Home » date » 2008 » Dec » 23 »

(P)ACF Vrouwen (D=1)

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 23 Dec 2008 13:24:31 -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/23/t12300639568mir2bgjyps4vwe.htm/, Retrieved Tue, 23 Dec 2008 21:25:58 +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/23/t12300639568mir2bgjyps4vwe.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 «

54327 53476 52258 50156 47925 45844 47605 63617 67028 65845 60106 55317 53188 51010 49364 47616 45429 43480 44964 61008 64530 62960 57529 52954 51374 49211 47980 45575 44431 43596 45544 60109 63695 60819 54709 49357 46913 46728 44576 41988 40880 37860 38532 52713 56139 50939 46352 42169 42025 41713 40123 37737 36928 33812 36122 48823 51520 47090 42683 39947

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	0.879627	6.0942	0
2	0.773516	5.3591	1e-06
3	0.65395	4.5307	2e-05
4	0.537639	3.7249	0.000257
5	0.421499	2.9202	0.002657
6	0.318905	2.2094	0.015974
7	0.239612	1.6601	0.051709
8	0.170078	1.1783	0.122236
9	0.108716	0.7532	0.227503
10	0.055378	0.3837	0.351457
11	-0.012854	-0.0891	0.464705
12	-0.12888	-0.8929	0.188182
13	-0.209954	-1.4546	0.076144
14	-0.258018	-1.7876	0.040078
15	-0.305703	-2.118	0.019691
16	-0.324467	-2.248	0.014604
17	-0.300891	-2.0846	0.021223
18	-0.278551	-1.9299	0.029773
19	-0.262366	-1.8177	0.037675
20	-0.228187	-1.5809	0.060232
21	-0.223977	-1.5518	0.063645
22	-0.191984	-1.3301	0.094885
23	-0.199258	-1.3805	0.086914
24	-0.175716	-1.2174	0.114703
25	-0.155098	-1.0746	0.143974
26	-0.168352	-1.1664	0.124613
27	-0.161637	-1.1199	0.134175
28	-0.147638	-1.0229	0.15575
29	-0.147303	-1.0205	0.156293
30	-0.1462	-1.0129	0.158093
31	-0.134885	-0.9345	0.177359
32	-0.128286	-0.8888	0.189274
33	-0.122324	-0.8475	0.200464
34	-0.086878	-0.6019	0.275034
35	-0.056892	-0.3942	0.347606
36	-0.032315	-0.2239	0.411899
37	-0.026474	-0.1834	0.427621
38	-0.019637	-0.1361	0.446175
39	-0.013031	-0.0903	0.464219
40	-0.010765	-0.0746	0.47043
41	-0.006309	-0.0437	0.482658
42	0.009108	0.0631	0.474973
43	-0.006742	-0.0467	0.481468
44	-0.009825	-0.0681	0.473005
45	-0.002337	-0.0162	0.493575
46	0.002954	0.0205	0.491877
47	0.01275	0.0883	0.46499
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.879627	6.0942	0
2	-0.001006	-0.007	0.497233
3	-0.11604	-0.8039	0.212695
4	-0.063974	-0.4432	0.329798
5	-0.070943	-0.4915	0.312654
6	-0.021208	-0.1469	0.4419
7	0.033283	0.2306	0.409306
8	-0.017679	-0.1225	0.451513
9	-0.033564	-0.2325	0.408555
10	-0.027974	-0.1938	0.42357
11	-0.126749	-0.8781	0.19212
12	-0.298761	-2.0699	0.021934
13	0.031611	0.219	0.413787
14	0.115337	0.7991	0.214091
15	-0.062267	-0.4314	0.334054
16	0.040951	0.2837	0.388925
17	0.132642	0.919	0.181353
18	-0.082612	-0.5724	0.284877
19	-0.098206	-0.6804	0.249763
20	0.077752	0.5387	0.296298
21	-0.151202	-1.0476	0.150045
22	0.152251	1.0548	0.148393
23	-0.076316	-0.5287	0.299714
24	-0.008084	-0.056	0.477784
25	-0.036268	-0.2513	0.401339
26	-0.18275	-1.2661	0.105788
27	-0.038772	-0.2686	0.394686
28	-0.003394	-0.0235	0.490667
29	-0.012335	-0.0855	0.466127
30	0.024447	0.1694	0.433107
31	0.0192	0.133	0.447366
32	-0.010799	-0.0748	0.470335
33	-0.07616	-0.5276	0.300087
34	0.165077	1.1437	0.129213
35	-0.049082	-0.34	0.367652
36	-0.029952	-0.2075	0.418243
37	0.018504	0.1282	0.449264
38	-0.078077	-0.5409	0.295529
39	-0.072548	-0.5026	0.308763
40	0.048588	0.3366	0.368932
41	-0.010409	-0.0721	0.471404
42	-0.089773	-0.622	0.268453
43	-0.03404	-0.2358	0.40728
44	-0.058657	-0.4064	0.343131
45	-0.028594	-0.1981	0.421899
46	0.087922	0.6091	0.272651
47	0.04285	0.2969	0.383923
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
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/23/t12300639568mir2bgjyps4vwe/1444o1230063869.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t12300639568mir2bgjyps4vwe/1444o1230063869.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t12300639568mir2bgjyps4vwe/2q4hi1230063869.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t12300639568mir2bgjyps4vwe/2q4hi1230063869.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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