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Partial gedif. 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: Mon, 16 Aug 2010 13:23:29 +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/t1281964987tq3sh7o7657gnkg.htm/, Retrieved Mon, 16 Aug 2010 15:23:09 +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/t1281964987tq3sh7o7657gnkg.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	0.066248	0.6035	0.273894
2	0.278646	2.5386	0.006499
3	-0.153464	-1.3981	0.082901
4	-0.030119	-0.2744	0.392232
5	-0.425371	-3.8753	0.000106
6	-0.217016	-1.9771	0.025674
7	-0.431284	-3.9292	8.8e-05
8	-0.040974	-0.3733	0.354943
9	-0.215315	-1.9616	0.02658
10	0.259263	2.362	0.010259
11	0.027644	0.2518	0.400891
12	0.733667	6.684	0
13	0.1187	1.0814	0.141325
14	0.195028	1.7768	0.039633
15	-0.044427	-0.4047	0.343352
16	-0.010527	-0.0959	0.461913
17	-0.325029	-2.9612	0.001998
18	-0.172992	-1.576	0.059411
19	-0.35044	-3.1927	0.000996
20	-0.067918	-0.6188	0.268885
21	-0.217169	-1.9785	0.025594
22	0.127852	1.1648	0.123721
23	0.002274	0.0207	0.491762
24	0.523238	4.7669	4e-06
25	0.124102	1.1306	0.130735
26	0.166786	1.5195	0.066219
27	0.047439	0.4322	0.333362
28	0.035415	0.3226	0.373886
29	-0.242177	-2.2063	0.015062
30	-0.152063	-1.3854	0.084827
31	-0.264754	-2.412	0.009035
32	-0.094241	-0.8586	0.196523
33	-0.187697	-1.71	0.045501
34	0.10247	0.9335	0.176624
35	-0.034833	-0.3173	0.37589
36	0.35488	3.2331	0.000879
37	0.100368	0.9144	0.18158
38	0.154472	1.4073	0.081535
39	0.0821	0.748	0.228298
40	0.044634	0.4066	0.34266
41	-0.159662	-1.4546	0.074777
42	-0.133249	-1.214	0.114104
43	-0.192519	-1.7539	0.041566
44	-0.052951	-0.4824	0.315392
45	-0.168364	-1.5339	0.064432
46	0.079672	0.7258	0.234987
47	-0.031206	-0.2843	0.388446
48	0.208809	1.9023	0.030297

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.066248	0.6035	0.273894
2	0.275466	2.5096	0.007015
3	-0.201169	-1.8327	0.035214
4	-0.091036	-0.8294	0.204634
5	-0.360482	-3.2841	0.000749
6	-0.208741	-1.9017	0.030338
7	-0.318279	-2.8997	0.00239
8	-0.089421	-0.8147	0.208798
9	-0.256392	-2.3358	0.010956
10	-0.002266	-0.0206	0.491788
11	-0.184491	-1.6808	0.048282
12	0.553474	5.0424	1e-06
13	0.037543	0.342	0.366595
14	-0.257536	-2.3463	0.010673
15	0.089888	0.8189	0.207589
16	-0.014221	-0.1296	0.448612
17	0.065001	0.5922	0.277666
18	0.027296	0.2487	0.402111
19	0.057578	0.5246	0.300645
20	-0.054191	-0.4937	0.31141
21	-0.021972	-0.2002	0.420916
22	-0.160606	-1.4632	0.073596
23	-0.081307	-0.7407	0.230469
24	0.081939	0.7465	0.228737
25	-0.10896	-0.9927	0.161878
26	0.012553	0.1144	0.454612
27	0.021378	0.1948	0.423026
28	-0.05017	-0.4571	0.324408
29	-0.076662	-0.6984	0.243433
30	-0.106119	-0.9668	0.168229
31	0.007752	0.0706	0.471933
32	-0.015887	-0.1447	0.442633
33	0.035828	0.3264	0.372469
34	0.115682	1.0539	0.147491
35	-0.085488	-0.7788	0.219146
36	-0.127627	-1.1627	0.124135
37	-0.080823	-0.7363	0.231803
38	0.048258	0.4397	0.330666
39	-0.008503	-0.0775	0.469219
40	-0.048154	-0.4387	0.331009
41	0.026564	0.242	0.404686
42	-0.086422	-0.7873	0.216663
43	-0.044097	-0.4017	0.344452
44	0.010323	0.094	0.462648
45	-0.025741	-0.2345	0.407584
46	-0.030898	-0.2815	0.389515
47	0.045932	0.4185	0.338346
48	-0.064791	-0.5903	0.278304

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/16/t1281964987tq3sh7o7657gnkg/1gu1e1281965008.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/16/t1281964987tq3sh7o7657gnkg/1gu1e1281965008.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/16/t1281964987tq3sh7o7657gnkg/2gu1e1281965008.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/16/t1281964987tq3sh7o7657gnkg/2gu1e1281965008.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')

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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