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D=2 gebruiken

*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: Fri, 27 Nov 2009 13:56:47 -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/Nov/27/t1259355492ot6gzamyuv17dcz.htm/, Retrieved Fri, 27 Nov 2009 21:58:15 +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/27/t1259355492ot6gzamyuv17dcz.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 «

10.9 10 9.2 9.2 9.5 9.6 9.5 9.1 8.9 9 10.1 10.3 10.2 9.6 9.2 9.3 9.4 9.4 9.2 9 9 9 9.8 10 9.8 9.3 9 9 9.1 9.1 9.1 9.2 8.8 8.3 8.4 8.1 7.7 7.9 7.9 8 7.9 7.6 7.1 6.8 6.5 6.9 8.2 8.7 8.3 7.9 7.5 7.8 8.3 8.4 8.2 7.7 7.2 7.3 8.1 8.5

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	0.354496	2.0671	0.023205
2	-0.125993	-0.7347	0.233793
3	-0.477953	-2.7869	0.004322
4	-0.495184	-2.8874	0.003354
5	-0.303242	-1.7682	0.043001
6	0.09853	0.5745	0.284697
7	0.335044	1.9536	0.029507
8	0.408005	2.3791	0.011557
9	0.30392	1.7721	0.042667
10	-0.097777	-0.5701	0.286169
11	-0.230091	-1.3417	0.094301
12	-0.410802	-2.3954	0.011128
13	-0.16815	-0.9805	0.166889
14	0.040476	0.236	0.407419
15	0.210181	1.2256	0.114394
16	0.139536	0.8136	0.210759
17	0.164199	0.9574	0.172554
18	5e-05	3e-04	0.499884
19	-0.131875	-0.769	0.223614
20	-0.128622	-0.75	0.229211
21	-0.134478	-0.7841	0.219195
22	0.042753	0.2493	0.402319
23	0.090602	0.5283	0.300362
24	0.04524	0.2638	0.396767
25	0.036899	0.2152	0.415465
26	0.04875	0.2843	0.388968
27	-0.070412	-0.4106	0.341982
28	-0.038443	-0.2242	0.411988
29	-0.013464	-0.0785	0.468942
30	-0.027723	-0.1617	0.436268
31	0.029577	0.1725	0.432049
32	0.011347	0.0662	0.473817
33	-0.005396	-0.0315	0.487541
34	NA	NA	NA
35	NA	NA	NA
36	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.354496	2.0671	0.023205
2	-0.287832	-1.6783	0.051226
3	-0.397057	-2.3152	0.013384
4	-0.30242	-1.7634	0.04341
5	-0.308526	-1.799	0.04045
6	-0.102352	-0.5968	0.277294
7	-0.107188	-0.625	0.26807
8	0.021208	0.1237	0.451154
9	0.175324	1.0223	0.156927
10	-0.084876	-0.4949	0.311924
11	0.213499	1.2449	0.11084
12	-0.148754	-0.8674	0.195909
13	0.152358	0.8884	0.190286
14	-0.011514	-0.0671	0.473434
15	-0.098062	-0.5718	0.28561
16	-0.176271	-1.0278	0.155643
17	-0.033583	-0.1958	0.422958
18	-0.103653	-0.6044	0.274797
19	-0.10166	-0.5928	0.278627
20	-0.026759	-0.156	0.438466
21	-0.045701	-0.2665	0.39574
22	0.081263	0.4738	0.31932
23	0.065763	0.3835	0.351883
24	-0.12057	-0.703	0.243409
25	0.157507	0.9184	0.182436
26	-0.020166	-0.1176	0.453543
27	-0.033461	-0.1951	0.423235
28	-0.055545	-0.3239	0.374007
29	-1.8e-05	-1e-04	0.499959
30	-0.071881	-0.4191	0.338878
31	-0.055644	-0.3245	0.37379
32	-0.065553	-0.3822	0.352332
33	-0.042477	-0.2477	0.402936
34	NA	NA	NA
35	NA	NA	NA
36	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259355492ot6gzamyuv17dcz/128e01259355405.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259355492ot6gzamyuv17dcz/128e01259355405.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259355492ot6gzamyuv17dcz/2hzmm1259355405.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259355492ot6gzamyuv17dcz/2hzmm1259355405.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 2 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 2 ; 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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