Autocorrelation Omzet Product Y

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sat, 24 Jul 2010 08:51:50 +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/24/t1279961516ivbbtxlg79fz6v0.htm/, Retrieved Sat, 24 Jul 2010 10:51:57 +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/24/t1279961516ivbbtxlg79fz6v0.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 «

297 296 295 293 291 290 291 293 294 294 295 297 302 297 301 298 295 287 290 288 288 287 274 282 296 292 298 296 292 296 293 295 294 291 279 284 299 296 299 299 291 298 288 284 277 270 251 257 269 271 268 268 258 261 255 251 239 229 210 218 226 227 222 215 203 205 194 190 182 179 158 163 165 169 163 154 142 146 133 131 128 120 88 95

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 'RServer@AstonUniversity' @ vre.aston.ac.uk Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.945753 8.668 0 2 0.886246 8.1226 0 3 0.842178 7.7187 0 4 0.802309 7.3533 0 5 0.762236 6.986 0 6 0.723415 6.6302 0 7 0.684982 6.278 0 8 0.644294 5.9051 0 9 0.607934 5.5718 0 10 0.57691 5.2875 0 11 0.548155 5.0239 1e-06 12 0.515564 4.7252 5e-06 13 0.467712 4.2867 2.4e-05 14 0.416247 3.815 0.00013 15 0.373727 3.4253 0.000476 16 0.333128 3.0532 0.001516 17 0.29663 2.7187 0.003981 18 0.263033 2.4107 0.009051 19 0.229686 2.1051 0.019135 20 0.196441 1.8004 0.037693 21 0.168424 1.5436 0.063219 22 0.144408 1.3235 0.094627 23 0.126223 1.1568 0.125307 24 0.105333 0.9654 0.168559 25 0.068367 0.6266 0.266314 26 0.026051 0.2388 0.405935 27 -0.008115 -0.0744 0.470446 28 -0.036261 -0.3323 0.37023 29 -0.057296 -0.5251 0.300439 30 -0.077659 -0.7118 0.239293 31 -0.097383 -0.8925 0.187329 32 -0.117683 -1.0786 0.14193 33 -0.132316 -1.2127 0.114323 34 -0.146384 -1.3416 0.091666 35 -0.154525 -1.4162 0.0802 36 -0.165151 -1.5136 0.066936 37 -0.190794 -1.7487 0.042001 38 -0.219757 -2.0141 0.023599 39 -0.239183 -2.1921 0.015568 40 -0.255031 -2.3374 0.010899 41 -0.265524 -2.4336 0.008536 42 -0.275856 -2.5283 0.006667 43 -0.280815 -2.5737 0.005908 44 -0.287765 -2.6374 0.004976 45 -0.288371 -2.643 0.004901 46 -0.288189 -2.6413 0.004924 47 -0.283662 -2.5998 0.005509 48 -0.27882 -2.5554 0.006204 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.945753 8.668 0 2 -0.077719 -0.7123 0.239123 3 0.117903 1.0806 0.141484 4 0.000678 0.0062 0.497527 5 -0.007506 -0.0688 0.47266 6 -0.002607 -0.0239 0.490497 7 -0.017946 -0.1645 0.434876 8 -0.040232 -0.3687 0.356626 9 0.021603 0.198 0.421763 10 0.018881 0.173 0.431516 11 0.007261 0.0666 0.473548 12 -0.044168 -0.4048 0.343323 13 -0.157086 -1.4397 0.076832 14 -0.057442 -0.5265 0.299977 15 0.018766 0.172 0.431929 16 -0.036133 -0.3312 0.370671 17 0.024717 0.2265 0.410669 18 -0.001592 -0.0146 0.494196 19 -0.013829 -0.1267 0.449721 20 -0.011654 -0.1068 0.457595 21 0.015576 0.1428 0.443411 22 -0.004222 -0.0387 0.484614 23 0.045037 0.4128 0.340412 24 -0.032509 -0.298 0.383237 25 -0.137848 -1.2634 0.10497 26 -0.062784 -0.5754 0.283272 27 -0.000393 -0.0036 0.498568 28 -0.001425 -0.0131 0.494804 29 0.046799 0.4289 0.334539 30 -0.023412 -0.2146 0.41531 31 0.0046 0.0422 0.483237 32 -0.021276 -0.195 0.422932 33 0.017332 0.1588 0.437085 34 -0.044088 -0.4041 0.343593 35 0.041779 0.3829 0.351376 36 -0.037338 -0.3422 0.366523 37 -0.103178 -0.9456 0.173521 38 -0.033937 -0.311 0.378271 39 0.013531 0.124 0.450801 40 -0.02661 -0.2439 0.403958 41 0.029852 0.2736 0.392533 42 -0.035446 -0.3249 0.373044 43 0.053554 0.4908 0.312414 44 -0.037741 -0.3459 0.365141 45 0.044151 0.4046 0.343382 46 -0.040377 -0.3701 0.356135 47 0.035304 0.3236 0.373534 48 -0.004789 -0.0439 0.482546

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jul/24/t1279961516ivbbtxlg79fz6v0/14bj21279961507.png (open in new window) http://www.freestatistics.org/blog/date/2010/Jul/24/t1279961516ivbbtxlg79fz6v0/14bj21279961507.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Jul/24/t1279961516ivbbtxlg79fz6v0/24bj21279961507.png (open in new window) http://www.freestatistics.org/blog/date/2010/Jul/24/t1279961516ivbbtxlg79fz6v0/24bj21279961507.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; 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')

Copyright

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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