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Autocorrelation omzet product A

*Unverified author*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 15 Aug 2010 12:54:02 +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/15/t12818768233a1eq7xgxh5gr7n.htm/, Retrieved Sun, 15 Aug 2010 14:53:43 +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/15/t12818768233a1eq7xgxh5gr7n.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:

Sebastien Delforge

Dataseries X:

» Textbox « » Textfile « » CSV «

75 74 73 71 91 90 75 65 66 66 67 69 75 79 75 77 100 100 94 83 83 83 84 88 89 98 94 84 111 98 98 83 79 78 80 94 98 104 94 90 115 104 114 99 96 98 104 111 117 125 117 118 151 145 155 133 124 125 131 133 136 141 130 137 177 183 191 166 156 153 164 164 168 173 164 165 205 207 215 190 169 175 188 188 196 201 194 197 237 236 244 222 195 199 207 204 212 222 214 217 258 256 251 223 198 206 214 212 227 238 228 235 275 278 278 251 225 232 238 239

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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.96042	10.5209	0
2	0.916721	10.0422	0
3	0.880868	9.6494	0
4	0.858135	9.4004	0
5	0.844679	9.253	0
6	0.823729	9.0235	0
7	0.792246	8.6786	0
8	0.759091	8.3154	0
9	0.743508	8.1447	0
10	0.73955	8.1014	0
11	0.740083	8.1072	0
12	0.739843	8.1046	0
13	0.701514	7.6847	0
14	0.66081	7.2388	0
15	0.626085	6.8584	0
16	0.605087	6.6284	0
17	0.593474	6.5012	0
18	0.573522	6.2826	0
19	0.543294	5.9515	0
20	0.510459	5.5918	0
21	0.493169	5.4024	0
22	0.485142	5.3145	0
23	0.48046	5.2632	0
24	0.475226	5.2058	0
25	0.436416	4.7807	3e-06
26	0.397164	4.3507	1.4e-05
27	0.36329	3.9796	5.9e-05
28	0.33912	3.7149	0.000155
29	0.322981	3.5381	0.000287
30	0.296813	3.2514	0.000745
31	0.264516	2.8976	0.002235
32	0.229393	2.5129	0.006651
33	0.206733	2.2646	0.012665
34	0.192598	2.1098	0.018476
35	0.182254	1.9965	0.024072
36	0.172838	1.8933	0.03036
37	0.136902	1.4997	0.068161
38	0.09995	1.0949	0.137877
39	0.067767	0.7423	0.229664
40	0.04531	0.4963	0.310281
41	0.030264	0.3315	0.370411
42	0.004204	0.046	0.481674
43	-0.024653	-0.2701	0.39379
44	-0.054178	-0.5935	0.276985
45	-0.072692	-0.7963	0.213714
46	-0.083775	-0.9177	0.180305
47	-0.091546	-1.0028	0.158979
48	-0.098288	-1.0767	0.141889

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.96042	10.5209	0
2	-0.073275	-0.8027	0.211872
3	0.081522	0.893	0.186816
4	0.140752	1.5419	0.062871
5	0.103307	1.1317	0.130014
6	-0.087014	-0.9532	0.171204
7	-0.098847	-1.0828	0.14053
8	-0.010171	-0.1114	0.455734
9	0.191378	2.0964	0.019072
10	0.084444	0.925	0.178401
11	0.062888	0.6889	0.246108
12	0.077216	0.8459	0.199656
13	-0.440903	-4.8299	2e-06
14	-0.012159	-0.1332	0.447132
15	-0.038963	-0.4268	0.33514
16	0.061625	0.6751	0.250465
17	0.089614	0.9817	0.164118
18	-0.017951	-0.1966	0.422219
19	-0.014841	-0.1626	0.435565
20	-0.020575	-0.2254	0.411031
21	0.000982	0.0108	0.49572
22	-0.019448	-0.213	0.415829
23	0.015625	0.1712	0.432192
24	0.042012	0.4602	0.323096
25	-0.231764	-2.5388	0.006201
26	0.013633	0.1493	0.440766
27	-0.034964	-0.383	0.351194
28	-0.045619	-0.4997	0.309089
29	0.032334	0.3542	0.361907
30	-0.064429	-0.7058	0.240846
31	0.054444	0.5964	0.276015
32	-0.033408	-0.366	0.357518
33	-0.065155	-0.7137	0.238388
34	-0.001538	-0.0169	0.493291
35	0.003793	0.0415	0.483464
36	0.017639	0.1932	0.423554
37	-0.093505	-1.0243	0.153879
38	-0.030324	-0.3322	0.370167
39	-0.007923	-0.0868	0.465491
40	-0.02234	-0.2447	0.403543
41	-0.006177	-0.0677	0.473082
42	-0.059357	-0.6502	0.258395
43	0.067912	0.7439	0.229184
44	0.012257	0.1343	0.446707
45	-0.05349	-0.5859	0.279505
46	0.007006	0.0767	0.469478
47	-6e-06	-1e-04	0.499975
48	-0.005971	-0.0654	0.473979

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/15/t12818768233a1eq7xgxh5gr7n/1gzug1281876839.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/15/t12818768233a1eq7xgxh5gr7n/1gzug1281876839.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/15/t12818768233a1eq7xgxh5gr7n/2gzug1281876839.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/15/t12818768233a1eq7xgxh5gr7n/2gzug1281876839.ps (open in new window)

Parameters (Session):

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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')

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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