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(Partial) Autocorrelation Function Hoeveelheid Uitvoer d=0 en D=0

*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, 28 Nov 2008 03:12:46 -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/Nov/28/t122786723755la004vk5bf541.htm/, Retrieved Fri, 28 Nov 2008 10:14:01 +0000

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/Nov/28/t122786723755la004vk5bf541.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},
}

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
test

Post a new message

Original text written by user:

d=0 D=0

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

106 82 114 118 105 105 103 107 123 112 104 122 108 94 120 118 117 113 106 108 122 115 110 120 104 96 121 111 120 114 107 108 127 105 119 121 106 97 119 122 121 106 114 112 127 109 118 123 115 105 116 131 121 104 127 126 124 132 117 123

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	0 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.095247	0.7378	0.231763
2	-0.150608	-1.1666	0.123993
3	0.168679	1.3066	0.09817
4	0.158939	1.2311	0.111538
5	0.10549	0.8171	0.208546
6	0.266965	2.0679	0.021485
7	-0.024652	-0.191	0.424604
8	0.114606	0.8877	0.189114
9	0.057414	0.4447	0.32906
10	-0.210477	-1.6303	0.054134
11	0.039141	0.3032	0.381399
12	0.528496	4.0937	6.4e-05
13	-0.011068	-0.0857	0.465982
14	-0.171496	-1.3284	0.094537
15	-0.018534	-0.1436	0.443163
16	0.006862	0.0532	0.478893
17	0.043367	0.3359	0.369051
18	0.128713	0.997	0.161383
19	-0.037511	-0.2906	0.386195
20	0.031776	0.2461	0.403209
21	-0.051618	-0.3998	0.34535
22	-0.191641	-1.4844	0.071463
23	0.098487	0.7629	0.224264
24	0.273545	2.1189	0.019125
25	-0.022418	-0.1736	0.431363
26	-0.110219	-0.8538	0.198319
27	-0.069911	-0.5415	0.295075
28	0.012598	0.0976	0.461295
29	-0.007526	-0.0583	0.476852
30	-0.003139	-0.0243	0.49034
31	-0.017045	-0.132	0.447701
32	-4e-05	-3e-04	0.499876
33	-0.095388	-0.7389	0.231434
34	-0.161032	-1.2473	0.108558
35	0.017951	0.139	0.44494
36	0.194156	1.5039	0.068923

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.095247	0.7378	0.231763
2	-0.161142	-1.2482	0.108404
3	0.20792	1.6105	0.056264
4	0.094314	0.7306	0.233947
5	0.146537	1.1351	0.130431
6	0.275703	2.1356	0.018402
7	-0.092425	-0.7159	0.23841
8	0.202296	1.567	0.06119
9	-0.146351	-1.1336	0.130729
10	-0.267591	-2.0727	0.02125
11	-0.007167	-0.0555	0.477956
12	0.43508	3.3701	0.000659
13	0.000712	0.0055	0.497808
14	-0.0355	-0.275	0.392138
15	-0.136098	-1.0542	0.148007
16	-0.109612	-0.849	0.199615
17	-0.090598	-0.7018	0.242769
18	-0.011015	-0.0853	0.466144
19	0.13584	1.0522	0.148461
20	0.02563	0.1985	0.421651
21	-0.003099	-0.024	0.490465
22	-0.030235	-0.2342	0.407813
23	0.10168	0.7876	0.217012
24	-0.08024	-0.6215	0.2683
25	0.025401	0.1968	0.422341
26	-0.005431	-0.0421	0.483291
27	-0.028902	-0.2239	0.411808
28	0.053039	0.4108	0.341329
29	-0.149702	-1.1596	0.125406
30	-0.065428	-0.5068	0.307076
31	-0.083996	-0.6506	0.258884
32	0.019731	0.1528	0.43952
33	0.088056	0.6821	0.248906
34	0.026628	0.2063	0.418644
35	-0.028152	-0.2181	0.414061
36	0.081198	0.629	0.265881

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/28/t122786723755la004vk5bf541/19b6s1227867164.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/28/t122786723755la004vk5bf541/19b6s1227867164.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/28/t122786723755la004vk5bf541/22vas1227867164.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/28/t122786723755la004vk5bf541/22vas1227867164.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; 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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