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voeding

*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 19:19:45 -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/20/t12297398757ddqawcxaz63iqr.htm/, Retrieved Sat, 20 Dec 2008 03:24:37 +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/20/t12297398757ddqawcxaz63iqr.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 «

99.2 93.6 104.2 95.3 102.7 103.1 100 107.2 107 119 110.4 101.7 102.4 98.8 105.6 104.4 106.3 107.2 108.5 106.9 114.2 125.9 110.6 110.5 106.7 104.7 107.4 109.8 103.4 114.8 114.3 109.6 118.3 127.3 112.3 114.9 108.2 105.4 122.1 113.5 110 125.3 114.3 115.6 127.1 123 122.2 126.4 112.7 105.8 120.9 116.3 115.7 127.9 108.3 121.1 128.6 123.1 127.7 126.6 118.4 110 129.6 115.8 125.9 128.4 114 125.6 128.5 136.6 133.1 124.6

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.613032	5.2018	1e-06
2	0.517482	4.391	1.9e-05
3	0.52818	4.4818	1.4e-05
4	0.290322	2.4635	0.008076
5	0.37068	3.1453	0.001206
6	0.416753	3.5363	0.000357
7	0.255839	2.1709	0.016619
8	0.240226	2.0384	0.022593
9	0.371423	3.1516	0.001183
10	0.278522	2.3633	0.010407
11	0.435254	3.6933	0.000214
12	0.580446	4.9252	3e-06
13	0.309477	2.626	0.005274
14	0.289927	2.4601	0.008145
15	0.220646	1.8722	0.032617
16	0.039413	0.3344	0.369514
17	0.144019	1.222	0.112839
18	0.142266	1.2072	0.115659
19	0.004659	0.0395	0.484286
20	0.051611	0.4379	0.331372
21	0.086507	0.734	0.232656
22	0.065439	0.5553	0.290216
23	0.217648	1.8468	0.034442
24	0.25637	2.1754	0.016443
25	0.114117	0.9683	0.168064
26	0.103726	0.8801	0.190855
27	-0.005726	-0.0486	0.480693
28	-0.127096	-1.0784	0.142218
29	-0.056173	-0.4766	0.317529
30	-0.100737	-0.8548	0.197754
31	-0.136674	-1.1597	0.124997
32	-0.124255	-1.0543	0.147627
33	-0.159319	-1.3519	0.090325
34	-0.124176	-1.0537	0.147778
35	-0.041787	-0.3546	0.361973
36	-0.012946	-0.1099	0.456416
37	-0.070754	-0.6004	0.275075
38	-0.124321	-1.0549	0.1475
39	-0.17942	-1.5224	0.066141
40	-0.268972	-2.2823	0.012714
41	-0.229391	-1.9464	0.027752
42	-0.239894	-2.0356	0.022738
43	-0.253536	-2.1513	0.017403
44	-0.249879	-2.1203	0.018714
45	-0.266679	-2.2628	0.013331
46	-0.198258	-1.6823	0.048424
47	-0.16596	-1.4082	0.081685
48	-0.079143	-0.6716	0.252008
49	-0.129068	-1.0952	0.138544
50	-0.194114	-1.6471	0.051946
51	-0.219957	-1.8664	0.033029
52	-0.283844	-2.4085	0.00929
53	-0.241284	-2.0474	0.022136
54	-0.250251	-2.1234	0.018577
55	-0.260791	-2.2129	0.015038
56	-0.280744	-2.3822	0.009927
57	-0.260485	-2.2103	0.015132
58	-0.221528	-1.8797	0.032096
59	-0.194251	-1.6483	0.051827
60	-0.104734	-0.8887	0.188563

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.613032	5.2018	1e-06
2	0.226972	1.9259	0.029032
3	0.242905	2.0611	0.021452
4	-0.247087	-2.0966	0.019771
5	0.248959	2.1125	0.019057
6	0.149456	1.2682	0.10441
7	-0.108009	-0.9165	0.181235
8	-0.131579	-1.1165	0.133964
9	0.378696	3.2133	0.000982
10	0.008005	0.0679	0.473016
11	0.261446	2.2184	0.014839
12	0.191311	1.6233	0.054445
13	-0.280881	-2.3834	0.009898
14	-0.252607	-2.1434	0.017728
15	-0.118709	-1.0073	0.158587
16	-0.055654	-0.4722	0.319091
17	0.012438	0.1055	0.45812
18	0.018045	0.1531	0.439368
19	0.0334	0.2834	0.388838
20	-0.019091	-0.162	0.435884
21	-0.012617	-0.1071	0.457521
22	0.097961	0.8312	0.204296
23	-0.037873	-0.3214	0.374432
24	-0.002834	-0.024	0.490442
25	0.030771	0.2611	0.397379
26	-0.038694	-0.3283	0.371808
27	-0.116404	-0.9877	0.163299
28	-0.081104	-0.6882	0.246772
29	-0.054844	-0.4654	0.321536
30	-0.033325	-0.2828	0.389081
31	0.116402	0.9877	0.163302
32	-0.0726	-0.616	0.269909
33	-0.1222	-1.0369	0.151626
34	-0.03203	-0.2718	0.393282
35	-0.035825	-0.304	0.381008
36	0.00965	0.0819	0.467484
37	-0.000947	-0.008	0.496805
38	-0.045176	-0.3833	0.351302
39	0.118289	1.0037	0.159438
40	-0.116435	-0.988	0.163234
41	0.024217	0.2055	0.418887
42	-0.03392	-0.2878	0.387154
43	-0.008613	-0.0731	0.470969
44	-0.029725	-0.2522	0.400792
45	0.027894	0.2367	0.406785
46	0.074973	0.6362	0.263343
47	-0.06105	-0.518	0.303015
48	0.041445	0.3517	0.363057
49	-0.074829	-0.6349	0.26374
50	-0.039924	-0.3388	0.367887
51	-0.075533	-0.6409	0.261806
52	0.09189	0.7797	0.219059
53	0.011827	0.1004	0.460172
54	-0.077742	-0.6597	0.255787
55	-0.032043	-0.2719	0.393242
56	-0.017644	-0.1497	0.440704
57	-0.041918	-0.3557	0.361559
58	-0.001301	-0.011	0.495612
59	-0.004478	-0.038	0.484896
60	0.008589	0.0729	0.471053

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t12297398757ddqawcxaz63iqr/1oy9o1229739583.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t12297398757ddqawcxaz63iqr/1oy9o1229739583.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t12297398757ddqawcxaz63iqr/2wcso1229739583.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t12297398757ddqawcxaz63iqr/2wcso1229739583.ps (open in new window)

Parameters (Session):

par1 = 1 ; par2 = Include Monthly Dummies ; par3 = No Linear Trend ;

Parameters (R input):

par1 = 60 ; par2 = -0.7 ; 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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