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Paper statistiek_Autocorrelation function (d=1, D=1)_DC

*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: Fri, 19 Dec 2008 02:40:12 -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/19/t1229679735bjutrmvwvehfkgm.htm/, Retrieved Fri, 19 Dec 2008 10:42:15 +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/19/t1229679735bjutrmvwvehfkgm.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 «

98.1 101.1 111.1 93.3 100 108 70.4 75.4 105.5 112.3 102.5 93.5 86.7 95.2 103.8 97 95.5 101 67.5 64 106.7 100.6 101.2 93.1 84.2 85.8 91.8 92.4 80.3 79.7 62.5 57.1 100.8 100.7 86.2 83.2 71.7 77.5 89.8 80.3 78.7 93.8 57.6 60.6 91 85.3 77.4 77.3 68.3 69.9 81.7 75.1 69.9 84 54.3 60 89.9 77 85.3 77.6 69.2 75.5 85.7 72.2 79.9 85.3 52.2 61.2 82.4 85.4 78.2 70.2 70.2 69.3 77.5 66.1 69 79.2 56.2 63.3 77.8 92 78.1 65.1 71.1 70.9 72 81.9 70.6 72.5 65.1 54.9 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	4 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.559248	-5.0021	2e-06
2	-0.023857	-0.2134	0.415784
3	0.351059	3.14	0.001184
4	-0.404759	-3.6203	0.000257
5	0.136146	1.2177	0.113453
6	0.068618	0.6137	0.270566
7	-0.136398	-1.22	0.113029
8	0.084808	0.7585	0.225175
9	0.040799	0.3649	0.358068
10	-0.02417	-0.2162	0.414698
11	0.034591	0.3094	0.378913
12	-0.097611	-0.8731	0.192623
13	0.006869	0.0614	0.475583
14	-0.053652	-0.4799	0.316312
15	0.117224	1.0485	0.148786
16	-0.127852	-1.1435	0.128111
17	0.018278	0.1635	0.435277
18	0.218313	1.9527	0.027179
19	-0.241188	-2.1573	0.016993
20	0.053381	0.4775	0.317172
21	0.212178	1.8978	0.030666
22	-0.403316	-3.6074	0.000268
23	0.380048	3.3992	0.000528
24	-0.151444	-1.3546	0.089687
25	-0.112046	-1.0022	0.159641
26	0.275408	2.4633	0.007956
27	-0.244937	-2.1908	0.015689
28	0.111658	0.9987	0.160475
29	0.083357	0.7456	0.229058
30	-0.221346	-1.9798	0.025584
31	0.124623	1.1147	0.134166
32	0.090295	0.8076	0.210853
33	-0.215207	-1.9249	0.0289
34	0.155283	1.3889	0.08436
35	-0.081742	-0.7311	0.23342
36	-0.013519	-0.1209	0.45203
37	0.034848	0.3117	0.378043
38	0.027126	0.2426	0.404459
39	-0.032888	-0.2942	0.384699
40	0.020779	0.1859	0.426514
41	0.025076	0.2243	0.411554
42	-0.006098	-0.0545	0.478318
43	-0.094541	-0.8456	0.200148
44	0.124628	1.1147	0.134157
45	-0.122814	-1.0985	0.137645
46	0.077677	0.6948	0.244608
47	0.132361	1.1839	0.119985
48	-0.258309	-2.3104	0.011722
49	0.260944	2.334	0.011054
50	-0.162175	-1.4505	0.07541
51	-0.020131	-0.1801	0.42878
52	0.129407	1.1575	0.125265
53	-0.185173	-1.6562	0.050795
54	0.103605	0.9267	0.178443
55	0.057285	0.5124	0.304901
56	-0.129703	-1.1601	0.12473
57	0.13508	1.2082	0.115267
58	-0.051951	-0.4647	0.321718
59	-0.065876	-0.5892	0.27869
60	0.076805	0.687	0.247045

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.559248	-5.0021	2e-06
2	-0.489806	-4.381	1.8e-05
3	0.109615	0.9804	0.164916
4	-0.153694	-1.3747	0.086534
5	-0.193179	-1.7278	0.043937
6	-0.187276	-1.675	0.048915
7	-0.071444	-0.639	0.262318
8	-0.099201	-0.8873	0.188794
9	-0.012063	-0.1079	0.457175
10	0.092707	0.8292	0.204729
11	0.154236	1.3795	0.085788
12	-0.077954	-0.6972	0.243835
13	-0.179288	-1.6036	0.056372
14	-0.306844	-2.7445	0.00374
15	-0.004019	-0.0359	0.485707
16	-0.174284	-1.5588	0.06149
17	-0.317744	-2.842	0.002843
18	-0.052021	-0.4653	0.321495
19	0.014718	0.1316	0.447798
20	-0.237975	-2.1285	0.018186
21	0.043486	0.3889	0.349174
22	-0.129046	-1.1542	0.125923
23	0.313006	2.7996	0.003205
24	-0.031475	-0.2815	0.389518
25	-0.014979	-0.134	0.446877
26	-0.015948	-0.1426	0.443466
27	0.014895	0.1332	0.447175
28	-0.162441	-1.4529	0.075079
29	0.014166	0.1267	0.449745
30	-0.134024	-1.1987	0.117083
31	-0.077617	-0.6942	0.244777
32	-0.01768	-0.1581	0.437375
33	0.027026	0.2417	0.404804
34	0.028428	0.2543	0.399971
35	-0.045443	-0.4065	0.342747
36	-0.188006	-1.6816	0.048275
37	-0.067168	-0.6008	0.274845
38	-0.07612	-0.6808	0.248969
39	-0.113567	-1.0158	0.156399
40	0.020438	0.1828	0.427707
41	-0.020405	-0.1825	0.427822
42	0.105694	0.9454	0.173663
43	-0.102989	-0.9212	0.179869
44	-0.079463	-0.7107	0.239656
45	0.006553	0.0586	0.476705
46	-0.065059	-0.5819	0.281134
47	0.045555	0.4075	0.342381
48	-0.06503	-0.5816	0.281219
49	-0.017784	-0.1591	0.43701
50	-0.245775	-2.1983	0.01541
51	-0.050319	-0.4501	0.32694
52	0.027262	0.2438	0.40399
53	0.026776	0.2395	0.405667
54	0.047649	0.4262	0.335559
55	-0.01783	-0.1595	0.436847
56	0.060658	0.5425	0.294476
57	-0.014131	-0.1264	0.449868
58	0.067299	0.6019	0.274458
59	0.108674	0.972	0.166988
60	0.023446	0.2097	0.417215

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229679735bjutrmvwvehfkgm/1t3zu1229679602.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229679735bjutrmvwvehfkgm/1t3zu1229679602.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229679735bjutrmvwvehfkgm/21g5p1229679602.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229679735bjutrmvwvehfkgm/21g5p1229679602.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -0.1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -0.1 ; 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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