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Partial omzet product Y

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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 15:56:49 +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/t12818877836f82qgwgrjizje9.htm/, Retrieved Sun, 15 Aug 2010 17:56:26 +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/t12818877836f82qgwgrjizje9.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:

Dataseries X:

» Textbox « » Textfile « » CSV «

118 117 116 114 112 111 112 114 115 115 116 118 126 131 122 124 119 112 109 108 117 122 127 124 129 141 127 133 114 98 93 101 111 128 126 134 140 158 144 146 138 119 113 120 127 141 144 150 156 174 163 167 160 141 132 144 155 164 162 181 187 209 189 201 193 177 159 158 155 164 163 185 191 217 193 192 184 166 145 146 138 149 145 166

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.91661	8.4009	0
2	0.830065	7.6077	0
3	0.699872	6.4144	0
4	0.595486	5.4577	0
5	0.491762	4.5071	1.1e-05
6	0.451203	4.1353	4.2e-05
7	0.435567	3.992	7e-05
8	0.478105	4.3819	1.7e-05
9	0.523626	4.7991	3e-06
10	0.600223	5.5011	0
11	0.629177	5.7665	0
12	0.663137	6.0778	0
13	0.592016	5.4259	0
14	0.512342	4.6957	5e-06
15	0.399513	3.6616	0.000219
16	0.296846	2.7206	0.003959
17	0.192475	1.7641	0.040679
18	0.133245	1.2212	0.112712
19	0.091784	0.8412	0.201308
20	0.095854	0.8785	0.191085
21	0.109709	1.0055	0.158772
22	0.161309	1.4784	0.071517
23	0.187835	1.7215	0.044418
24	0.219968	2.016	0.023496
25	0.177344	1.6254	0.053914
26	0.126884	1.1629	0.124079
27	0.045306	0.4152	0.339515
28	-0.038355	-0.3515	0.363037
29	-0.130743	-1.1983	0.11709
30	-0.189024	-1.7324	0.043433
31	-0.230127	-2.1092	0.018954
32	-0.236112	-2.164	0.016652
33	-0.227489	-2.085	0.020054
34	-0.183749	-1.6841	0.047938
35	-0.160457	-1.4706	0.072567
36	-0.123134	-1.1285	0.131153
37	-0.134774	-1.2352	0.110095
38	-0.152836	-1.4008	0.082485
39	-0.198146	-1.816	0.036466
40	-0.250122	-2.2924	0.012191
41	-0.309259	-2.8344	0.002874
42	-0.349159	-3.2001	0.00097
43	-0.373701	-3.425	0.000477
44	-0.373978	-3.4276	0.000473
45	-0.36699	-3.3635	0.000581
46	-0.329344	-3.0185	0.001681
47	-0.307744	-2.8205	0.00299
48	-0.273166	-2.5036	0.007114

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.91661	8.4009	0
2	-0.063254	-0.5797	0.281823
3	-0.32114	-2.9433	0.002099
4	0.102869	0.9428	0.174242
5	0.005628	0.0516	0.479491
6	0.28005	2.5667	0.00602
7	0.136042	1.2468	0.10796
8	0.219809	2.0146	0.023574
9	0.05158	0.4727	0.318812
10	0.172676	1.5826	0.058635
11	-0.137894	-1.2638	0.104896
12	0.11852	1.0863	0.140238
13	-0.487813	-4.4709	1.2e-05
14	-0.043316	-0.397	0.346187
15	0.070568	0.6468	0.259773
16	-0.144426	-1.3237	0.094599
17	-0.008898	-0.0816	0.467599
18	-0.106354	-0.9748	0.166241
19	-0.072122	-0.661	0.255208
20	-0.065934	-0.6043	0.273638
21	0.029607	0.2713	0.393394
22	0.040419	0.3704	0.355991
23	0.098424	0.9021	0.1848
24	-0.02915	-0.2672	0.395
25	-0.154993	-1.4205	0.079577
26	0.076788	0.7038	0.24176
27	-0.041442	-0.3798	0.352517
28	-0.029873	-0.2738	0.392457
29	-0.019104	-0.1751	0.430714
30	-0.013797	-0.1265	0.449837
31	0.034176	0.3132	0.377443
32	-0.072022	-0.6601	0.2555
33	-0.010697	-0.098	0.461068
34	-0.027067	-0.2481	0.402341
35	-0.078025	-0.7151	0.238262
36	0.058842	0.5393	0.295556
37	0.027687	0.2538	0.400152
38	-0.002443	-0.0224	0.491094
39	-0.013806	-0.1265	0.449807
40	-0.028426	-0.2605	0.397545
41	0.030414	0.2787	0.390562
42	-0.012342	-0.1131	0.455106
43	0.044322	0.4062	0.342807
44	-0.015825	-0.145	0.442514
45	-0.061483	-0.5635	0.287297
46	-0.04228	-0.3875	0.349681
47	-0.03661	-0.3355	0.369029
48	-0.020959	-0.1921	0.424068

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/15/t12818877836f82qgwgrjizje9/1gmy91281887808.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/15/t12818877836f82qgwgrjizje9/1gmy91281887808.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/15/t12818877836f82qgwgrjizje9/2gmy91281887808.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/15/t12818877836f82qgwgrjizje9/2gmy91281887808.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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