WS8 autocorrelatie

*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: Sun, 28 Nov 2010 15:20:31 +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/Nov/28/t1290957578akvo0o2e5cyw26z.htm/, Retrieved Sun, 28 Nov 2010 16:19:40 +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/Nov/28/t1290957578akvo0o2e5cyw26z.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 «

235.1 280.7 264.6 240.7 201.4 240.8 241.1 223.8 206.1 174.7 203.3 220.5 299.5 347.4 338.3 327.7 351.6 396.6 438.8 395.6 363.5 378.8 357 369 464.8 479.1 431.3 366.5 326.3 355.1 331.6 261.3 249 205.5 235.6 240.9 264.9 253.8 232.3 193.8 177 213.2 207.2 180.6 188.6 175.4 199 179.6 225.8 234 200.2 183.6 178.2 203.2 208.5 191.8 172.8 148 159.4 154.5 213.2 196.4 182.8 176.4 153.6 173.2 171 151.2 161.9 157.2 201.7 236.4 356.1 398.3 403.7 384.6 365.8 368.1 367.9 347 343.3 292.9 311.5 300.9 366.9 356.9 329.7 316.2 269 289.3 266.2 253.6 233.8 228.4 253.6 260.1 306.6 309.2 309.5 271 279.9 317.9 298.4 246.7 227.3 209.1 259.9 266 320.6 308.5 282.2 262.7 263.5 313.1 284.3 252.6 250.3 246.5 312.7 333.2 446.4 511.6 515.5 506.4 483.2 522.3 509.8 460.7 405.8 375 378.5 406.8 467.8 469.8 429.8 355.8 332.7 378 360.5 334.7 319.5 323.1 363.6 352.1 411.9 388.6 416.4 360.7 338 417.2 388. etc...

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 0.958297 18.483 0 2 0.915218 17.6521 0 3 0.883412 17.0386 0 4 0.870088 16.7816 0 5 0.861735 16.6205 0 6 0.832367 16.0541 0 7 0.812153 15.6642 0 8 0.775095 14.9495 0 9 0.745592 14.3805 0 10 0.734652 14.1695 0 11 0.739154 14.2563 0 12 0.743705 14.3441 0 13 0.693188 13.3697 0 14 0.64416 12.4241 0 15 0.611393 11.7921 0 16 0.599793 11.5684 0 17 0.597409 11.5224 0 18 0.577954 11.1472 0 19 0.568953 10.9736 0 20 0.543776 10.488 0 21 0.526232 10.1496 0 22 0.525701 10.1394 0 23 0.537712 10.371 0 24 0.551354 10.6341 0 25 0.512849 9.8915 0 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.958297 18.483 0 2 -0.038138 -0.7356 0.231227 3 0.116008 2.2375 0.012923 4 0.207345 3.9991 3.8e-05 5 0.071295 1.3751 0.084967 6 -0.216629 -4.1782 1.8e-05 7 0.177843 3.4301 0.000336 8 -0.280159 -5.4035 0 9 0.051585 0.9949 0.160206 10 0.221443 4.271 1.2e-05 11 0.189049 3.6462 0.000152 12 -0.045031 -0.8685 0.192833 13 -0.550158 -10.6111 0 14 0.048685 0.939 0.17417 15 0.139152 2.6839 0.003802 16 0.058966 1.1373 0.128074 17 0.145015 2.797 0.002713 18 0.056415 1.0881 0.13863 19 0.089168 1.7198 0.04315 20 -0.085304 -1.6453 0.050378 21 0.010706 0.2065 0.418258 22 0.020453 0.3945 0.346725 23 -0.016396 -0.3162 0.376 24 0.056489 1.0895 0.138315 25 -0.235006 -4.5326 4e-06

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957578akvo0o2e5cyw26z/1g0q71290957628.png (open in new window) http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957578akvo0o2e5cyw26z/1g0q71290957628.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957578akvo0o2e5cyw26z/2g0q71290957628.png (open in new window) http://www.freestatistics.org/blog/date/2010/Nov/28/t1290957578akvo0o2e5cyw26z/2g0q71290957628.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = Default ; 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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