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paper auto D,d 0,0 werk 20

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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 07:00:03 -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/t1229608870ujr98lzysy4d3tg.htm/, Retrieved Thu, 18 Dec 2008 15:01:12 +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/t1229608870ujr98lzysy4d3tg.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 auto D,d 0,0 werk 20

Dataseries X:

» Textbox « » Textfile « » CSV «

106,2 101,6 99 96,4 94 93,2 103 103,6 103,2 102,2 100 99,6 98,8 95,2 91,6 88,6 86 84,8 95,2 96,2 94 92 90,2 90 88,8 85,8 84,2 80 77,8 76,8 86,4 89,2 86,2 84,6 83,2 83,2 82,6 79,8 77,2 74,8 73 73 83,6 85,6 84,8 84,2 83,4 84,6 84,6 83,8 81,2 79,6 78 78,2 88,8 92 91 91,2 90,4 91,8 92,2 90,2 88,6 87,8 86 87,2 97,6 101,2 100,4 100,2 100,2 103 104,2 104 102,4 101,8 101 102,2 114 118,4 118,8 117,2 117,2 118,4 118,8 117,2 114,4 112,6 111 110,8 120,2 124,4 123,4 121,2 119 119,8 120 118,4 115 113,4 111 111 121,6 126,2 125,8 124,8 122 123,2 124,2 120,8 116,8 114,8 111 109 119,8 124 121,6 118 115,8 116 115,8 114,4 112 110,2 107,4 108,2 117,6 121,4 119,8 115,6 112,6 113,2 112,2 110,8 108 105,2 102,4 101 110,8 116,8 113,8 108 104,4 105,2 105,4 103,2 100,6 97,8 95,8 95 104,8 110,4 106,4 102,2 98,4 98,4 98,6 96,2 92,4 91,4 88,4 87,8 97,6 104,2 100,2 97 92,8 92 93,4 92 89,6 88,6 87,2 86,2 96,8 102 102,6 100,6 94,2 94,2 95,2 95 94 92,2 91 91,2 103,4 105 104,6 103,8 101,8 102,4 103,8 103,4 102 101,8 100,2 101,4 113,8 116 115,6 113 109,4 111 112,4 112,2 111 108,8 107,4 108,6 118,8 122,2 122,6 122,2 118,8 119 118,2 117,8 116,8 114,6 113,4 113,8 124,2 125,8 125,6 122,4 119 119,4 118,6 118 116 114,8 114,6 114,6 124 125,2 124 117,6 113,2 111,4 112,2 109,8 106,4 105,2 102,2 99,8 111 113 108,4 105,4 102 102,8

