Home » date » 2010 » Aug » 17 »

aantal bezoekers

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 17 Aug 2010 12:16:20 +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/17/t12820473540y3zbo7f4uz4fsl.htm/, Retrieved Tue, 17 Aug 2010 14:16:00 +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/17/t12820473540y3zbo7f4uz4fsl.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:

Trouillard Olivier

Dataseries X:

» Textbox « » Textfile « » CSV «

80 79 78 76 74 73 74 76 77 77 78 80 90 90 89 82 78 76 74 78 81 82 88 99 117 113 106 100 97 96 100 104 104 111 117 118 140 147 134 126 116 114 120 122 117 119 132 134 154 152 132 130 123 129 124 128 128 129 141 138 155 160 142 133 131 140 134 134 134 136 145 137 152 168 160 157 147 161 159 164 163 158 175 163

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	0.040179	0.366	0.357632
2	-0.076079	-0.6931	0.245087
3	-0.123698	-1.1269	0.131507
4	-0.225818	-2.0573	0.021398
5	0.079799	0.727	0.234634
6	-0.22433	-2.0437	0.022075
7	-0.016555	-0.1508	0.44024
8	-0.27753	-2.5284	0.006676
9	-0.002232	-0.0203	0.491912
10	0.021391	0.1949	0.42298
11	-0.050595	-0.4609	0.323022
12	0.68936	6.2804	0
13	0.161458	1.471	0.072542
14	-0.053385	-0.4864	0.313995
15	-0.123512	-1.1252	0.131864
16	-0.221726	-2.02	0.023303
17	0.043341	0.3949	0.346982
18	-0.134115	-1.2218	0.112613
19	-0.022321	-0.2034	0.419677
20	-0.272321	-2.481	0.007561
21	-0.061198	-0.5575	0.28933
22	0.120722	1.0998	0.137294
23	-0.036086	-0.3288	0.371582
24	0.496094	4.5196	1e-05
25	0.130208	1.1863	0.119453
26	-0.083519	-0.7609	0.224437
27	-0.082589	-0.7524	0.226962
28	-0.156994	-1.4303	0.078195
29	0.030878	0.2813	0.389586
30	-0.125372	-1.1422	0.128329
31	0.015811	0.144	0.442907
32	-0.189918	-1.7302	0.043652
33	-0.073475	-0.6694	0.252553
34	0.106213	0.9676	0.168017
35	-0.014137	-0.1288	0.448916
36	0.313058	2.8521	0.00274
37	0.13058	1.1896	0.118789
38	-0.104539	-0.9524	0.171832
39	-0.072917	-0.6643	0.254169
40	-0.059524	-0.5423	0.294537
41	0.052269	0.4762	0.317593
42	-0.062686	-0.5711	0.284739
43	-0.034412	-0.3135	0.37734
44	-0.085379	-0.7778	0.219436
45	-0.018973	-0.1729	0.431593
46	0.096168	0.8761	0.191743
47	-0.052083	-0.4745	0.318194
48	0.114397	1.0422	0.15017

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.040179	0.366	0.357632
2	-0.077819	-0.709	0.240167
3	-0.118182	-1.0767	0.142369
4	-0.227273	-2.0706	0.020754
5	0.076653	0.6983	0.243457
6	-0.301102	-2.7432	0.003727
7	-0.044175	-0.4025	0.344194
8	-0.439145	-4.0008	6.8e-05
9	-0.036309	-0.3308	0.370819
10	-0.386253	-3.5189	0.000353
11	-0.230789	-2.1026	0.019266
12	0.509687	4.6435	6e-06
13	0.179798	1.638	0.052599
14	-0.093616	-0.8529	0.198089
15	0.103769	0.9454	0.173604
16	-0.039609	-0.3609	0.359563
17	-0.084219	-0.7673	0.222549
18	-0.006704	-0.0611	0.475724
19	0.046984	0.428	0.334864
20	-0.015131	-0.1379	0.445345
21	-0.125551	-1.1438	0.127992
22	-0.003814	-0.0347	0.486182
23	0.006571	0.0599	0.476205
24	0.010039	0.0915	0.463675
25	-0.163356	-1.4882	0.070239
26	-0.125084	-1.1396	0.128871
27	-0.053953	-0.4915	0.312172
28	-0.038142	-0.3475	0.364551
29	-0.092047	-0.8386	0.202055
30	-0.040029	-0.3647	0.358139
31	0.02414	0.2199	0.413234
32	0.02386	0.2174	0.414224
33	-0.034415	-0.3135	0.377329
34	-0.08477	-0.7723	0.221067
35	0.042463	0.3869	0.349926
36	-0.192589	-1.7546	0.041512
37	-0.090115	-0.821	0.207002
38	-0.113083	-1.0302	0.152945
39	0.002923	0.0266	0.489409
40	-0.033552	-0.3057	0.380308
41	-0.0029	-0.0264	0.489492
42	0.028831	0.2627	0.396729
43	-0.052414	-0.4775	0.317126
44	0.001271	0.0116	0.495396
45	0.132109	1.2036	0.116089
46	-0.022721	-0.207	0.418259
47	-0.072807	-0.6633	0.254487
48	-0.095393	-0.8691	0.193656

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/17/t12820473540y3zbo7f4uz4fsl/11sls1282047378.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/17/t12820473540y3zbo7f4uz4fsl/11sls1282047378.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/17/t12820473540y3zbo7f4uz4fsl/2u12v1282047378.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/17/t12820473540y3zbo7f4uz4fsl/2u12v1282047378.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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