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Methode1_1

*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, 26 Nov 2009 11:35:58 -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/Nov/26/t12592606234jfobe5l8h72yk2.htm/, Retrieved Thu, 26 Nov 2009 19:37:05 +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/Nov/26/t12592606234jfobe5l8h72yk2.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 «

562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528

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	0.898698	7.0191	0
2	0.742544	5.7995	0
3	0.621793	4.8564	4e-06
4	0.562808	4.3957	2.2e-05
5	0.556293	4.3448	2.7e-05
6	0.541354	4.2281	4e-05
7	0.488006	3.8115	0.000162
8	0.412932	3.2251	0.001013
9	0.381457	2.9793	0.002072
10	0.405123	3.1641	0.001213
11	0.459306	3.5873	0.000333
12	0.466202	3.6412	0.000281
13	0.33403	2.6089	0.005705
14	0.174464	1.3626	0.089008
15	0.052965	0.4137	0.340285
16	-0.005692	-0.0445	0.482343
17	-0.022163	-0.1731	0.431573
18	-0.046805	-0.3656	0.35798
19	-0.100425	-0.7843	0.217937
20	-0.171973	-1.3432	0.092099
21	-0.196232	-1.5326	0.06527
22	-0.177546	-1.3867	0.085294
23	-0.142414	-1.1123	0.13519
24	-0.138169	-1.0791	0.142388
25	-0.224691	-1.7549	0.04215
26	-0.330434	-2.5808	0.00614
27	-0.394775	-3.0833	0.001536
28	-0.40219	-3.1412	0.001298
29	-0.373776	-2.9193	0.002454
30	-0.35366	-2.7622	0.003789
31	-0.355186	-2.7741	0.003668
32	-0.370916	-2.8969	0.002613
33	-0.354578	-2.7693	0.003715
34	-0.315843	-2.4668	0.008228
35	-0.263904	-2.0612	0.021779
36	-0.230072	-1.7969	0.038649

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.898698	7.0191	0
2	-0.338532	-2.644	0.0052
3	0.192591	1.5042	0.068847
4	0.150097	1.1723	0.122818
5	0.147355	1.1509	0.127137
6	-0.107587	-0.8403	0.202017
7	-0.070738	-0.5525	0.291319
8	-0.01157	-0.0904	0.464145
9	0.242536	1.8943	0.031467
10	0.089047	0.6955	0.244698
11	0.102236	0.7985	0.213843
12	-0.224571	-1.754	0.04223
13	-0.589454	-4.6038	1.1e-05
14	0.184439	1.4405	0.077418
15	-0.083232	-0.6501	0.259045
16	-0.013301	-0.1039	0.4588
17	-0.149357	-1.1665	0.123973
18	-0.019213	-0.1501	0.440606
19	0.059413	0.464	0.322138
20	-0.013891	-0.1085	0.456979
21	0.052728	0.4118	0.340959
22	-0.139016	-1.0857	0.140931
23	-0.042436	-0.3314	0.370724
24	0.133133	1.0398	0.151267
25	-0.018319	-0.1431	0.443351
26	-0.126524	-0.9882	0.163483
27	0.061691	0.4818	0.315828
28	-0.031553	-0.2464	0.403086
29	0.134251	1.0485	0.149264
30	-0.064724	-0.5055	0.30751
31	0.034523	0.2696	0.394177
32	-0.010921	-0.0853	0.466154
33	-0.06792	-0.5305	0.298856
34	0.006136	0.0479	0.480967
35	0.054074	0.4223	0.337133
36	-0.020545	-0.1605	0.436524

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592606234jfobe5l8h72yk2/13rdt1259260556.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592606234jfobe5l8h72yk2/13rdt1259260556.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592606234jfobe5l8h72yk2/22yz21259260556.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592606234jfobe5l8h72yk2/22yz21259260556.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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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