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(P)ACF elektriciteit

*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 08:28:36 -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/t12297005571lasvvoft4v8hl6.htm/, Retrieved Fri, 19 Dec 2008 16:29:19 +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/t12297005571lasvvoft4v8hl6.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 «

97.57 97.74 97.92 98.19 98.23 98.41 98.59 98.71 99.14 99.62 100.18 100.66 101.19 101.75 102.2 102.87 98.81 97.6 96.68 95.96 98.89 99.05 99.2 99.11 99.19 99.77 100.70 100.78 100.53 101.01 100.92 101.10 103.11 102.99 102.31 102.61 103.68 104.72 107.66 108.87 108.12 107.61 106.42 105.61 105.71 105.49 105.57 105.18 106.09 106.34 108.47 116.87 121.08 123.27 124.18 125.60 126.57 127.18 128.04 128.55 129.67

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	-0.292677	-2.2481	0.01416
2	-0.121805	-0.9356	0.176646
3	0.102853	0.79	0.216337
4	-0.334099	-2.5663	0.006419
5	0.109903	0.8442	0.20099
6	0.074894	0.5753	0.283648
7	0.065875	0.506	0.307373
8	-0.130284	-1.0007	0.160522
9	0.009528	0.0732	0.470954
10	-0.047679	-0.3662	0.357753
11	-0.130967	-1.006	0.159267
12	0.234465	1.801	0.03841
13	0.005459	0.0419	0.483348
14	-0.028546	-0.2193	0.4136
15	0.044379	0.3409	0.367202
16	-0.089148	-0.6848	0.248089
17	-0.033453	-0.257	0.399052
18	0.073616	0.5655	0.286953
19	0.116829	0.8974	0.186581
20	-0.117142	-0.8998	0.185946
21	0.008979	0.069	0.472624
22	-0.104416	-0.802	0.212875
23	-0.010146	-0.0779	0.469071
24	0.082168	0.6311	0.265192
25	-0.008995	-0.0691	0.472576
26	0.089679	0.6888	0.246812
27	-0.058063	-0.446	0.328618
28	-0.007637	-0.0587	0.47671
29	-0.029966	-0.2302	0.409375
30	-0.076485	-0.5875	0.279558
31	0.290528	2.2316	0.014727
32	-0.145292	-1.116	0.134471
33	0.042265	0.3246	0.373298
34	-0.012848	-0.0987	0.460861
35	-0.242814	-1.8651	0.033572
36	0.118941	0.9136	0.182321
37	0.011586	0.089	0.464694
38	0.05116	0.393	0.347881
39	-0.032757	-0.2516	0.401109
40	0.014541	0.1117	0.455724
41	0.015021	0.1154	0.454268
42	-0.004791	-0.0368	0.485383
43	0.027216	0.209	0.417565
44	-0.029617	-0.2275	0.410415
45	0.003037	0.0233	0.490734
46	0.000299	0.0023	0.499087
47	-0.011986	-0.0921	0.463478
48	0.009045	0.0695	0.472424
49	-0.001275	-0.0098	0.49611
50	0.00137	0.0105	0.495821
51	-0.002016	-0.0155	0.493848
52	0.001407	0.0108	0.495706
53	0.000226	0.0017	0.49931
54	-0.000672	-0.0052	0.497951
55	0.000855	0.0066	0.49739
56	-0.000777	-0.006	0.49763
57	0.000218	0.0017	0.499335
58	1e-05	1e-04	0.499969
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.292677	-2.2481	0.01416
2	-0.226901	-1.7429	0.043284
3	-0.00841	-0.0646	0.474355
4	-0.377577	-2.9002	0.002616
5	-0.144335	-1.1087	0.136038
6	-0.091944	-0.7062	0.24141
7	0.094828	0.7284	0.234629
8	-0.235146	-1.8062	0.037995
9	-0.090072	-0.6919	0.24587
10	-0.174706	-1.3419	0.092378
11	-0.231821	-1.7807	0.040059
12	-0.099371	-0.7633	0.224168
13	-0.053758	-0.4129	0.340579
14	-0.086735	-0.6662	0.253932
15	-0.088888	-0.6828	0.248715
16	-0.078324	-0.6016	0.274866
17	-0.114132	-0.8767	0.192112
18	-0.063775	-0.4899	0.313024
19	0.067396	0.5177	0.303309
20	-0.059572	-0.4576	0.324468
21	-0.041986	-0.3225	0.374106
22	-0.184063	-1.4138	0.081335
23	-0.012161	-0.0934	0.462946
24	-0.105229	-0.8083	0.211088
25	-0.101259	-0.7778	0.219903
26	-0.059002	-0.4532	0.326033
27	-0.037638	-0.2891	0.386758
28	-0.050586	-0.3886	0.349501
29	-0.068866	-0.529	0.299406
30	-0.199558	-1.5328	0.065331
31	0.186271	1.4308	0.078885
32	-0.048558	-0.373	0.35525
33	0.126188	0.9693	0.168183
34	0.014813	0.1138	0.4549
35	-0.002667	-0.0205	0.491864
36	-0.058619	-0.4503	0.327087
37	0.028169	0.2164	0.414722
38	-0.041989	-0.3225	0.374097
39	-0.065159	-0.5005	0.309293
40	-0.062189	-0.4777	0.317321
41	0.07814	0.6002	0.275334
42	0.111782	0.8586	0.197015
43	-0.061873	-0.4753	0.318181
44	-0.047412	-0.3642	0.358512
45	-0.05044	-0.3874	0.349914
46	-0.081383	-0.6251	0.267153
47	-0.041902	-0.3219	0.374349
48	-0.013683	-0.1051	0.458326
49	-0.022723	-0.1745	0.43102
50	-0.109974	-0.8447	0.200838
51	0.003961	0.0304	0.487916
52	-0.059165	-0.4545	0.325584
53	0.066749	0.5127	0.305036
54	-0.073731	-0.5663	0.286655
55	0.016335	0.1255	0.450288
56	-0.066457	-0.5105	0.305815
57	-0.064421	-0.4948	0.311281
58	-0.039971	-0.307	0.379953
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t12297005571lasvvoft4v8hl6/1x3b01229700514.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t12297005571lasvvoft4v8hl6/1x3b01229700514.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t12297005571lasvvoft4v8hl6/23k611229700514.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t12297005571lasvvoft4v8hl6/23k611229700514.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -2.0 ; par3 = 2 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -2.0 ; par3 = 2 ; 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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