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KDGP2W21

*Unverified author*
R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Sun, 06 Dec 2009 07:18:50 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/06/t12601091949qjfdj0mo3zl79q.htm/, Retrieved Sun, 06 Dec 2009 15:19:56 +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/2009/Dec/06/t12601091949qjfdj0mo3zl79q.htm/},
    year = {2009},
}
@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 = {2009},
    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:
Time Series Analysis (new) en selecteer de module (Partial) Autocorrelation Function aantal bezoekers VS
 
Dataseries X:
» Textbox « » Textfile « » CSV «
2357402 2199181 2603060 2629720 2638792 2717481 3810804 3871664 2998364 2923432 2712359 2996099 2395029 2483862 3120231 3360606 3177203 3062783 4242509 4026394 3192481 3118695 2782482 3209833 2630190 2592882 3785309 3231539 3421369 3312134 4647303 4289177 3463853 3304422 3006121 3464238 2921118 2624018 3500718 3939351 3467672 3343628 4852445 4597807 3653145 3572079 3334861 3695369 3075704 2852998 3942704 4004560 3822145 3760085 5267816 5271333 4144142 4109749 3896808 4211074 3402318 3279817 4706628 4079499 4344530 4048625 5394915 5611967 4145481 4025610 3552218 3910443
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.6310165.35430
20.3635283.08460.001445
30.3427042.90790.002417
40.3293872.79490.003325
50.131661.11720.133818
6-0.142909-1.21260.114619
70.1042740.88480.189605
80.2874292.43890.008599
90.2692722.28480.012635
100.2437352.06820.021109
110.4231843.59080.000299
120.6692455.67870
130.3742953.1760.001099
140.1252361.06270.145744
150.1184931.00540.159024
160.1075940.9130.182154
17-0.053875-0.45710.324473
18-0.269393-2.28590.012603
19-0.067831-0.57560.283351
200.0834160.70780.240673
210.0559290.47460.318264
220.0472570.4010.344809
230.1874241.59030.058069
240.390383.31250.000724
250.1678461.42420.079351
26-0.030265-0.25680.399031
27-0.023996-0.20360.419614
28-0.036552-0.31020.378671
29-0.155473-1.31920.095636
30-0.327202-2.77640.0035
31-0.171495-1.45520.074982
32-0.04095-0.34750.364625
33-0.055532-0.47120.31946
34-0.062747-0.53240.298034
350.0284910.24180.40483
360.1995231.6930.047388
370.0345150.29290.385233
38-0.119433-1.01340.157125
39-0.134397-1.14040.128951
40-0.137749-1.16880.123162
41-0.209089-1.77420.040131
42-0.348697-2.95880.002089
43-0.225753-1.91560.029695
44-0.135407-1.1490.127186
45-0.146271-1.24110.10929
46-0.138842-1.17810.121315
47-0.073626-0.62470.26706
480.0242860.20610.418657


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.6310165.35430
2-0.057581-0.48860.313309
30.2274631.93010.028768
40.0505930.42930.334495
5-0.216195-1.83450.035357
6-0.308165-2.61490.005433
70.585514.96822e-06
80.0692950.5880.279189
90.1404221.19150.118681
100.0609650.51730.303265
110.2549432.16330.016921
120.1763031.4960.069515
13-0.36058-3.05960.001556
14-0.145666-1.2360.110235
15-0.023811-0.2020.420225
16-0.12992-1.10240.136978
170.0302870.2570.398959
180.0059040.05010.480092
19-0.085406-0.72470.235493
20-0.140037-1.18820.11932
210.0437340.37110.355828
220.0412350.34990.363722
230.0199510.16930.433023
240.0991050.84090.201585
25-0.014498-0.1230.451217
26-0.045181-0.38340.351287
27-0.012826-0.10880.456819
28-0.027272-0.23140.408827
290.0335620.28480.388315
30-0.023133-0.19630.422469
31-0.055817-0.47360.318601
32-0.026369-0.22370.411793
330.0238890.20270.419968
34-0.096342-0.81750.208174
35-0.050897-0.43190.333562
360.0483550.41030.3414
37-0.054898-0.46580.321374
380.0137290.11650.453793
39-0.076896-0.65250.258084
400.0182980.15530.438524
41-0.012016-0.1020.459535
420.0027110.0230.490856
430.0070820.06010.476124
44-0.087466-0.74220.230199
45-0.081682-0.69310.245241
460.0674760.57260.284366
470.0042080.03570.485807
48-0.210672-1.78760.039024
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Dec/06/t12601091949qjfdj0mo3zl79q/1dpsf1260109128.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/06/t12601091949qjfdj0mo3zl79q/1dpsf1260109128.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/06/t12601091949qjfdj0mo3zl79q/2kz041260109128.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/06/t12601091949qjfdj0mo3zl79q/2kz041260109128.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'
par7 <- as.numeric(par7)
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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))
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')
 




Copyright

Creative Commons License

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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