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ACF Invoer Zonder Seizoenaliteit

*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 09:48:00 -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/t1229964604kplix09r2l18254.htm/, Retrieved Mon, 22 Dec 2008 17:50:04 +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/t1229964604kplix09r2l18254.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 «

14532.2 15167 16071.1 14827.5 15082 14772.7 16083 14272.5 15223.3 14897.3 13062.6 12603.8 13629.8 14421.1 13978.3 12927.9 13429.9 13470.1 14785.8 14292 14308.8 14013 13240.9 12153.4 14289.7 15669.2 14169.5 14569.8 14469.1 14264.9 15320.9 14433.5 13691.5 14194.1 13519.2 11857.9 14616 15643.4 14077.2 14887.5 14159.9 14643 17192.5 15386.1 14287.1 17526.6 14497 14398.3 16629.6 16670.7 16614.8 16869.2 15663.9 16359.9 18447.7 16889 16505 18320.9 15052.1 15699.8 18135.3 16768.7 18883 19021 18101.9 17776.1 21489.9 17065.3 18690 18953.1 16398.9 16895.7 18553 19270 19422.1 17579.4 18637.3 18076.7 20438.6 18075.2 19563 19899.2 19227.5 17789.6 19220.8 22058.6 21230.8 19504.4 23913.1 23165.7 23574.3 25002 22603.9 23408.6

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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.41004	-3.9543	7.5e-05
2	-0.23459	-2.2623	0.013003
3	0.322876	3.1137	0.001228
4	-0.151274	-1.4588	0.07399
5	-0.122474	-1.1811	0.120288
6	0.301972	2.9121	0.002247
7	-0.196804	-1.8979	0.030405
8	-0.038614	-0.3724	0.35523
9	0.201599	1.9441	0.02745
10	-0.25491	-2.4583	0.007906
11	-0.128029	-1.2347	0.110033
12	0.549358	5.2978	0
13	-0.261821	-2.5249	0.006633
14	-0.115843	-1.1171	0.133405
15	0.144993	1.3983	0.08268
16	-0.132637	-1.2791	0.102021
17	0.033975	0.3276	0.371959
18	0.120542	1.1625	0.124011
19	-0.122825	-1.1845	0.119621
20	0.022056	0.2127	0.416013
21	0.057984	0.5592	0.288692
22	-0.200069	-1.9294	0.028365
23	0.073707	0.7108	0.239492
24	0.201818	1.9463	0.027321
25	-0.05434	-0.524	0.30075
26	-0.059495	-0.5737	0.283762
27	0.001358	0.0131	0.494789
28	-0.038616	-0.3724	0.355222
29	0.090137	0.8693	0.193474
30	-0.065821	-0.6348	0.263574
31	0.002871	0.0277	0.488986
32	0.032049	0.3091	0.378981
33	-0.026735	-0.2578	0.398558
34	-0.109587	-1.0568	0.146667
35	0.03242	0.3126	0.377625
36	0.150242	1.4489	0.075367
37	0.015316	0.1477	0.441449
38	-0.121383	-1.1706	0.122381
39	0.009071	0.0875	0.465239
40	0.021182	0.2043	0.419295
41	0.033798	0.3259	0.372601
42	-0.072588	-0.7	0.242832
43	0.061209	0.5903	0.278217
44	0.019252	0.1857	0.426557
45	-0.084217	-0.8122	0.209388
46	0.040595	0.3915	0.348169
47	-0.085241	-0.822	0.20658
48	0.150199	1.4485	0.075425
49	0.057233	0.5519	0.29116
50	-0.152653	-1.4721	0.072181
51	0.011524	0.1111	0.455875
52	0.054903	0.5295	0.298871
53	-0.054453	-0.5251	0.300373
54	0.039367	0.3796	0.352537
55	-0.00125	-0.0121	0.495204
56	-0.033877	-0.3267	0.372317
57	-0.009286	-0.0896	0.464417
58	0.022158	0.2137	0.415631
59	-0.111339	-1.0737	0.142864
60	0.170726	1.6464	0.051526

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.41004	-3.9543	7.5e-05
2	-0.484119	-4.6687	5e-06
3	-0.028876	-0.2785	0.390635
4	-0.12541	-1.2094	0.114786
5	-0.177864	-1.7153	0.044814
6	0.119928	1.1565	0.12521
7	-0.0393	-0.379	0.352778
8	0.006498	0.0627	0.475083
9	0.079229	0.7641	0.223384
10	-0.157514	-1.519	0.066076
11	-0.385496	-3.7176	0.000172
12	0.256229	2.471	0.007648
13	0.222725	2.1479	0.017161
14	0.210261	2.0277	0.022727
15	-0.091355	-0.881	0.190296
16	-0.159729	-1.5404	0.063433
17	-0.003174	-0.0306	0.487824
18	-0.064167	-0.6188	0.26878
19	0.024265	0.234	0.407748
20	-0.01923	-0.1855	0.426639
21	-0.044391	-0.4281	0.334789
22	-0.106414	-1.0262	0.153726
23	0.049511	0.4775	0.317073
24	-0.042879	-0.4135	0.340094
25	0.156503	1.5093	0.067311
26	0.118383	1.1416	0.128266
27	0.100032	0.9647	0.168604
28	0.057563	0.5551	0.290075
29	0.032984	0.3181	0.375567
30	-0.13575	-1.3091	0.096859
31	-0.141783	-1.3673	0.087413
32	-0.091319	-0.8806	0.190389
33	0.06335	0.6109	0.271371
34	0.084269	0.8127	0.209244
35	-0.138588	-1.3365	0.092325
36	0.017528	0.169	0.433067
37	0.035957	0.3468	0.36478
38	0.004074	0.0393	0.484371
39	0.006591	0.0636	0.474728
40	0.000395	0.0038	0.498485
41	0.045309	0.4369	0.331582
42	-0.029828	-0.2877	0.387126
43	-0.004457	-0.043	0.482905
44	0.044889	0.4329	0.333045
45	-0.060367	-0.5822	0.280935
46	0.150446	1.4508	0.075094
47	0.046476	0.4482	0.327526
48	0.051227	0.494	0.311232
49	-0.034989	-0.3374	0.368281
50	-0.069868	-0.6738	0.251061
51	-0.067116	-0.6472	0.259534
52	-0.085967	-0.829	0.204602
53	-0.072431	-0.6985	0.243303
54	0.084443	0.8143	0.208766
55	0.03573	0.3446	0.365599
56	-0.035696	-0.3442	0.365723
57	-0.021304	-0.2054	0.418837
58	-0.033886	-0.3268	0.372282
59	0.007779	0.075	0.47018
60	0.021734	0.2096	0.417221

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229964604kplix09r2l18254/1ie581229964475.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229964604kplix09r2l18254/1ie581229964475.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229964604kplix09r2l18254/28a681229964475.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229964604kplix09r2l18254/28a681229964475.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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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