2	0.724323	6.1461	0
3	0.592628	5.0286	2e-06
4	0.51229	4.3469	2.2e-05
5	0.484248	4.109	5.2e-05
6	0.444907	3.7752	0.000163
7	0.394915	3.351	0.000643
8	0.3427	2.9079	0.002417
9	0.3339	2.8332	0.002987
10	0.367817	3.121	0.001297
11	0.419248	3.5574	0.000334
12	0.436423	3.7032	0.000207
13	0.32359	2.7458	0.00381
14	0.174819	1.4834	0.071168
15	0.049911	0.4235	0.336594
16	-0.015671	-0.133	0.447291
17	-0.038357	-0.3255	0.372884
18	-0.065117	-0.5525	0.291146
19	-0.088759	-0.7531	0.226908
20	-0.114711	-0.9734	0.166818
21	-0.109502	-0.9292	0.177956
22	-0.076948	-0.6529	0.257941
23	-0.039722	-0.3371	0.368529
24	-0.025056	-0.2126	0.416118
25	-0.106588	-0.9044	0.184392
26	-0.217209	-1.8431	0.034716
27	-0.302694	-2.5684	0.006145
28	-0.346029	-2.9362	0.002229
29	-0.355523	-3.0167	0.001765
30	-0.366563	-3.1104	0.001339
31	-0.374693	-3.1794	0.001088
32	-0.378363	-3.2105	0.00099
33	-0.352806	-2.9937	0.001888
34	-0.302239	-2.5646	0.006208
35	-0.250485	-2.1254	0.018491
36	-0.216003	-1.8328	0.03548
37	-0.260124	-2.2072	0.015243
38	-0.323174	-2.7422	0.003847
39	-0.361391	-3.0665	0.001525
40	-0.364163	-3.09	0.001422
41	-0.342039	-2.9023	0.002456
42	-0.32475	-2.7556	0.003708
43	-0.305752	-2.5944	0.005737
44	-0.289622	-2.4575	0.008199
45	-0.251784	-2.1365	0.018021
46	-0.202469	-1.718	0.045047
47	-0.151628	-1.2866	0.101176
48	-0.10708	-0.9086	0.183294
49	-0.121406	-1.0302	0.15319
50	-0.151308	-1.2839	0.101648
51	-0.161374	-1.3693	0.08758
52	-0.143908	-1.2211	0.113017
53	-0.105908	-0.8987	0.185914
54	-0.069314	-0.5881	0.279137
55	-0.034665	-0.2941	0.384749
56	0.000747	0.0063	0.49748
57	0.044757	0.3798	0.352614
58	0.077576	0.6583	0.256236
59	0.106706	0.9054	0.18413
60	0.130424	1.1067	0.136057

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.88479	7.5077	0
2	-0.269544	-2.2872	0.012564
3	0.086906	0.7374	0.231631
4	0.108943	0.9244	0.17918
5	0.135133	1.1466	0.127663
6	-0.126518	-1.0735	0.143307
7	0.025439	0.2159	0.414854
8	0.003657	0.031	0.487666
9	0.202138	1.7152	0.045305
10	0.093501	0.7934	0.215082
11	0.108596	0.9215	0.179942
12	-0.090152	-0.765	0.223396
13	-0.490598	-4.1629	4.3e-05
14	-0.034579	-0.2934	0.385025
15	-0.058214	-0.494	0.311417
16	0.053608	0.4549	0.325284
17	-0.067433	-0.5722	0.28449
18	0.032858	0.2788	0.390594
19	0.07474	0.6342	0.263983
20	-0.020344	-0.1726	0.431715
21	-0.010809	-0.0917	0.463589
22	-0.034252	-0.2906	0.386081
23	-0.021249	-0.1803	0.428711
24	0.004849	0.0411	0.483648
25	-0.165655	-1.4056	0.082068
26	-0.009653	-0.0819	0.467473
27	0.003405	0.0289	0.488515
28	-0.090129	-0.7648	0.223455
29	-0.052156	-0.4426	0.329705
30	-0.02932	-0.2488	0.402117
31	-0.019075	-0.1619	0.435936
32	-0.014103	-0.1197	0.452538
33	0.015303	0.1298	0.448524
34	0.044307	0.376	0.354027
35	0.000547	0.0046	0.498154
36	0.012252	0.104	0.458743
37	-0.099348	-0.843	0.201011
38	0.037579	0.3189	0.375374
39	-0.000872	-0.0074	0.49706
40	-0.015352	-0.1303	0.448359
41	-0.034829	-0.2955	0.384219
42	0.020977	0.178	0.429615
43	-0.012936	-0.1098	0.456451
44	-0.06706	-0.569	0.285556
45	-0.010958	-0.093	0.46309
46	-0.066799	-0.5668	0.286303
47	0.037819	0.3209	0.374607
48	0.034097	0.2893	0.386584
49	0.006477	0.055	0.478161
50	0.019269	0.1635	0.43529
51	0.030333	0.2574	0.398808
52	-0.006758	-0.0573	0.477216
53	0.014828	0.1258	0.450114
54	0.037422	0.3175	0.375877
55	-0.008282	-0.0703	0.472084
56	0.061421	0.5212	0.301921
57	-0.028446	-0.2414	0.404976
58	-0.09596	-0.8142	0.209094
59	-0.01182	-0.1003	0.460195
60	-0.026175	-0.2221	0.412431

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229453788gbp2z51g76urbn0/1gtt21229453733.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229453788gbp2z51g76urbn0/1gtt21229453733.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229453788gbp2z51g76urbn0/25ww41229453733.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229453788gbp2z51g76urbn0/25ww41229453733.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; 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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