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	0.958967	15.2231	0
2	0.89249	14.1678	0
3	0.841936	13.3653	0
4	0.816074	12.9548	0
5	0.81071	12.8696	0
6	0.804482	12.7708	0
7	0.787107	12.4949	0
8	0.767957	12.1909	0
9	0.767595	12.1852	0
10	0.790473	12.5484	0
11	0.828589	13.1534	0
12	0.842096	13.3679	0
13	0.782037	12.4145	0
14	0.697381	11.0706	0
15	0.628219	9.9727	0
16	0.585076	9.2878	0
17	0.563165	8.94	0
18	0.541477	8.5957	0
19	0.510209	8.0993	0
20	0.477383	7.5782	0
21	0.462208	7.3373	0
22	0.469101	7.4468	0
23	0.491116	7.7962	0
24	0.489781	7.775	0
25	0.420157	6.6698	0
26	0.327769	5.2032	0
27	0.251436	3.9914	4.3e-05
28	0.201895	3.205	0.000762
29	0.174031	2.7627	0.003078
30	0.147023	2.3339	0.010193
31	0.111858	1.7757	0.038496
32	0.075545	1.1992	0.115781
33	0.057043	0.9055	0.183023
34	0.060202	0.9557	0.170075
35	0.078966	1.2535	0.105585
36	0.077141	1.2246	0.110938
37	0.01156	0.1835	0.427274
38	-0.075165	-1.1932	0.116955
39	-0.145727	-2.3133	0.010755
40	-0.188718	-2.9958	0.001505
41	-0.20925	-3.3217	0.000514
42	-0.227292	-3.6082	0.000186
43	-0.253223	-4.0198	3.8e-05
44	-0.280474	-4.4524	6e-06
45	-0.290173	-4.6063	3e-06
46	-0.278809	-4.426	7e-06
47	-0.25163	-3.9945	4.3e-05
48	-0.243237	-3.8613	7.2e-05
49	-0.294514	-4.6753	2e-06
50	-0.365769	-5.8064	0
51	-0.420789	-6.6798	0
52	-0.449522	-7.1359	0
53	-0.456073	-7.2399	0
54	-0.458606	-7.2801	0
55	-0.468324	-7.4344	0
56	-0.478802	-7.6007	0
57	-0.473488	-7.5164	0
58	-0.449116	-7.1295	0
59	-0.409789	-6.5052	0
60	-0.388209	-6.1626	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.958967	15.2231	0
2	-0.337481	-5.3573	0
3	0.292897	4.6496	3e-06
4	0.131826	2.0927	0.018689
5	0.169422	2.6895	0.003817
6	-0.06676	-1.0598	0.145129
7	0.013072	0.2075	0.417891
8	0.096174	1.5267	0.064043
9	0.262929	4.1739	2.1e-05
10	0.180242	2.8613	0.002287
11	0.243063	3.8585	7.2e-05
12	-0.276914	-4.3959	8e-06
13	-0.832618	-13.2174	0
14	0.022229	0.3529	0.362241
15	-0.0872	-1.3843	0.083752
16	-0.017281	-0.2743	0.392032
17	-0.080745	-1.2818	0.100547
18	-0.01541	-0.2446	0.403475
19	0.053574	0.8505	0.197936
20	0.017756	0.2819	0.389136
21	0.008455	0.1342	0.44667
22	-0.015702	-0.2493	0.401683
23	0.03281	0.5208	0.301467
24	-0.015991	-0.2538	0.39991
25	-0.169705	-2.694	0.003767
26	0.047552	0.7549	0.22552
27	-0.002833	-0.045	0.482082
28	-0.040942	-0.6499	0.258165
29	-0.049172	-0.7806	0.217891
30	-0.046457	-0.7375	0.230758
31	0.015066	0.2392	0.405588
32	-0.01909	-0.303	0.381051
33	0.059411	0.9431	0.17326
34	0.010444	0.1658	0.434227
35	0.064127	1.018	0.154832
36	0.107852	1.7121	0.044054
37	-0.056725	-0.9005	0.184361
38	0.051412	0.8161	0.207596
39	-0.020047	-0.3182	0.375282
40	0.018152	0.2882	0.386734
41	0.012997	0.2063	0.418351
42	0.05398	0.8569	0.196155
43	-0.054668	-0.8678	0.193156
44	-0.003656	-0.058	0.476885
45	0.02006	0.3184	0.375207
46	0.006072	0.0964	0.461647
47	0.003106	0.0493	0.480357
48	0.007317	0.1162	0.45381
49	-0.004547	-0.0722	0.471258
50	0.029133	0.4625	0.32207
51	0.034594	0.5492	0.291691
52	-0.104497	-1.6588	0.049196
53	-0.003619	-0.0574	0.477118
54	0.043044	0.6833	0.247521
55	0.011758	0.1866	0.426045
56	0.047577	0.7553	0.225399
57	-0.07205	-1.1438	0.126906
58	-0.025895	-0.4111	0.340684
59	-0.035351	-0.5612	0.287586
60	-0.018233	-0.2894	0.386243

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229608870ujr98lzysy4d3tg/194vj1229608801.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229608870ujr98lzysy4d3tg/194vj1229608801.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229608870ujr98lzysy4d3tg/27ush1229608801.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229608870ujr98lzysy4d3tg/27ush1229608801.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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