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biefstuk 3

*The author of this computation has been verified*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 14 Dec 2010 15:31:38 +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/Dec/14/t129234062367trjl7lunbkrz4.htm/, Retrieved Tue, 14 Dec 2010 16:30:25 +0100

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/Dec/14/t129234062367trjl7lunbkrz4.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 «

10,92 10,98 11,15 11,19 11,33 11,38 11,4 11,45 11,56 11,61 11,82 11,77 11,85 11,82 11,92 11,86 11,87 11,94 11,86 11,92 11,83 11,91 11,93 11,99 11,96 12,12 11,85 12,01 12,1 12,21 12,31 12,31 12,39 12,35 12,41 12,51 12,27 12,51 12,44 12,47 12,51 12,58 12,5 12,52 12,59 12,51 12,67 12,64 12,54 12,66 12,67 12,62 12,72 12,85 12,85 12,82

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.908476	6.7984	0
2	0.833514	6.2374	0
3	0.761755	5.7005	0
4	0.694441	5.1967	1e-06
5	0.642334	4.8068	6e-06
6	0.589474	4.4112	2.4e-05
7	0.531104	3.9744	0.000102
8	0.477807	3.5756	0.000364
9	0.428631	3.2076	0.001107
10	0.376942	2.8208	0.003308
11	0.348478	2.6078	0.00583
12	0.316037	2.365	0.01076
13	0.285486	2.1364	0.018516
14	0.252979	1.8931	0.031757
15	0.226712	1.6966	0.047666
16	0.193141	1.4453	0.076968
17	0.161116	1.2057	0.116505
18	0.137451	1.0286	0.154048
19	0.098789	0.7393	0.231417
20	0.07382	0.5524	0.291429
21	0.026431	0.1978	0.421961
22	-0.014929	-0.1117	0.455724
23	-0.053342	-0.3992	0.345642
24	-0.09309	-0.6966	0.244461
25	-0.131652	-0.9852	0.164384
26	-0.166586	-1.2466	0.108863
27	-0.215749	-1.6145	0.056018
28	-0.252465	-1.8893	0.032018
29	-0.277322	-2.0753	0.021283
30	-0.286802	-2.1462	0.018101
31	-0.305573	-2.2867	0.013008
32	-0.31659	-2.3691	0.010651
33	-0.322929	-2.4166	0.009475
34	-0.332482	-2.4881	0.007923
35	-0.333726	-2.4974	0.007739
36	-0.323453	-2.4205	0.009384

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.908476	6.7984	0
2	0.046859	0.3507	0.363579
3	-0.01469	-0.1099	0.45643
4	-0.011517	-0.0862	0.465812
5	0.052428	0.3923	0.348149
6	-0.020975	-0.157	0.437919
7	-0.060752	-0.4546	0.325567
8	-0.009047	-0.0677	0.473132
9	-0.00162	-0.0121	0.495184
10	-0.044963	-0.3365	0.368886
11	0.092165	0.6897	0.246615
12	-0.021735	-0.1626	0.43569
13	-0.00915	-0.0685	0.472825
14	-0.032691	-0.2446	0.403815
15	0.026562	0.1988	0.421581
16	-0.059953	-0.4487	0.327707
17	-0.030128	-0.2255	0.411222
18	0.025748	0.1927	0.423953
19	-0.095365	-0.7137	0.239204
20	0.027413	0.2051	0.419104
21	-0.135889	-1.0169	0.156788
22	-0.015417	-0.1154	0.454283
23	-0.030931	-0.2315	0.408898
24	-0.048169	-0.3605	0.359928
25	-0.036522	-0.2733	0.392813
26	-0.034496	-0.2581	0.39862
27	-0.118522	-0.8869	0.189452
28	0.012242	0.0916	0.463666
29	0.006243	0.0467	0.481451
30	0.077871	0.5827	0.281205
31	-0.115314	-0.8629	0.195928
32	0.032696	0.2447	0.403801
33	0.002635	0.0197	0.492169
34	-0.02806	-0.21	0.417221
35	-0.004986	-0.0373	0.485184
36	0.065745	0.492	0.312324

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/14/t129234062367trjl7lunbkrz4/170b61292340695.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t129234062367trjl7lunbkrz4/170b61292340695.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t129234062367trjl7lunbkrz4/270b61292340695.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t129234062367trjl7lunbkrz4/270b61292340695.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; 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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