Sören Van Donink Paper 2009

*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 14:21:47 -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/t12613441773tg9zf79d0di4q4.htm/, Retrieved Sun, 20 Dec 2009 22:23:00 +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/t12613441773tg9zf79d0di4q4.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 «

101.0 98.7 105.1 98.4 101.7 102.9 92.2 94.9 92.8 98.5 94.3 87.4 103.4 101.2 109.6 111.9 108.9 105.6 107.8 97.5 102.4 105.6 99.8 96.2 113.1 107.4 116.8 112.9 105.3 109.3 107.9 101.1 114.7 116.2 108.4 113.4 108.7 112.6 124.2 114.9 110.5 121.5 118.1 111.7 132.7 119.0 116.7 120.1 113.4 106.6 116.3 112.6 111.6 125.1 110.7 109.6 114.2 113.4 116.0 109.6 117.8 115.8 125.3 113.0 120.5 116.6 111.8 115.2 118.6 122.4 116.4 114.5 119.8 115.8 127.8 118.8 119.7 118.6 120.8 115.9 109.7 114.8 116.2 112.2

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 -0.459392 -3.8709 0.000119 2 -0.020466 -0.1725 0.431786 3 0.164825 1.3888 0.084611 4 -0.183048 -1.5424 0.063712 5 -0.067198 -0.5662 0.286516 6 0.100224 0.8445 0.200612 7 0.000599 0.005 0.497995 8 -0.189806 -1.5993 0.057094 9 0.399901 3.3696 0.00061 10 -0.319118 -2.6889 0.004463 11 0.271189 2.2851 0.012649 12 -0.181148 -1.5264 0.065679 13 -0.171881 -1.4483 0.075968 14 0.222379 1.8738 0.032537 15 -0.09472 -0.7981 0.213729 16 -0.070686 -0.5956 0.276663 17 0.154388 1.3009 0.09875 18 0.001306 0.011 0.495625 19 -0.255709 -2.1546 0.017292 20 0.376989 3.1766 0.001103 21 -0.199708 -1.6828 0.048406 22 -0.079166 -0.6671 0.253446 23 0.18337 1.5451 0.063383 24 -0.1479 -1.2462 0.108389 25 -0.019239 -0.1621 0.43584 26 0.131572 1.1086 0.135662 27 -0.049546 -0.4175 0.338794 28 -0.056234 -0.4738 0.318535 29 0.188402 1.5875 0.058421 30 -0.152027 -1.281 0.102181 31 0.088099 0.7423 0.230168 32 0.003848 0.0324 0.487113 33 -0.135807 -1.1443 0.128165 34 0.068541 0.5775 0.282703 35 0.040896 0.3446 0.365707 36 -0.129853 -1.0942 0.138792 37 0.165992 1.3987 0.083131 38 -0.043265 -0.3646 0.358263 39 -0.115419 -0.9725 0.167041 40 0.16483 1.3889 0.084605 41 -0.155038 -1.3064 0.097821 42 0.004887 0.0412 0.483636 43 0.07128 0.6006 0.275004 44 0.017023 0.1434 0.443175 45 -0.064788 -0.5459 0.293419 46 0.120162 1.0125 0.157367 47 -0.08205 -0.6914 0.245796 48 -0.028494 -0.2401 0.405475 49 0.077107 0.6497 0.258986 50 -0.097658 -0.8229 0.206664 51 0.052202 0.4399 0.330688 52 -0.017883 -0.1507 0.440327 53 0.035775 0.3014 0.381977 54 0.014882 0.1254 0.450282 55 -0.023434 -0.1975 0.422016 56 -0.01121 -0.0945 0.462506 57 0.017138 0.1444 0.442795 58 -0.018064 -0.1522 0.439727 59 -0.010382 -0.0875 0.465269 60 0.043345 0.3652 0.358012 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 -0.459392 -3.8709 0.000119 2 -0.293434 -2.4725 0.007907 3 0.024774 0.2088 0.41762 4 -0.111897 -0.9429 0.174474 5 -0.246342 -2.0757 0.020772 6 -0.147417 -1.2422 0.109133 7 -0.011908 -0.1003 0.460179 8 -0.261068 -2.1998 0.015539 9 0.199728 1.6829 0.04839 10 -0.11807 -0.9949 0.161588 11 0.305075 2.5706 0.006125 12 -0.14911 -1.2564 0.106541 13 -0.261163 -2.2006 0.015509 14 -0.032567 -0.2744 0.392282 15 0.008285 0.0698 0.472271 16 -0.163057 -1.3739 0.086891 17 0.04682 0.3945 0.347192 18 -0.162754 -1.3714 0.087286 19 -0.160827 -1.3552 0.089832 20 -0.061867 -0.5213 0.301891 21 0.035856 0.3021 0.381717 22 -0.01044 -0.088 0.465076 23 0.026455 0.2229 0.412123 24 -0.105142 -0.8859 0.189321 25 -0.170377 -1.4356 0.07775 26 -0.101571 -0.8559 0.19748 27 0.037129 0.3129 0.377653 28 -0.011478 -0.0967 0.461614 29 0.054747 0.4613 0.322996 30 0.040224 0.3389 0.36783 31 -0.01545 -0.1302 0.448394 32 0.000513 0.0043 0.49828 33 0.06163 0.5193 0.302581 34 -0.043739 -0.3686 0.356779 35 0.091377 0.77 0.22194 36 -0.113239 -0.9542 0.171618 37 0.00248 0.0209 0.491694 38 -0.137431 -1.158 0.125369 39 0.008457 0.0713 0.471696 40 -0.045961 -0.3873 0.349855 41 -0.119617 -1.0079 0.15846 42 -0.046395 -0.3909 0.348508 43 -0.027994 -0.2359 0.407103 44 0.038301 0.3227 0.373923 45 0.147948 1.2466 0.108315 46 -0.050643 -0.4267 0.335435 47 0.059859 0.5044 0.307777 48 -0.034413 -0.29 0.386342 49 -0.033733 -0.2842 0.388526 50 0.067058 0.565 0.286914 51 -0.021622 -0.1822 0.427975 52 -0.058363 -0.4918 0.312199 53 -0.027893 -0.235 0.407431 54 -0.02446 -0.2061 0.418651 55 -0.046792 -0.3943 0.347278 56 0.059809 0.504 0.307925 57 0.008603 0.0725 0.471209 58 -0.017267 -0.1455 0.442366 59 -0.026266 -0.2213 0.41274 60 -0.044786 -0.3774 0.353511

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/20/t12613441773tg9zf79d0di4q4/1cik51261344105.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/20/t12613441773tg9zf79d0di4q4/1cik51261344105.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/20/t12613441773tg9zf79d0di4q4/2ev6q1261344105.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/20/t12613441773tg9zf79d0di4q4/2ev6q1261344105.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')

Copyright

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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