Home » date » 2009 » May » 07 »

Autocorrelation zondertrend-ruwe aardolie-Katrijn Kempenaers

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 07 May 2009 08:35:08 -0600

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/May/07/t1241706969pcdoz3nv9wqlr4l.htm/, Retrieved Thu, 07 May 2009 16:36:10 +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/2009/May/07/t1241706969pcdoz3nv9wqlr4l.htm/},
    year = {2009},
}
@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 = {2009},
    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 «

88.6 95 96.3 83.3 96.9 103.4 99.3 103.8 113.4 111.5 114.2 90.6 90.8 96.4 90 92.1 97.2 95.1 88.5 91 90.5 75 66.3 66 68.4 70.6 83.9 90.1 90.6 87.1 90.8 94.1 99.8 96.8 87 96.3 107.1 115.2 106.1 89.5 91.3 97.6 100.7 104.6 94.7 101.8 102.5 105.3 110.3 109.8 117.3 118.8 131.3 125.9 133.1 147 145.8 164.4 149.8 137.7 151.7 156.8 180 180.4 170.4 191.6 199.5 218.2 217.5 205 194 199.3 219.3 211.1 215.2 240.2 242.2 240.7 255.4 253 218.2 203.7 205.6 215.6 188.5 202.9 214 230.3 230 241 259.6 247.8 270.3 289.7 322.7 315 320.2 329.5 360.6 382.2 435.4 464 468.8 403 351.6 252 188 146.5 152.9

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	0.531602	5.5246	0
2	0.32777	3.4063	0.000463
3	0.059246	0.6157	0.269692
4	-0.042307	-0.4397	0.330529
5	-0.214831	-2.2326	0.01382
6	-0.192218	-1.9976	0.024138
7	-0.095324	-0.9906	0.16204
8	-0.046321	-0.4814	0.31561
9	-0.117779	-1.224	0.111809
10	-0.002683	-0.0279	0.488904
11	-0.01676	-0.1742	0.431027
12	-0.080774	-0.8394	0.201541
13	-0.159437	-1.6569	0.050219
14	-0.075054	-0.78	0.218553
15	0.002425	0.0252	0.489969
16	-0.100168	-1.041	0.150105
17	-0.099056	-1.0294	0.152791
18	-0.094303	-0.98	0.164632
19	-0.06374	-0.6624	0.254563
20	-0.058713	-0.6102	0.271518
21	0.018492	0.1922	0.423985
22	0.079576	0.827	0.205037
23	0.096025	0.9979	0.160274
24	0.068055	0.7072	0.240468
25	0.160811	1.6712	0.048789
26	0.105296	1.0943	0.138135
27	0.031424	0.3266	0.372313
28	-0.046217	-0.4803	0.315991
29	-0.053815	-0.5593	0.288572
30	-0.03593	-0.3734	0.354793
31	-0.058655	-0.6096	0.271717
32	-0.020487	-0.2129	0.415902
33	0.011576	0.1203	0.452232
34	-0.002169	-0.0225	0.491027
35	0.070838	0.7362	0.231612
36	0.047253	0.4911	0.312187
37	0.037797	0.3928	0.347621
38	-0.031049	-0.3227	0.373783
39	-0.043283	-0.4498	0.326874
40	-0.040664	-0.4226	0.336718
41	-0.039405	-0.4095	0.341488
42	-0.017286	-0.1796	0.428887
43	-0.068869	-0.7157	0.237858
44	-0.045487	-0.4727	0.318686
45	-0.005016	-0.0521	0.479263
46	0.022996	0.239	0.405785
47	0.053273	0.5536	0.290489
48	-0.007403	-0.0769	0.469408

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.531602	5.5246	0
2	0.062963	0.6543	0.257143
3	-0.192424	-1.9997	0.02402
4	-0.032407	-0.3368	0.368467
5	-0.186716	-1.9404	0.027469
6	0.011981	0.1245	0.450572
7	0.114553	1.1905	0.118236
8	-0.049319	-0.5125	0.304662
9	-0.183705	-1.9091	0.02945
10	0.13214	1.3732	0.086262
11	-0.048691	-0.506	0.306941
12	-0.151042	-1.5697	0.059708
13	-0.06584	-0.6842	0.247649
14	0.056716	0.5894	0.278408
15	0.081943	0.8516	0.198168
16	-0.213949	-2.2234	0.014135
17	-0.079918	-0.8305	0.204036
18	-0.04935	-0.5129	0.304548
19	0.043629	0.4534	0.325584
20	0.026246	0.2728	0.39278
21	-0.027584	-0.2867	0.387462
22	-0.033416	-0.3473	0.364533
23	0.058514	0.6081	0.2722
24	0.016686	0.1734	0.431328
25	0.065269	0.6783	0.249516
26	-0.050322	-0.523	0.301035
27	-0.060127	-0.6249	0.266691
28	0.014872	0.1546	0.438729
29	-0.054276	-0.5641	0.286944
30	0.034718	0.3608	0.359477
31	-0.024323	-0.2528	0.400464
32	-0.009573	-0.0995	0.46047
33	0.014491	0.1506	0.440289
34	-0.019302	-0.2006	0.420699
35	0.113101	1.1754	0.121214
36	-0.064223	-0.6674	0.252962
37	-0.032866	-0.3416	0.366674
38	0.008218	0.0854	0.46605
39	0.01923	0.1998	0.420991
40	-0.033593	-0.3491	0.363842
41	0.014552	0.1512	0.44004
42	0.021182	0.2201	0.413094
43	-0.121507	-1.2627	0.104702
44	0.055674	0.5786	0.282039
45	0.031278	0.325	0.372886
46	-0.012589	-0.1308	0.448078
47	0.017541	0.1823	0.427848
48	-0.094288	-0.9799	0.164669

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/07/t1241706969pcdoz3nv9wqlr4l/1tgmj1241706906.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/07/t1241706969pcdoz3nv9wqlr4l/1tgmj1241706906.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/07/t1241706969pcdoz3nv9wqlr4l/2803u1241706906.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/07/t1241706969pcdoz3nv9wqlr4l/2803u1241706906.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

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 (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='lags',ylab='ACF')

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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