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Autocorrelation Function Geboortes Paper

*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 12:24:43 -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/t122971472947aifxvt75dq18s.htm/, Retrieved Fri, 19 Dec 2008 20:25:29 +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/t122971472947aifxvt75dq18s.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 «

9700 9081 9084 9743 8587 9731 9563 9998 9437 10038 9918 9252 9737 9035 9133 9487 8700 9627 8947 9283 8829 9947 9628 9318 9605 8640 9214 9567 8547 9185 9470 9123 9278 10170 9434 9655 9429 8739 9552 9687 9019 9672 9206 9069 9788 10312 10105 9863 9656 9295 9946 9701 9049 10190 9706 9765 9893 9994 10433 10073 10112 9266 9820 10097 9115 10411 9678 10408 10153 10368 10581 10597 10680 9738 9556

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.565353	-4.8633	3e-06
2	0.086349	0.7428	0.229975
3	0.163876	1.4097	0.081407
4	-0.242834	-2.0889	0.020076
5	0.103045	0.8864	0.189129
6	-0.032838	-0.2825	0.389181
7	0.0589	0.5067	0.306943
8	-0.25188	-2.1668	0.016737
9	0.275178	2.3672	0.01027
10	-0.096092	-0.8266	0.205557
11	-0.295228	-2.5396	0.006598
12	0.625846	5.3837	0
13	-0.435343	-3.745	0.000177
14	0.173677	1.494	0.06971
15	0.086552	0.7446	0.229451
16	-0.206755	-1.7786	0.039708
17	0.063955	0.5502	0.291932
18	0.070278	0.6046	0.273664
19	-0.091461	-0.7868	0.216961
20	-0.07793	-0.6704	0.25235
21	0.159398	1.3712	0.087229
22	-0.130452	-1.1222	0.132705
23	-0.089844	-0.7729	0.22103
24	0.371216	3.1933	0.001033
25	-0.283351	-2.4375	0.008596
26	0.088606	0.7622	0.224176
27	0.135841	1.1685	0.123169
28	-0.199534	-1.7165	0.045131
29	0.062442	0.5371	0.29639
30	0.018404	0.1583	0.43732
31	-0.115124	-0.9903	0.162619
32	0.059073	0.5082	0.306424
33	0.037432	0.322	0.37418
34	-0.044692	-0.3845	0.350872
35	-0.113408	-0.9756	0.166228
36	0.281743	2.4236	0.008905

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.565353	-4.8633	3e-06
2	-0.34286	-2.9494	0.00213
3	0.059285	0.51	0.305789
4	-0.104493	-0.8989	0.185816
5	-0.132637	-1.141	0.128777
6	-0.144253	-1.2409	0.10928
7	0.059511	0.5119	0.305112
8	-0.342814	-2.949	0.002132
9	-0.113958	-0.9803	0.165065
10	-0.00473	-0.0407	0.483825
11	-0.492498	-4.2366	3.2e-05
12	0.188888	1.6249	0.054221
13	0.139443	1.1995	0.117074
14	0.105814	0.9103	0.182823
15	0.095627	0.8226	0.206684
16	0.014849	0.1277	0.449352
17	-0.108111	-0.93	0.177697
18	0.081841	0.704	0.241815
19	-0.104499	-0.8989	0.185801
20	0.06875	0.5914	0.278024
21	-0.084762	-0.7292	0.234105
22	-0.068488	-0.5892	0.278775
23	-0.006232	-0.0536	0.478695
24	0.071125	0.6118	0.271258
25	0.142131	1.2227	0.112669
26	-0.033479	-0.288	0.387075
27	0.000238	0.002	0.499186
28	0.10002	0.8604	0.196174
29	0.027205	0.234	0.407805
30	-0.175625	-1.5108	0.067551
31	-0.116927	-1.0058	0.158885
32	-0.004827	-0.0415	0.483496
33	-0.001153	-0.0099	0.496056
34	0.104057	0.8951	0.18681
35	-0.04906	-0.422	0.337112
36	-0.046461	-0.3997	0.345274

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t122971472947aifxvt75dq18s/101461229714679.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t122971472947aifxvt75dq18s/101461229714679.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t122971472947aifxvt75dq18s/2t1v51229714679.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t122971472947aifxvt75dq18s/2t1v51229714679.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 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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