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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 15:04:57 +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/t1278860708thzvan4h64pg15b.htm/, Retrieved Sun, 11 Jul 2010 17:05:11 +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/t1278860708thzvan4h64pg15b.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	-0.063859	-0.6966	0.243699
2	-0.25464	-2.7778	0.00318
3	0.229254	2.5009	0.006875
4	-0.194542	-2.1222	0.017947
5	-0.167779	-1.8303	0.034857
6	0.560642	6.1159	0
7	-0.11933	-1.3017	0.097761
8	-0.229923	-2.5082	0.006741
9	0.231333	2.5235	0.006468
10	-0.184566	-2.0134	0.023166
11	-0.110117	-1.2012	0.116022
12	0.814813	8.8886	0
13	-0.067296	-0.7341	0.232161
14	-0.312543	-3.4094	0.000445
15	0.164871	1.7985	0.037314
16	-0.142362	-1.553	0.06154
17	-0.167044	-1.8222	0.035465
18	0.489124	5.3357	0
19	-0.084728	-0.9243	0.178606
20	-0.22772	-2.4841	0.007189
21	0.189172	2.0636	0.020614
22	-0.123301	-1.3451	0.090583
23	-0.108837	-1.1873	0.118742
24	0.632441	6.8991	0
25	-0.084269	-0.9193	0.179907
26	-0.336462	-3.6704	0.000182
27	0.128921	1.4064	0.081112
28	-0.104297	-1.1377	0.128757
29	-0.192372	-2.0985	0.018987
30	0.402499	4.3907	1.2e-05
31	-0.068056	-0.7424	0.229653
32	-0.236924	-2.5845	0.005479
33	0.130389	1.4224	0.078766
34	-0.081843	-0.8928	0.186882
35	-0.108597	-1.1847	0.119258
36	0.483414	5.2734	0
37	-0.04137	-0.4513	0.326298
38	-0.323216	-3.5259	3e-04
39	0.102039	1.1131	0.13395
40	-0.043775	-0.4775	0.31693
41	-0.187588	-2.0463	0.021463
42	0.331709	3.6185	0.000218
43	-0.02527	-0.2757	0.391642
44	-0.218996	-2.389	0.009234
45	0.081802	0.8924	0.187001
46	-0.039403	-0.4298	0.334045
47	-0.101882	-1.1114	0.134318
48	0.346109	3.7756	0.000125
49	0.00152	0.0166	0.493399
50	-0.283776	-3.0956	0.001225
51	0.052601	0.5738	0.283588
52	-0.022217	-0.2424	0.404461
53	-0.190641	-2.0797	0.019852
54	0.248272	2.7083	0.00388
55	0.020868	0.2276	0.410157
56	-0.201237	-2.1952	0.015043
57	0.020368	0.2222	0.412274
58	-0.00622	-0.0678	0.47301
59	-0.07573	-0.8261	0.205197
60	0.242692	2.6475	0.004604

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.063859	-0.6966	0.243699
2	-0.259777	-2.8338	0.002702
3	0.206931	2.2573	0.012905
4	-0.266741	-2.9098	0.002159
5	-0.069979	-0.7634	0.223373
6	0.47751	5.209	0
7	-0.179078	-1.9535	0.026553
8	0.022745	0.2481	0.402234
9	0.004041	0.0441	0.482458
10	-0.109422	-1.1937	0.117494
11	0.121305	1.3233	0.094139
12	0.698757	7.6225	0
13	-0.124118	-1.354	0.089157
14	-0.03908	-0.4263	0.335327
15	-0.186214	-2.0314	0.022223
16	0.070896	0.7734	0.220414
17	0.063341	0.691	0.245466
18	-0.144576	-1.5771	0.058709
19	0.010319	0.1126	0.455281
20	0.0629	0.6862	0.246975
21	-0.045624	-0.4977	0.309809
22	0.036759	0.401	0.344572
23	0.034723	0.3788	0.352761
24	-0.070914	-0.7736	0.220356
25	-0.050848	-0.5547	0.290076
26	-0.068447	-0.7467	0.228367
27	0.086581	0.9445	0.173418
28	-0.055707	-0.6077	0.272277
29	-0.183541	-2.0022	0.023769
30	-0.012992	-0.1417	0.443767
31	0.002797	0.0305	0.487857
32	-0.011464	-0.1251	0.450346
33	-0.100159	-1.0926	0.138387
34	-0.00948	-0.1034	0.458903
35	0.058561	0.6388	0.262082
36	-0.030269	-0.3302	0.370916
37	0.160454	1.7503	0.041318
38	0.003806	0.0415	0.483475
39	0.002977	0.0325	0.487076
40	0.003882	0.0423	0.483146
41	0.011828	0.129	0.448778
42	0.091868	1.0022	0.15915
43	-0.034819	-0.3798	0.352375
44	-0.01599	-0.1744	0.430912
45	0.008135	0.0887	0.464718
46	0.001678	0.0183	0.492712
47	0.007428	0.081	0.467778
48	-0.071615	-0.7812	0.218111
49	0.045436	0.4956	0.310529
50	0.022163	0.2418	0.404689
51	-0.074478	-0.8125	0.209074
52	-0.047848	-0.522	0.301335
53	-0.082025	-0.8948	0.186353
54	-0.036025	-0.393	0.347516
55	0.023017	0.2511	0.401091
56	-0.074772	-0.8157	0.20816
57	-0.066084	-0.7209	0.236194
58	-0.034874	-0.3804	0.352152
59	0.03736	0.4075	0.342168
60	0.030876	0.3368	0.368426

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jul/11/t1278860708thzvan4h64pg15b/156s61278860695.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/11/t1278860708thzvan4h64pg15b/156s61278860695.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/11/t1278860708thzvan4h64pg15b/2yyr91278860695.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/11/t1278860708thzvan4h64pg15b/2yyr91278860695.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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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