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verbetering

*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: Thu, 10 Dec 2009 10:17:33 -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/10/t1260465487i25i5s7x16il97u.htm/, Retrieved Thu, 10 Dec 2009 18:18:10 +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/10/t1260465487i25i5s7x16il97u.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:

Dataseries X:

» Textbox « » Textfile « » CSV «

102.86 102.55 102.28 102.26 102.57 103.08 102.76 102.51 102.87 103.14 103.12 103.16 102.48 102.57 102.88 102.63 102.38 101.69 101.96 102.19 101.87 101.6 101.63 101.22 101.21 101.49 101.64 101.66 101.77 101.82 101.78 101.28 101.29 101.37 101.12 101.51 102.24 102.94 103.09 103.46 103.64 104.39 104.15 105.21 105.8 105.91 105.39 105.46 104.72 103.14 102.63 102.32 101.93 100.62 100.6 99.63 98.9 98.32 99.22 98.81

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	0.287027	2.2047	0.015694
2	0.211808	1.6269	0.054541
3	0.207128	1.591	0.058479
4	0.350046	2.6888	0.004654
5	-0.017538	-0.1347	0.446651
6	0.074285	0.5706	0.28522
7	0.112567	0.8646	0.195368
8	-0.016403	-0.126	0.450083
9	-0.190501	-1.4633	0.074351
10	-0.145086	-1.1144	0.134808
11	0.00297	0.0228	0.490937
12	-0.415377	-3.1906	0.001138
13	-0.251563	-1.9323	0.029064
14	-0.108019	-0.8297	0.205024
15	0.007156	0.055	0.478176
16	-0.209744	-1.6111	0.056251
17	-0.023136	-0.1777	0.42978
18	-0.061321	-0.471	0.319684
19	-0.024216	-0.186	0.42654
20	-0.184304	-1.4157	0.081065
21	-0.031996	-0.2458	0.403357
22	0.04489	0.3448	0.365733
23	-0.064546	-0.4958	0.310944
24	-0.116016	-0.8911	0.188238
25	0.041533	0.319	0.375418
26	-0.019017	-0.1461	0.44218
27	-0.084572	-0.6496	0.259234
28	0.002575	0.0198	0.492142
29	0.024734	0.19	0.424986
30	0.020421	0.1569	0.437948
31	-0.029876	-0.2295	0.409644
32	0.138695	1.0653	0.145532
33	0.11784	0.9051	0.184534
34	0.037006	0.2843	0.388606
35	-0.029143	-0.2239	0.411823
36	0.113109	0.8688	0.194238

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.287027	2.2047	0.015694
2	0.141043	1.0834	0.141525
3	0.12723	0.9773	0.166213
4	0.274579	2.1091	0.019596
5	-0.23747	-1.824	0.036606
6	0.037066	0.2847	0.388433
7	0.054564	0.4191	0.338329
8	-0.169299	-1.3004	0.099259
9	-0.118632	-0.9112	0.182942
10	-0.136568	-1.049	0.149229
11	0.107397	0.8249	0.206366
12	-0.419203	-3.22	0.001043
13	0.055385	0.4254	0.336038
14	0.105144	0.8076	0.211274
15	0.073083	0.5614	0.288338
16	0.123711	0.9502	0.172933
17	-0.054474	-0.4184	0.338579
18	-0.066943	-0.5142	0.304516
19	0.017451	0.134	0.446913
20	-0.206838	-1.5888	0.058731
21	-0.107061	-0.8224	0.207094
22	0.014036	0.1078	0.457255
23	-0.020765	-0.1595	0.436911
24	-0.195774	-1.5038	0.068988
25	0.080584	0.619	0.269157
26	-0.041603	-0.3196	0.375217
27	0.112012	0.8604	0.196532
28	0.106017	0.8143	0.209365
29	-0.050891	-0.3909	0.348638
30	0.009556	0.0734	0.470869
31	-0.007907	-0.0607	0.475887
32	0.040753	0.313	0.377682
33	-0.091275	-0.7011	0.243
34	-0.028292	-0.2173	0.414355
35	-0.058403	-0.4486	0.327681
36	-0.158515	-1.2176	0.114116

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/10/t1260465487i25i5s7x16il97u/1unpj1260465451.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/10/t1260465487i25i5s7x16il97u/1unpj1260465451.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/10/t1260465487i25i5s7x16il97u/21ixd1260465451.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/10/t1260465487i25i5s7x16il97u/21ixd1260465451.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; 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')

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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