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ACF Uitvoer

*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: Mon, 22 Dec 2008 09:25:42 -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/22/t1229963248el34b6pndtbrbu2.htm/, Retrieved Mon, 22 Dec 2008 17:27:30 +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/22/t1229963248el34b6pndtbrbu2.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 «

15916,4 16535,9 15796 14418,6 15044,5 14944,2 16754,8 14254 15454,9 15644,8 14568,3 12520,2 14803 15873,2 14755,3 12875,1 14291,1 14205,3 15859,4 15258,9 15498,6 15106,5 15023,6 12083 15761,3 16943 15070,3 13659,6 14768,9 14725,1 15998,1 15370,6 14956,9 15469,7 15101,8 11703,7 16283,6 16726,5 14968,9 14861 14583,3 15305,8 17903,9 16379,4 15420,3 17870,5 15912,8 13866,5 17823,2 17872 17420,4 16704,4 15991,2 16583,6 19123,5 17838,7 17209,4 18586,5 16258,1 15141,6 19202,1 17746,5 19090,1 18040,3 17515,5 17751,8 21072,4 17170 19439,5 19795,4 17574,9 16165,4 19464,6 19932,1 19961,2 17343,4 18924,2 18574,1 21350,6 18594,6 19823,1 20844,4 19640,2 17735,4 19813,6 22238,5 20682,2 17818,6 21872,1 22117 21865,9 23451,3 20953,7 22497,3

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	0.705049	6.8357	0
2	0.616569	5.9779	0
3	0.657705	6.3767	0
4	0.665843	6.4556	0
5	0.597233	5.7904	0
6	0.622692	6.0372	0
7	0.557403	5.4042	0
8	0.580953	5.6326	0
9	0.486937	4.721	4e-06
10	0.404311	3.9199	8.4e-05
11	0.488976	4.7408	4e-06
12	0.637342	6.1793	0
13	0.41988	4.0709	4.9e-05
14	0.33621	3.2597	0.000777
15	0.368742	3.5751	0.000278
16	0.366184	3.5503	0.000302
17	0.344368	3.3388	0.000604
18	0.34993	3.3927	0.000507
19	0.29903	2.8992	0.002328
20	0.314076	3.0451	0.001509
21	0.227983	2.2104	0.014753
22	0.148907	1.4437	0.076073
23	0.255138	2.4737	0.007584
24	0.328647	3.1863	0.000978
25	0.181724	1.7619	0.04067
26	0.108715	1.054	0.147286
27	0.111519	1.0812	0.141183
28	0.109235	1.0591	0.146139
29	0.089406	0.8668	0.194124
30	0.076047	0.7373	0.231388
31	0.036673	0.3556	0.361486
32	0.037513	0.3637	0.358447
33	-0.037273	-0.3614	0.359313
34	-0.105245	-1.0204	0.155081
35	-0.023168	-0.2246	0.411381
36	0.041563	0.403	0.343942
37	-0.07597	-0.7366	0.231613
38	-0.138487	-1.3427	0.091304
39	-0.150393	-1.4581	0.074071
40	-0.127445	-1.2356	0.109838
41	-0.159838	-1.5497	0.062288
42	-0.164655	-1.5964	0.05688
43	-0.183036	-1.7746	0.039601
44	-0.167834	-1.6272	0.05352
45	-0.251434	-2.4377	0.00833
46	-0.283679	-2.7504	0.00357
47	-0.232654	-2.2557	0.013205
48	-0.173654	-1.6836	0.047785
49	-0.259734	-2.5182	0.006743
50	-0.309351	-2.9993	0.001732
51	-0.312772	-3.0324	0.001568
52	-0.28184	-2.7325	0.003754
53	-0.315472	-3.0586	0.001448
54	-0.299959	-2.9082	0.002268
55	-0.311006	-3.0153	0.00165
56	-0.279764	-2.7124	0.003972
57	-0.327405	-3.1743	0.001015
58	-0.353969	-3.4319	0.000446
59	-0.298733	-2.8963	0.002348
60	-0.237882	-2.3064	0.011644

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.705049	6.8357	0
2	0.23757	2.3033	0.011733
3	0.334588	3.2439	0.000816
4	0.220904	2.1417	0.0174
5	0.030491	0.2956	0.384087
6	0.172307	1.6706	0.049066
7	-0.094639	-0.9176	0.180599
8	0.138947	1.3471	0.090587
9	-0.206799	-2.005	0.02392
10	-0.185432	-1.7978	0.037707
11	0.203255	1.9706	0.025854
12	0.421322	4.0849	4.6e-05
13	-0.307355	-2.9799	0.001835
14	-0.268899	-2.6071	0.00531
15	-0.070645	-0.6849	0.247536
16	0.050421	0.4888	0.313044
17	0.188552	1.8281	0.035355
18	-0.008898	-0.0863	0.465717
19	-0.129848	-1.2589	0.105588
20	-0.07014	-0.68	0.249076
21	0.061478	0.5961	0.276286
22	0.036092	0.3499	0.363588
23	0.038581	0.3741	0.354604
24	-0.099805	-0.9676	0.167853
25	-0.031619	-0.3066	0.379929
26	-0.01965	-0.1905	0.424661
27	-0.061921	-0.6003	0.274861
28	-0.019941	-0.1933	0.423558
29	-0.12973	-1.2578	0.105793
30	-0.018235	-0.1768	0.430023
31	-0.007883	-0.0764	0.469621
32	0.017106	0.1658	0.434316
33	0.043713	0.4238	0.336336
34	-0.053213	-0.5159	0.30356
35	-0.081161	-0.7869	0.216663
36	0.076647	0.7431	0.229632
37	-0.00201	-0.0195	0.492247
38	-0.039077	-0.3789	0.352822
39	-0.104897	-1.017	0.155879
40	0.013732	0.1331	0.447185
41	-0.063394	-0.6146	0.270144
42	0.026974	0.2615	0.397131
43	0.002452	0.0238	0.490541
44	0.022808	0.2211	0.412735
45	-0.061806	-0.5992	0.27523
46	0.01176	0.114	0.454733
47	-0.049546	-0.4804	0.31604
48	-0.053264	-0.5164	0.303389
49	0.019154	0.1857	0.426538
50	-0.006837	-0.0663	0.473644
51	0.013075	0.1268	0.449699
52	-0.025176	-0.2441	0.403848
53	-0.046387	-0.4497	0.326968
54	0.04844	0.4696	0.319848
55	-0.021418	-0.2077	0.417972
56	0.05491	0.5324	0.297863
57	0.084751	0.8217	0.206665
58	-0.05397	-0.5233	0.301011
59	-0.004921	-0.0477	0.481025
60	-0.025171	-0.244	0.403864

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229963248el34b6pndtbrbu2/1geog1229963140.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229963248el34b6pndtbrbu2/1geog1229963140.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229963248el34b6pndtbrbu2/28nho1229963140.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229963248el34b6pndtbrbu2/28nho1229963140.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 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')

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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