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Ws8 link 2 method 1 verbetering

*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, 29 Nov 2009 14:05:48 -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/29/t12595289096trqx5hwpzcyz1i.htm/, Retrieved Sun, 29 Nov 2009 22:08:31 +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/29/t12595289096trqx5hwpzcyz1i.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:

Ws8 link 2 method 1 verbetering

Dataseries X:

» Textbox « » Textfile « » CSV «

5.7 6.1 6 5.9 5.8 5.7 5.6 5.4 5.4 5.5 5.6 5.7 5.9 6.1 6 5.8 5.8 5.7 5.5 5.3 5.2 5.2 5 5.1 5.1 5.2 4.9 4.8 4.5 4.5 4.4 4.4 4.2 4.1 3.9 3.8 3.9 4.2 4.1 3.8 3.6 3.7 3.5 3.4 3.1 3.1 3.1 3.2 3.3 3.5 3.6 3.5 3.3 3.2 3.1 3.2 3 3 3.1 3.4

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	0.877515	6.0796	0
2	0.776622	5.3806	1e-06
3	0.683252	4.7337	1e-05
4	0.6059	4.1978	5.8e-05
5	0.492441	3.4117	0.000659
6	0.392965	2.7225	0.004502
7	0.31278	2.167	0.017614
8	0.201622	1.3969	0.084437
9	0.093739	0.6494	0.259574
10	-0.012817	-0.0888	0.464805
11	-0.09132	-0.6327	0.264971
12	-0.192212	-1.3317	0.094626
13	-0.252574	-1.7499	0.043265
14	-0.297802	-2.0632	0.022261
15	-0.318252	-2.2049	0.016142
16	-0.338702	-2.3466	0.01156
17	-0.323931	-2.2443	0.014731
18	-0.329513	-2.2829	0.013452
19	-0.35545	-2.4626	0.008716
20	-0.385723	-2.6724	0.005129
21	-0.404137	-2.7999	0.003671
22	-0.441755	-3.0606	0.001806
23	-0.456895	-3.1655	0.001344
24	-0.419646	-2.9074	0.002751
25	-0.372839	-2.5831	0.006447
26	-0.353997	-2.4526	0.008935
27	-0.33958	-2.3527	0.011393
28	-0.310206	-2.1492	0.018346
29	-0.292692	-2.0278	0.024074
30	-0.264469	-1.8323	0.036558
31	-0.210583	-1.459	0.075545
32	-0.136342	-0.9446	0.174795
33	-0.069712	-0.483	0.315652
34	0.014971	0.1037	0.458912
35	0.076999	0.5335	0.298088
36	0.118584	0.8216	0.207691

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.877515	6.0796	0
2	0.028657	0.1985	0.421729
3	-0.016811	-0.1165	0.453884
4	0.019834	0.1374	0.44564
5	-0.193805	-1.3427	0.092839
6	-0.031343	-0.2172	0.414505
7	0.017375	0.1204	0.452343
8	-0.206449	-1.4303	0.079551
9	-0.064181	-0.4447	0.329282
10	-0.098323	-0.6812	0.249508
11	-0.016158	-0.1119	0.455666
12	-0.135941	-0.9418	0.175498
13	0.05985	0.4147	0.340122
14	-0.003973	-0.0275	0.489077
15	0.037368	0.2589	0.398413
16	0.0048	0.0333	0.486805
17	0.093379	0.6469	0.260374
18	-0.142051	-0.9842	0.164986
19	-0.138365	-0.9586	0.171277
20	-0.143163	-0.9919	0.16312
21	-0.105484	-0.7308	0.234223
22	-0.232634	-1.6117	0.056788
23	0.01788	0.1239	0.450964
24	0.121325	0.8406	0.202381
25	0.085571	0.5928	0.278032
26	-0.057862	-0.4009	0.345145
27	0.010123	0.0701	0.472188
28	-0.066204	-0.4587	0.32427
29	-0.057846	-0.4008	0.345184
30	-0.004461	-0.0309	0.487737
31	0.048467	0.3358	0.369245
32	-0.015587	-0.108	0.457226
33	0.038093	0.2639	0.396487
34	0.072737	0.5039	0.308306
35	-0.116059	-0.8041	0.212657
36	-0.105503	-0.7309	0.234184

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/29/t12595289096trqx5hwpzcyz1i/1w3yq1259528747.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/29/t12595289096trqx5hwpzcyz1i/1w3yq1259528747.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/29/t12595289096trqx5hwpzcyz1i/2j7jj1259528747.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/29/t12595289096trqx5hwpzcyz1i/2j7jj1259528747.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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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