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Omzet product X

*Unverified author*
R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Thu, 05 Aug 2010 12:34:34 +0000
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Aug/05/t1281011662vqgt42hw184h411.htm/, Retrieved Thu, 05 Aug 2010 14:34:24 +0200
 
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/2010/Aug/05/t1281011662vqgt42hw184h411.htm/},
    year = {2010},
}
@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 = {2010},
    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:
Philippe De Vocht
 
Dataseries X:
» Textbox « » Textfile « » CSV «
73 72 71 69 89 88 73 63 64 64 65 67 69 71 70 72 88 83 76 70 75 71 75 81 87 90 80 85 105 104 98 94 107 112 121 118 120 122 109 112 132 127 116 113 123 125 137 127 123 128 114 120 143 135 119 117 132 139 158 141 139 150 142 149 166 150 139 140 158 169 186 177 175 187 176 185 204 188 171 171 182 185 200 192 185 195 190 195 213 194 171 171 186 182 193 185 172 185 179 182 193 173 155 164 188 186 200 185 173 190 190 193 195 178 163 165 188 182 200 177
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time3 seconds
R Server'George Udny Yule' @ 72.249.76.132


Autocorrelation Function
Time lag kACF(k)T-STATP-value
1-0.061866-0.67490.25053
2-0.353422-3.85549.4e-05
3-0.099548-1.08590.13985
4-0.14071-1.5350.063723
50.0545110.59460.276604
60.3801354.14683.2e-05
70.0220850.24090.405015
8-0.221843-2.420.008516
9-0.033927-0.37010.355984
10-0.315145-3.43780.000404
11-0.002123-0.02320.49078
120.8184598.92830
13-0.106928-1.16650.122882
14-0.38215-4.16882.9e-05
15-0.081361-0.88750.188287
16-0.044837-0.48910.31283
170.0550050.60.274811
180.321283.50480.000323
19-0.020741-0.22630.410694
20-0.23423-2.55510.005937
21-0.021432-0.23380.407775
22-0.229137-2.49960.006898
230.0224570.2450.403447
240.6618487.21990
25-0.128162-1.39810.082344
26-0.391688-4.27282e-05
27-0.074606-0.81390.208676
280.0438620.47850.316592
290.0752960.82140.206536
300.2712322.95880.001864
31-0.04961-0.54120.294695
32-0.236387-2.57870.005568
33-0.019374-0.21130.41649
34-0.12495-1.3630.08772
350.0387460.42270.336652
360.5454595.95030
37-0.127256-1.38820.083836
38-0.356464-3.88868.3e-05
39-0.04837-0.52770.299359
400.0806680.880.190322
410.0774120.84450.200052
420.2154912.35070.010191
43-0.053169-0.580.281505
44-0.219586-2.39540.009081
45-0.013514-0.14740.441525
46-0.073343-0.80010.212629
470.0554730.60510.273119
480.440074.80062e-06


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.061866-0.67490.25053
2-0.358622-3.91217.6e-05
3-0.17446-1.90310.029719
4-0.354105-3.86289.1e-05
5-0.172591-1.88270.031088
60.1938542.11470.018271
70.0624760.68150.24843
80.0037410.04080.483758
90.0816170.89030.187542
10-0.386883-4.22042.4e-05
11-0.250194-2.72930.003655
120.6929447.55910
13-0.084214-0.91870.180064
14-0.060218-0.65690.256258
150.0849470.92670.177989
160.0602210.65690.256246
17-0.051834-0.56540.28642
18-0.150298-1.63960.051869
190.0072540.07910.468529
200.0595420.64950.258625
21-0.195721-2.13510.017403
220.0787260.85880.19609
23-0.031365-0.34220.36642
24-0.054857-0.59840.275348
25-0.006587-0.07190.47142
26-0.057185-0.62380.266971
27-0.080691-0.88020.190254
28-0.004887-0.05330.478785
290.0320070.34910.363797
300.0565730.61710.269163
31-0.04527-0.49380.311165
320.0364850.3980.34567
33-0.019465-0.21230.416102
340.0539690.58870.278577
35-0.035939-0.3920.347863
360.046690.50930.305732
370.050780.55390.290327
380.1003591.09480.13791
390.0711320.7760.219657
40-0.084301-0.91960.179816
410.0012450.01360.494594
420.0439260.47920.316347
43-0.03571-0.38950.348784
440.0287450.31360.3772
45-0.030932-0.33740.368193
46-0.026861-0.2930.38501
470.0538280.58720.279094
48-0.031846-0.34740.364451
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Aug/05/t1281011662vqgt42hw184h411/1asof1281011670.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Aug/05/t1281011662vqgt42hw184h411/1asof1281011670.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Aug/05/t1281011662vqgt42hw184h411/2k1nj1281011670.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Aug/05/t1281011662vqgt42hw184h411/2k1nj1281011670.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; 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')
 




Copyright

Creative Commons License

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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