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Autocorrelation Omzet Product X

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 11 Jul 2010 14:58:40 +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/Jul/11/t1278860373u3isspcvppl7j77.htm/, Retrieved Sun, 11 Jul 2010 16:59:36 +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/Jul/11/t1278860373u3isspcvppl7j77.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:

Febiri Lordina

Dataseries X:

» Textbox « » Textfile « » CSV «

213 212 211 209 229 228 213 203 204 204 205 207 205 208 201 201 220 218 203 185 179 182 182 185 183 192 177 172 188 182 162 150 141 135 139 148 142 156 143 134 146 142 117 106 104 99 105 106 96 104 96 85 91 98 73 70 62 60 70 82 72 73 68 53 61 73 46 50 52 45 58 73 58 49 44 35 46 61 29 33 37 31 44 57 42 34 27 22 30 47 12 13 18 11 26 41 21 24 30 34 48 64 35 44 55 53 73 94 73 78 87 87 91 104 73 84 103 111 131 155

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	0.967942	10.6033	0
2	0.940689	10.3047	0
3	0.924781	10.1305	0
4	0.901625	9.8768	0
5	0.883017	9.673	0
6	0.871656	9.5485	0
7	0.839924	9.2009	0
8	0.815824	8.9369	0
9	0.800162	8.7653	0
10	0.775955	8.5002	0
11	0.759011	8.3146	0
12	0.746008	8.1721	0
13	0.70158	7.6854	0
14	0.660881	7.2396	0
15	0.634861	6.9546	0
16	0.602491	6.6	0
17	0.572164	6.2677	0
18	0.549043	6.0145	0
19	0.508316	5.5683	0
20	0.475925	5.2135	0
21	0.454325	4.9769	1e-06
22	0.425429	4.6603	4e-06
23	0.401448	4.3976	1.2e-05
24	0.380918	4.1727	2.9e-05
25	0.33567	3.6771	0.000177
26	0.292871	3.2082	0.000856
27	0.266813	2.9228	0.002074
28	0.236276	2.5883	0.005418
29	0.206443	2.2615	0.012766
30	0.184813	2.0245	0.022568
31	0.149229	1.6347	0.052364
32	0.120206	1.3168	0.095209
33	0.10238	1.1215	0.132154
34	0.080471	0.8815	0.1899
35	0.059892	0.6561	0.256512
36	0.040456	0.4432	0.329221
37	0.003119	0.0342	0.486402
38	-0.034544	-0.3784	0.352898
39	-0.056523	-0.6192	0.268487
40	-0.081003	-0.8873	0.188333
41	-0.106178	-1.1631	0.123543
42	-0.123406	-1.3518	0.089483
43	-0.150603	-1.6498	0.050803
44	-0.173152	-1.8968	0.03013
45	-0.18631	-2.0409	0.021726
46	-0.202339	-2.2165	0.014271
47	-0.218773	-2.3965	0.009048
48	-0.232655	-2.5486	0.006039
49	-0.25853	-2.8321	0.002713
50	-0.284763	-3.1194	0.001135
51	-0.29776	-3.2618	0.000721
52	-0.311074	-3.4076	0.000446
53	-0.324723	-3.5572	0.000269
54	-0.3326	-3.6435	0.000199
55	-0.346869	-3.7998	0.000114
56	-0.360122	-3.9449	6.7e-05
57	-0.363596	-3.983	5.9e-05
58	-0.368871	-4.0408	4.7e-05
59	-0.376559	-4.125	3.4e-05
60	-0.383979	-4.2063	2.5e-05

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.967942	10.6033	0
2	0.059872	0.6559	0.256585
3	0.171997	1.8841	0.030984
4	-0.097778	-1.0711	0.143137
5	0.080733	0.8844	0.189129
6	0.084574	0.9265	0.178032
7	-0.293488	-3.215	0.000838
8	0.108729	1.1911	0.117989
9	0.021938	0.2403	0.405247
10	-0.053136	-0.5821	0.280802
11	0.103185	1.1303	0.130295
12	-0.029899	-0.3275	0.371922
13	-0.412418	-4.5178	7e-06
14	-0.041576	-0.4554	0.324808
15	0.074803	0.8194	0.207085
16	-0.003008	-0.033	0.486883
17	-0.02311	-0.2532	0.400292
18	0.019425	0.2128	0.415927
19	-0.089391	-0.9792	0.16472
20	0.05764	0.6314	0.264484
21	0.007643	0.0837	0.466709
22	0.0016	0.0175	0.493021
23	0.034678	0.3799	0.352354
24	-0.053343	-0.5843	0.280044
25	-0.161773	-1.7721	0.039455
26	-0.069584	-0.7623	0.223702
27	0.053773	0.5891	0.278465
28	0.025543	0.2798	0.390053
29	-0.00907	-0.0994	0.46051
30	0.045069	0.4937	0.311206
31	-0.030753	-0.3369	0.368396
32	0.00977	0.107	0.457472
33	-0.025722	-0.2818	0.389302
34	0.055477	0.6077	0.272262
35	-0.004971	-0.0545	0.478331
36	-0.100937	-1.1057	0.135533
37	-0.041984	-0.4599	0.323205
38	-0.11354	-1.2438	0.108005
39	0.002822	0.0309	0.487695
40	0.011066	0.1212	0.451859
41	-0.001039	-0.0114	0.495468
42	0.054636	0.5985	0.275314
43	-0.026808	-0.2937	0.384762
44	0.012724	0.1394	0.444691
45	-0.070685	-0.7743	0.220134
46	0.009401	0.103	0.459076
47	0.011364	0.1245	0.450569
48	-0.021005	-0.2301	0.409203
49	0.025226	0.2763	0.391382
50	-0.062862	-0.6886	0.246196
51	-0.013079	-0.1433	0.443159
52	0.006751	0.074	0.470586
53	0.03717	0.4072	0.342303
54	0.024818	0.2719	0.393094
55	-0.020922	-0.2292	0.409557
56	-0.028845	-0.316	0.376281
57	-0.02263	-0.2479	0.40232
58	-0.0142	-0.1556	0.438324
59	-0.009169	-0.1004	0.460081
60	-0.05409	-0.5925	0.277305

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jul/11/t1278860373u3isspcvppl7j77/124s71278860318.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/11/t1278860373u3isspcvppl7j77/124s71278860318.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/11/t1278860373u3isspcvppl7j77/224s71278860318.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/11/t1278860373u3isspcvppl7j77/224s71278860318.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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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