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autocorrelation d=1 D=0 mannen

*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: Thu, 18 Dec 2008 06:22:45 -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/18/t1229606858kyai5oui83zn8jz.htm/, Retrieved Thu, 18 Dec 2008 14:27:38 +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/18/t1229606858kyai5oui83zn8jz.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 «

7.5 7.6 7.9 7.9 8.1 8.2 8 7.5 6.8 6.5 6.6 7.6 8 8 7.7 7.5 7.6 7.7 7.9 7.8 7.5 7.5 7.1 7.5 7.5 7.6 7.7 7.7 7.9 8.1 8.2 8.2 8.1 7.9 7.3 6.9 6.6 6.7 6.9 7 7.1 7.2 7.1 6.9 7 6.8 6.4 6.7 6.7 6.4 6.3 6.2 6.5 6.8 6.8 6.5 6.3 5.9 5.9 6.4

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	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
0	1	7.6811	0
1	0.377994	2.9034	0.002593
2	-0.05572	-0.428	0.664892
3	-0.361966	-2.7803	0.996362
4	-0.441049	-3.3878	0.99937
5	-0.147176	-1.1305	0.868575
6	0.046895	0.3602	0.359989
7	0.103737	0.7968	0.214375
8	-0.050726	-0.3896	0.650895
9	-0.063802	-0.4901	0.687051
10	-0.072192	-0.5545	0.709338
11	-0.012601	-0.0968	0.538389
12	0.231125	1.7753	0.040503
13	0.055235	0.4243	0.336458
14	0.161837	1.2431	0.109375
15	0.088463	0.6795	0.249739
16	-0.064167	-0.4929	0.688036
17	-0.103357	-0.7939	0.784783
18	-0.112134	-0.8613	0.803725
19	-0.031117	-0.239	0.594038
20	-0.042889	-0.3294	0.628504
21	0.062691	0.4815	0.315956
22	-0.038487	-0.2956	0.615724
23	-0.136142	-1.0457	0.850024
24	-0.045645	-0.3506	0.636433
25	-0.061188	-0.47	0.679954
26	0.142362	1.0935	0.139308
27	0.180492	1.3864	0.085424
28	0.109338	0.8398	0.202194
29	0.079381	0.6097	0.272188
30	-0.037903	-0.2911	0.614016
31	-0.107365	-0.8247	0.793563
32	-0.178518	-1.3712	0.912251
33	-0.092567	-0.711	0.760063
34	-0.069909	-0.537	0.703349
35	0.064252	0.4935	0.311735

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
0	0.377994	2.9034	0.002593
1	-0.231705	-1.7798	0.959867
2	-0.3063	-2.3527	0.989005
3	-0.254964	-1.9584	0.972543
4	0.053637	0.412	0.340917
5	-0.082698	-0.6352	0.736128
6	-0.133913	-1.0286	0.846067
7	-0.270687	-2.0792	0.979022
8	-0.016336	-0.1255	0.549713
9	-0.12418	-0.9538	0.827974
10	-0.128539	-0.9873	0.836243
11	0.132547	1.0181	0.156391
12	-0.246241	-1.8914	0.968259
13	0.247944	1.9045	0.030863
14	0.03749	0.288	0.387192
15	-0.017573	-0.135	0.553457
16	-0.025871	-0.1987	0.578417
17	0.113006	0.868	0.194451
18	0.071158	0.5466	0.293365
19	-0.037111	-0.2851	0.611701
20	0.070726	0.5433	0.294501
21	-0.067567	-0.519	0.697146
22	-0.101662	-0.7809	0.781003
23	-0.070656	-0.5427	0.705316
24	-0.038956	-0.2992	0.617089
25	-0.065801	-0.5054	0.692429
26	-0.011965	-0.0919	0.536458
27	-0.049683	-0.3816	0.647944
28	0.091362	0.7018	0.242794
29	-0.04019	-0.3087	0.620682
30	-0.051869	-0.3984	0.654117
31	-0.059291	-0.4554	0.674762
32	-0.069851	-0.5365	0.703198
33	-0.020161	-0.1549	0.561271
34	0.090547	0.6955	0.244735
35	0.056089	0.4308	0.334082

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229606858kyai5oui83zn8jz/13xlf1229606560.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229606858kyai5oui83zn8jz/13xlf1229606560.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229606858kyai5oui83zn8jz/2wp4h1229606560.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229606858kyai5oui83zn8jz/2wp4h1229606560.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; 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 1:par1) {

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(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-1,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(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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