Home » date » 2009 » Dec » 13 »

deel 2 D=1 d=2

*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: Sun, 13 Dec 2009 10:13:07 -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/13/t1260724436lwtrcxr1m633jd4.htm/, Retrieved Sun, 13 Dec 2009 18:14:21 +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/13/t1260724436lwtrcxr1m633jd4.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 «

2350.44 2440.25 2408.64 2472.81 2407.6 2454.62 2448.05 2497.84 2645.64 2756.76 2849.27 2921.44 2981.85 3080.58 3106.22 3119.31 3061.26 3097.31 3161.69 3257.16 3277.01 3295.32 3363.99 3494.17 3667.03 3813.06 3917.96 3895.51 3801.06 3570.12 3701.61 3862.27 3970.1 4138.52 4199.75 4290.89 4443.91 4502.64 4356.98 4591.27 4696.96 4621.4 4562.84 4202.52 4296.49 4435.23 4105.18 4116.68 3844.49 3720.98 3674.4 3857.62 3801.06 3504.37 3032.6 3047.03 2962.34 2197.82 2014.45 1862.83 1905.41 1810.99 1670.07 1864.44 2052.02 2029.6 2070.83 2293.41 2443.27 2513.17

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.395521	-2.9598	0.002253
2	-0.157604	-1.1794	0.121612
3	0.129969	0.9726	0.167467
4	-0.222071	-1.6618	0.051068
5	0.302959	2.2671	0.013631
6	0.087554	0.6552	0.257513
7	-0.343723	-2.5722	0.006393
8	0.182776	1.3678	0.088424
9	-0.008527	-0.0638	0.474673
10	-0.106735	-0.7987	0.213911
11	0.449823	3.3662	0.000691
12	-0.423381	-3.1683	0.001242
13	-0.107984	-0.8081	0.211232
14	0.309187	2.3137	0.012188
15	-0.106802	-0.7992	0.213766
16	0.089717	0.6714	0.252369
17	-0.086232	-0.6453	0.260684
18	-0.184536	-1.3809	0.086392
19	0.247522	1.8523	0.034629
20	-0.053234	-0.3984	0.345938
21	-0.013399	-0.1003	0.460243
22	0.032941	0.2465	0.403096
23	-0.067907	-0.5082	0.306665
24	-0.066428	-0.4971	0.310531
25	0.165481	1.2383	0.110377
26	-0.103082	-0.7714	0.221857
27	-0.024582	-0.184	0.427355
28	0.056312	0.4214	0.337539
29	-0.071082	-0.5319	0.298439
30	0.078623	0.5884	0.279329
31	-0.05732	-0.4289	0.334806
32	0.01218	0.0911	0.463852
33	0.003301	0.0247	0.490189
34	0.012854	0.0962	0.461857
35	-0.06707	-0.5019	0.30885
36	0.045183	0.3381	0.368269
37	0.015827	0.1184	0.453071
38	-0.034248	-0.2563	0.399335
39	0.033998	0.2544	0.400053
40	-0.039839	-0.2981	0.383354
41	0.005669	0.0424	0.483156
42	0.032969	0.2467	0.403015
43	-0.038048	-0.2847	0.388453
44	-0.000883	-0.0066	0.497376
45	-0.013688	-0.1024	0.459389
46	0.009441	0.0706	0.471965
47	0.017021	0.1274	0.44955
48	0.005953	0.0445	0.482313
49	-0.031488	-0.2356	0.407288
50	0.000592	0.0044	0.498241
51	-0.000392	-0.0029	0.498834
52	0.005445	0.0407	0.483821
53	0.002571	0.0192	0.492358
54	-0.013864	-0.1037	0.458869
55	0.003805	0.0285	0.488694
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	-0.395521	-2.9598	0.002253
2	-0.372279	-2.7859	0.003636
3	-0.141495	-1.0588	0.147107
4	-0.381156	-2.8523	0.003035
5	0.050177	0.3755	0.354357
6	0.253018	1.8934	0.031737
7	-0.051333	-0.3841	0.351166
8	0.059538	0.4455	0.328822
9	0.080208	0.6002	0.27539
10	-0.105744	-0.7913	0.21605
11	0.405165	3.032	0.001838
12	0.042144	0.3154	0.376823
13	-0.185766	-1.3901	0.084993
14	-0.000524	-0.0039	0.498444
15	0.108084	0.8088	0.211019
16	-0.075905	-0.568	0.286145
17	-0.135085	-1.0109	0.15821
18	0.0143	0.107	0.457582
19	-0.052565	-0.3934	0.347774
20	-0.20625	-1.5434	0.06418
21	0.136793	1.0237	0.155197
22	-0.117812	-0.8816	0.190874
23	0.191108	1.4301	0.079119
24	0.003211	0.024	0.490456
25	-0.094722	-0.7088	0.240685
26	-0.123509	-0.9243	0.179659
27	0.006394	0.0478	0.481004
28	0.062392	0.4669	0.321191
29	-0.074506	-0.5576	0.289685
30	-0.061925	-0.4634	0.322435
31	-0.020101	-0.1504	0.440485
32	-0.03837	-0.2871	0.387534
33	0.065121	0.4873	0.313968
34	-0.021677	-0.1622	0.435861
35	0.039368	0.2946	0.384693
36	-0.01727	-0.1292	0.448818
37	-0.017155	-0.1284	0.449156
38	0.003737	0.028	0.488894
39	0.002491	0.0186	0.492598
40	0.055573	0.4159	0.339548
41	0.046755	0.3499	0.363869
42	-0.075427	-0.5644	0.287354
43	-0.09783	-0.7321	0.233582
44	-0.078575	-0.588	0.279446
45	-0.002819	-0.0211	0.491623
46	-0.041126	-0.3078	0.379703
47	-0.013306	-0.0996	0.460519
48	-0.043557	-0.326	0.372837
49	-0.015539	-0.1163	0.453922
50	0.042125	0.3152	0.376878
51	-0.029083	-0.2176	0.414252
52	0.009016	0.0675	0.473225
53	-0.028621	-0.2142	0.415592
54	0.01702	0.1274	0.449554
55	-0.039746	-0.2974	0.383619
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://www.freestatistics.org/blog/date/2009/Dec/13/t1260724436lwtrcxr1m633jd4/1luab1260724368.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260724436lwtrcxr1m633jd4/1luab1260724368.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260724436lwtrcxr1m633jd4/2pzco1260724368.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260724436lwtrcxr1m633jd4/2pzco1260724368.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; 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')

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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