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autocorrelatie

*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, 20 Dec 2009 14:06:07 -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/20/t1261343214o8eed5xjz5jpiuz.htm/, Retrieved Sun, 20 Dec 2009 22:06:56 +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/20/t1261343214o8eed5xjz5jpiuz.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 «

467 460 448 443 436 431 484 510 513 503 471 471 476 475 470 461 455 456 517 525 523 519 509 512 519 517 510 509 501 507 569 580 578 565 547 555 562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.069471	0.5854	0.280077
2	-0.045642	-0.3846	0.350848
3	-0.062572	-0.5272	0.299834
4	0.068939	0.5809	0.281578
5	0.044564	0.3755	0.354203
6	-0.003041	-0.0256	0.489814
7	0.007939	0.0669	0.473427
8	0.053464	0.4505	0.326863
9	0.187365	1.5788	0.059418
10	-0.124996	-1.0532	0.147902
11	-0.013622	-0.1148	0.454473
12	-0.23423	-1.9737	0.026156
13	-0.004102	-0.0346	0.486263
14	0.166658	1.4043	0.082297
15	0.036719	0.3094	0.378962
16	-0.01848	-0.1557	0.438349
17	-0.102033	-0.8597	0.196412
18	0.114355	0.9636	0.169266
19	0.059431	0.5008	0.309039
20	0.032075	0.2703	0.39387
21	0.003411	0.0287	0.488575
22	0.06745	0.5683	0.285799
23	0.203879	1.7179	0.045085
24	-0.111868	-0.9426	0.174536
25	-0.144735	-1.2196	0.113333
26	-0.257901	-2.1731	0.016555
27	0.083585	0.7043	0.241774
28	-0.001982	-0.0167	0.49336
29	0.114273	0.9629	0.169437
30	-0.098687	-0.8316	0.204224
31	-0.074521	-0.6279	0.266034
32	0.059798	0.5039	0.307956
33	-0.100087	-0.8433	0.200933
34	-0.046437	-0.3913	0.348379
35	-0.095659	-0.806	0.211456
36	0.035705	0.3009	0.382201
37	0.084842	0.7149	0.23851
38	0.15855	1.336	0.092913
39	-0.134977	-1.1373	0.12961
40	-0.050683	-0.4271	0.335312
41	0.014808	0.1248	0.450527
42	-0.040585	-0.342	0.36669
43	0.038212	0.322	0.374207
44	-0.139673	-1.1769	0.121582
45	-0.078521	-0.6616	0.255175
46	0.011556	0.0974	0.461352
47	-0.082453	-0.6948	0.244737
48	-0.092249	-0.7773	0.219781
49	-0.094295	-0.7945	0.214763
50	0.062543	0.527	0.299918
51	-0.021462	-0.1808	0.428504
52	-0.014743	-0.1242	0.450743
53	-0.122592	-1.033	0.15256
54	0.026854	0.2263	0.410819
55	-0.082316	-0.6936	0.245097
56	0.017636	0.1486	0.441144
57	0.056139	0.473	0.318819
58	-0.049085	-0.4136	0.340206
59	-0.001658	-0.014	0.494448
60	0.040668	0.3427	0.366428

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.069471	0.5854	0.280077
2	-0.050713	-0.4273	0.335223
3	-0.056132	-0.473	0.318839
4	0.075898	0.6395	0.262269
5	0.029134	0.2455	0.403394
6	-0.005939	-0.05	0.480113
7	0.020871	0.1759	0.430452
8	0.05139	0.433	0.333158
9	0.178674	1.5055	0.068311
10	-0.151874	-1.2797	0.102406
11	0.028941	0.2439	0.40402
12	-0.249419	-2.1016	0.019567
13	-0.003898	-0.0328	0.486946
14	0.168898	1.4232	0.079535
15	-0.012103	-0.102	0.459528
16	0.027944	0.2355	0.407264
17	-0.106328	-0.8959	0.186657
18	0.110623	0.9321	0.177215
19	0.093976	0.7919	0.215541
20	0.016108	0.1357	0.446212
21	0.137102	1.1552	0.125932
22	-0.058652	-0.4942	0.31134
23	0.184635	1.5558	0.062106
24	-0.212504	-1.7906	0.038811
25	-0.131577	-1.1087	0.135653
26	-0.18994	-1.6005	0.056968
27	-0.006352	-0.0535	0.478734
28	-0.011277	-0.095	0.462284
29	0.086099	0.7255	0.23527
30	-0.051772	-0.4362	0.331994
31	0.004671	0.0394	0.484357
32	0.044404	0.3742	0.354702
33	0.010523	0.0887	0.464799
34	-0.015508	-0.1307	0.448201
35	0.047201	0.3977	0.346015
36	-0.151567	-1.2771	0.102859
37	0.032182	0.2712	0.393523
38	0.019632	0.1654	0.434542
39	-0.060869	-0.5129	0.304808
40	0.030046	0.2532	0.400434
41	-0.05515	-0.4647	0.321785
42	-0.063694	-0.5367	0.296579
43	0.009717	0.0819	0.467486
44	-0.081387	-0.6858	0.247542
45	-0.03148	-0.2653	0.39579
46	-0.03616	-0.3047	0.380746
47	-0.043613	-0.3675	0.357173
48	-0.006135	-0.0517	0.47946
49	-0.039918	-0.3364	0.368797
50	0.063747	0.5371	0.296426
51	-0.110619	-0.9321	0.177223
52	-0.100024	-0.8428	0.20108
53	0.039103	0.3295	0.37138
54	0.016449	0.1386	0.445079
55	-0.063321	-0.5336	0.297659
56	-0.011499	-0.0969	0.461543
57	0.012386	0.1044	0.458586
58	-0.045086	-0.3799	0.352576
59	-0.071546	-0.6029	0.274263
60	0.098828	0.8327	0.203892

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261343214o8eed5xjz5jpiuz/11kk51261343165.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261343214o8eed5xjz5jpiuz/11kk51261343165.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261343214o8eed5xjz5jpiuz/2yzk71261343165.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261343214o8eed5xjz5jpiuz/2yzk71261343165.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ;

Parameters (R input):

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

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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