tinneke_debock.paper.ACF.1eversie

*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 12:00:06 -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/t1229627131fd4ya3noug5auvx.htm/, Retrieved Thu, 18 Dec 2008 20:05:33 +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/t1229627131fd4ya3noug5auvx.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 «

80 54,9 65,1 72,5 70,6 81,9 72 70,9 71,1 65,1 78,1 92 77,8 63,3 56,2 79,2 69 66,1 77,5 69,3 70,2 70,2 78,2 85,4 82,4 61,2 52,2 85,3 79,9 72,2 85,7 75,5 69,2 77,6 85,3 77 89,9 60 54,3 84 69,9 75,1 81,7 69,9 68,3 77,3 77,4 85,3 91 60,6 57,6 93,8 78,7 80,3 89,8 77,5 71,7 83,2 86,2 100,7 100,8 57,1 62,5 79,7 80,3 92,4 91,8 85,8 84,2 93,1 101,2 100,6 106,7 64 67,5 101 95,5 97 103,8 95,2 86,7 93,5 102,5 112,3 105,5 75,4 70,4 108 100 93,3 111,1 101,1 98,1

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 0.403904 3.8951 9.2e-05 2 0.040135 0.387 0.349803 3 0.157675 1.5206 0.065882 4 0.093488 0.9016 0.184809 5 0.269527 2.5992 0.005433 6 0.412503 3.978 6.9e-05 7 0.254129 2.4507 0.008063 8 0.128447 1.2387 0.109287 9 0.113726 1.0967 0.137794 10 -0.024415 -0.2355 0.407188 11 0.30471 2.9385 0.002079 12 0.740503 7.1412 0 13 0.293648 2.8318 0.002837 14 -0.063337 -0.6108 0.271411 15 0.036353 0.3506 0.363349 16 0.016507 0.1592 0.436934 17 0.140741 1.3573 0.088992 18 0.278631 2.687 0.00427 19 0.124255 1.1983 0.116929 20 0.02478 0.239 0.405827 21 0.013293 0.1282 0.449136 22 -0.109257 -1.0536 0.147389 23 0.200814 1.9366 0.027916 24 0.518925 5.0043 1e-06 25 0.150547 1.4518 0.074958 26 -0.149816 -1.4448 0.075941 27 -0.10847 -1.046 0.149126 28 -0.084147 -0.8115 0.209581 29 0.006193 0.0597 0.476252 30 0.113929 1.0987 0.13737 31 0.0263 0.2536 0.400171 32 -0.060471 -0.5832 0.280598 33 -0.084143 -0.8114 0.209591 34 -0.16785 -1.6187 0.054451 35 0.063706 0.6144 0.270239 36 0.337952 3.2591 0.000781 37 0.052729 0.5085 0.306152 38 -0.187982 -1.8128 0.036542 39 -0.141316 -1.3628 0.088117 40 -0.128866 -1.2427 0.108544 41 -0.06394 -0.6166 0.269498 42 0.012223 0.1179 0.453209 43 -0.055908 -0.5392 0.295532 44 -0.116081 -1.1194 0.132916 45 -0.136556 -1.3169 0.095555 46 -0.198966 -1.9188 0.029041 47 -0.005731 -0.0553 0.478021 48 0.179685 1.7328 0.043221 49 -0.025885 -0.2496 0.401712 50 -0.231194 -2.2296 0.014092 51 -0.191191 -1.8438 0.0342 52 -0.161875 -1.5611 0.060952 53 -0.119776 -1.1551 0.125509 54 -0.051469 -0.4964 0.310409 55 -0.075204 -0.7252 0.235063 56 -0.129633 -1.2501 0.107193 57 -0.136033 -1.3119 0.096399 58 -0.187283 -1.8061 0.037069 59 -0.058611 -0.5652 0.286641 60 0.097585 0.9411 0.174553 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.403904 3.8951 9.2e-05 2 -0.146982 -1.4174 0.079848 3 0.242369 2.3373 0.010784 4 -0.094284 -0.9092 0.182786 5 0.382216 3.686 0.000191 6 0.143672 1.3855 0.084603 7 0.120503 1.1621 0.124087 8 -0.023077 -0.2226 0.412187 9 0.047182 0.455 0.325083 10 -0.231349 -2.231 0.014041 11 0.483961 4.6672 5e-06 12 0.476064 4.591 7e-06 13 -0.230978 -2.2275 0.014164 14 -0.312081 -3.0096 0.001683 15 -0.009367 -0.0903 0.464107 16 0.016201 0.1562 0.438092 17 -0.140319 -1.3532 0.089638 18 -0.126372 -1.2187 0.113022 19 -0.052448 -0.5058 0.3071 20 -0.033836 -0.3263 0.372464 21 0.059509 0.5739 0.283717 22 0.027428 0.2645 0.395988 23 0.107372 1.0355 0.15157 24 -0.099302 -0.9576 0.170365 25 0.009329 0.09 0.464256 26 -0.004088 -0.0394 0.484318 27 -0.076176 -0.7346 0.232211 28 -0.08009 -0.7724 0.220931 29 -0.10562 -1.0186 0.155526 30 -0.053178 -0.5128 0.304644 31 0.069483 0.6701 0.252236 32 0.014245 0.1374 0.445515 33 0.008501 0.082 0.467419 34 -0.007307 -0.0705 0.471987 35 -0.054079 -0.5215 0.301623 36 0.074707 0.7204 0.236528 37 0.033501 0.3231 0.373684 38 0.087194 0.8409 0.20129 39 0.002489 0.024 0.490452 40 -0.025211 -0.2431 0.404222 41 -0.042503 -0.4099 0.341418 42 -0.01557 -0.1502 0.440485 43 -0.099086 -0.9555 0.170889 44 -0.082169 -0.7924 0.215068 45 -0.042158 -0.4066 0.342634 46 -0.025413 -0.2451 0.403468 47 0.017844 0.1721 0.431874 48 -0.088948 -0.8578 0.196608 49 0.030798 0.297 0.383561 50 -0.041765 -0.4028 0.344024 51 0.032201 0.3105 0.378426 52 -0.014944 -0.1441 0.442861 53 0.055923 0.5393 0.295483 54 -0.046952 -0.4528 0.325877 55 0.10727 1.0345 0.1518 56 -0.047914 -0.4621 0.322557 57 0.0869 0.838 0.20208 58 -0.091013 -0.8777 0.191185 59 -0.026255 -0.2532 0.40034 60 -0.068392 -0.6595 0.255587

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229627131fd4ya3noug5auvx/17n351229626803.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229627131fd4ya3noug5auvx/17n351229626803.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229627131fd4ya3noug5auvx/2ondm1229626803.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229627131fd4ya3noug5auvx/2ondm1229626803.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -1.1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -1.1 ; 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')

Copyright

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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