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Partial omzet product Xc

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 16 Aug 2010 12:20:27 +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/16/t1281961203lgil1qly6bxkuxq.htm/, Retrieved Mon, 16 Aug 2010 14:20:05 +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/16/t1281961203lgil1qly6bxkuxq.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 «

56 55 54 52 72 71 56 46 47 47 48 50 44 38 33 33 52 54 39 22 31 31 38 42 41 31 36 34 51 47 31 19 30 33 36 40 32 25 28 29 55 55 40 38 44 41 49 59 61 47 43 39 66 68 63 68 67 59 68 78 82 70 62 68 94 102 100 104 103 93 110 114 120 102 95 103 122 139 135 135 137 130 148 148 145 128 131 133 146 163 151 157 152 149 172 167 160 150 160 165 171 179 171 176 170 169 194 196 188 174 186 191 197 206 197 204 201 190 213 213

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	0.966424	10.5866	0
2	0.931699	10.2062	0
3	0.911869	9.989	0
4	0.897347	9.8299	0
5	0.887663	9.7239	0
6	0.873815	9.5722	0
7	0.846547	9.2735	0
8	0.815141	8.9294	0
9	0.787656	8.6283	0
10	0.770905	8.4448	0
11	0.765657	8.3874	0
12	0.754233	8.2622	0
13	0.715831	7.8415	0
14	0.676752	7.4134	0
15	0.651246	7.134	0
16	0.632169	6.9251	0
17	0.616269	6.7509	0
18	0.597784	6.5484	0
19	0.566937	6.2105	0
20	0.531614	5.8235	0
21	0.500935	5.4875	0
22	0.480792	5.2668	0
23	0.469303	5.141	1e-06
24	0.452536	4.9573	1e-06
25	0.415293	4.5493	6e-06
26	0.376303	4.1222	3.5e-05
27	0.349465	3.8282	0.000103
28	0.325352	3.5641	0.000263
29	0.305173	3.343	0.000553
30	0.284875	3.1206	0.00113
31	0.250746	2.7468	0.003473
32	0.215117	2.3565	0.010034
33	0.185283	2.0297	0.022301
34	0.165611	1.8142	0.036075
35	0.151973	1.6648	0.049283
36	0.13113	1.4365	0.076738
37	0.095589	1.0471	0.148573
38	0.059584	0.6527	0.257595
39	0.031905	0.3495	0.363664
40	0.003846	0.0421	0.483232
41	-0.016687	-0.1828	0.427634
42	-0.035954	-0.3939	0.347194
43	-0.066453	-0.728	0.234029
44	-0.098188	-1.0756	0.142134
45	-0.123805	-1.3562	0.088789
46	-0.138466	-1.5168	0.065971
47	-0.149983	-1.643	0.051502
48	-0.167144	-1.831	0.034793

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.966424	10.5866	0
2	-0.034488	-0.3778	0.353125
3	0.208196	2.2807	0.012166
4	0.063558	0.6962	0.243811
5	0.11748	1.2869	0.100298
6	-0.038007	-0.4163	0.33895
7	-0.169558	-1.8574	0.032851
8	-0.089874	-0.9845	0.163421
9	-0.040388	-0.4424	0.329489
10	0.095953	1.0511	0.147661
11	0.158493	1.7362	0.042547
12	-0.025036	-0.2743	0.392179
13	-0.334767	-3.6672	0.000183
14	-0.030874	-0.3382	0.367901
15	0.06436	0.705	0.241081
16	0.020046	0.2196	0.413282
17	-0.002837	-0.0311	0.487629
18	0.008192	0.0897	0.464321
19	-0.062086	-0.6801	0.24887
20	-0.037076	-0.4061	0.342679
21	-0.031701	-0.3473	0.364501
22	0.010543	0.1155	0.454123
23	0.031157	0.3413	0.366736
24	0.015981	0.1751	0.430663
25	-0.133496	-1.4624	0.073127
26	-0.048908	-0.5358	0.296557
27	0.018745	0.2053	0.418825
28	-0.074139	-0.8121	0.209158
29	0.005124	0.0561	0.477666
30	0.017195	0.1884	0.425457
31	-0.078933	-0.8647	0.194474
32	0.027594	0.3023	0.381484
33	-0.01848	-0.2024	0.419957
34	0.027217	0.2982	0.383051
35	-0.022071	-0.2418	0.404685
36	-0.042698	-0.4677	0.320411
37	-0.054431	-0.5963	0.276063
38	-0.03214	-0.3521	0.362699
39	-0.03004	-0.3291	0.371337
40	-0.123065	-1.3481	0.090081
41	0.051077	0.5595	0.288427
42	0.020083	0.22	0.413123
43	-0.002323	-0.0254	0.48987
44	0.005988	0.0656	0.473903
45	-0.01566	-0.1715	0.432042
46	0.05817	0.6372	0.262596
47	-0.040502	-0.4437	0.329039
48	-0.009876	-0.1082	0.457015

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/16/t1281961203lgil1qly6bxkuxq/1fyff1281961226.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/16/t1281961203lgil1qly6bxkuxq/1fyff1281961226.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/16/t1281961203lgil1qly6bxkuxq/2p7f01281961226.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/16/t1281961203lgil1qly6bxkuxq/2p7f01281961226.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

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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