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Autocorrelation Function - Consumptie Wijn - Veronika Kaplova

*Unverified author*
R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Mon, 03 May 2010 15:58:18 +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/May/03/t1272902379n6qyailbo8d215w.htm/, Retrieved Mon, 03 May 2010 17:59:39 +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/May/03/t1272902379n6qyailbo8d215w.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:
KDGP2W21
 
Dataseries X:
» Textbox « » Textfile « » CSV «
2550 2867 3458 2961 3163 2880 3331 3062 3534 3622 4464 5411 2564 2820 3508 3088 3299 2939 3320 3418 3604 3495 4163 4882 2211 3260 2992 2425 2707 3244 3965 3315 3333 3583 4021 4904 2252 2952 3573 3048 3059 2731 3563 3092 3478 3478 4308 5029 2075 3264 3308 3688 3136 2824 3644 4694 2914 3686 4358 5587 2265 3685 3754 3708 3210 3517 3905 3670 4221 4404 5086 5725 2367 3819 4067 4022 3937 4365 4290
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Sir Ronald Aylmer Fisher' @ 193.190.124.24


Autocorrelation Function
Time lag kACF(k)T-STATP-value
1-0.416967-3.68250.000212
2-0.14271-1.26040.105645
30.019690.17390.431197
40.1311721.15850.125102
50.0206690.18250.427814
6-0.239703-2.1170.018724
70.0563130.49730.310175
80.1016160.89740.186121
90.0528820.4670.320887
10-0.142053-1.25460.10669
11-0.268245-2.36910.010153
120.6884286.080
13-0.314946-2.78150.003391
14-0.099114-0.87540.192035
150.0292520.25830.398411
160.1097570.96930.167685
170.0147150.130.448467
18-0.242157-2.13870.017796
190.1165331.02920.153286
200.0426190.37640.35382
210.0420980.37180.355525
22-0.107732-0.95150.172155
23-0.218484-1.92960.028646
240.5530834.88473e-06
25-0.246206-2.17440.016352
26-0.076068-0.67180.251844
270.0208490.18410.427195
280.0286660.25320.400402
290.0847260.74830.22827
30-0.164743-1.4550.074844
310.0293250.2590.398162
320.0268710.23730.406515
330.0836140.73850.231226
34-0.140293-1.2390.109524
35-0.129423-1.1430.12826
360.4249093.75270.000167
37-0.2115-1.86790.032765
38-0.045817-0.40460.343422
390.0087350.07710.469352
400.0417980.36920.356508
410.0580980.51310.304664
42-0.13878-1.22570.112005
430.0155980.13780.445395
440.0338910.29930.382747
450.0614830.5430.294339
46-0.099-0.87430.192307
47-0.083357-0.73620.231911
480.2777982.45340.00819
49-0.123153-1.08770.140047
50-0.056738-0.50110.308858
510.0393930.34790.364423
520.0010910.00960.49617
530.0095810.08460.46639
54-0.059991-0.52980.298868
550.0578640.5110.305383
56-0.045948-0.40580.342999
570.0644130.56890.285535
58-0.078856-0.69640.244112
59-0.011486-0.10140.459729
600.146331.29240.100025


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.416967-3.68250.000212
2-0.383194-3.38430.00056
3-0.315531-2.78670.003342
4-0.106062-0.93670.175899
50.0463210.40910.341797
6-0.205935-1.81880.036392
7-0.237319-2.09590.019665
8-0.191828-1.69420.047111
9-0.043598-0.3850.350627
10-0.089586-0.79120.215613
11-0.613916-5.4220
120.2059061.81850.036412
130.0242960.21460.415328
140.0242190.21390.415594
150.0960910.84870.199336
160.045030.39770.345971
170.0788690.69660.244077
18-0.01346-0.11890.45284
190.0826890.73030.233701
200.0205410.18140.428258
21-0.046681-0.41230.340634
22-0.00409-0.03610.485637
23-0.191-1.68690.047812
24-0.039832-0.35180.362974
25-0.003315-0.02930.488358
260.0062320.0550.478124
270.0394170.34810.364342
28-0.206917-1.82740.035729
29-0.050295-0.44420.329066
300.1728161.52630.065494
31-0.025997-0.22960.409503
320.0167980.14840.441221
330.0560840.49530.310883
34-0.132085-1.16650.123475
350.008690.07670.46951
360.0352290.31110.378263
37-0.009801-0.08660.465621
38-0.052249-0.46140.322881
39-0.106309-0.93890.175341
400.0527330.46570.321355
41-0.061398-0.54230.294594
42-0.042489-0.37530.354246
43-0.009442-0.08340.466878
44-0.054389-0.48030.316162
45-0.108727-0.96030.169948
46-0.023676-0.20910.417458
470.1361161.20210.116472
48-0.069076-0.61010.271796
49-0.045033-0.39770.345961
500.005830.05150.479535
510.0371320.32790.371918
520.0046630.04120.483627
53-0.091446-0.80760.210881
54-0.086989-0.76830.222325
550.0548080.48410.314852
56-0.087566-0.77340.220823
570.0339990.30030.382384
580.0142140.12550.450211
59-0.033889-0.29930.382755
60-0.037134-0.3280.37191
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/May/03/t1272902379n6qyailbo8d215w/16izo1272902294.png (open in new window)
http://www.freestatistics.org/blog/date/2010/May/03/t1272902379n6qyailbo8d215w/16izo1272902294.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/May/03/t1272902379n6qyailbo8d215w/26izo1272902294.png (open in new window)
http://www.freestatistics.org/blog/date/2010/May/03/t1272902379n6qyailbo8d215w/26izo1272902294.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')
 




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