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Autocorrelation Function - Prijsevolutie slagroom - Van Hal Elien

*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 12:15:58 -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/t1241720221cxpownsdxd23w78.htm/, Retrieved Thu, 07 May 2009 20:17:03 +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/t1241720221cxpownsdxd23w78.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 «

4,2 4,19 4,19 4,19 4,19 4,18 4,2 4,19 4,17 4,21 4,22 4,23 4,21 4,23 4,23 4,22 4,25 4,28 4,3 4,32 4,33 4,32 4,34 4,33 4,31 4,31 4,3 4,3 4,29 4,33 4,32 4,32 4,35 4,37 4,39 4,4 4,41 4,44 4,47 4,47 4,47 4,48 4,47 4,48 4,46 4,44 4,43 4,41 4,41 4,38 4,35 4,37 4,4 4,39 4,36 4,34 4,33 4,33 4,34 4,34 4,35 4,37 4,39 4,4 4,38 4,37 4,36 4,33 4,33 4,33 4,32 4,33 4,34

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	5 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.961713	8.2169	0
2	0.910529	7.7796	0
3	0.857001	7.3222	0
4	0.795259	6.7947	0
5	0.729607	6.2338	0
6	0.659461	5.6344	0
7	0.596731	5.0985	1e-06
8	0.532828	4.5525	1e-05
9	0.469514	4.0115	7.2e-05
10	0.413809	3.5356	0.000355
11	0.358495	3.063	0.001534
12	0.306507	2.6188	0.005362
13	0.255703	2.1847	0.01606
14	0.213693	1.8258	0.035985
15	0.172662	1.4752	0.072227
16	0.133199	1.1381	0.12941
17	0.099985	0.8543	0.197875
18	0.079663	0.6806	0.249125
19	0.063045	0.5387	0.29588
20	0.043286	0.3698	0.356288
21	0.016874	0.1442	0.442881
22	-0.012655	-0.1081	0.457097
23	-0.038079	-0.3253	0.372926
24	-0.07602	-0.6495	0.259023
25	-0.122175	-1.0439	0.149997
26	-0.169894	-1.4516	0.075452
27	-0.220157	-1.881	0.031978
28	-0.267686	-2.2871	0.012545
29	-0.316	-2.6999	0.004307
30	-0.353772	-3.0226	0.001728
31	-0.390757	-3.3386	0.000664
32	-0.423248	-3.6162	0.000273
33	-0.445188	-3.8037	0.000147
34	-0.457162	-3.906	0.000104
35	-0.463276	-3.9582	8.7e-05
36	-0.463324	-3.9586	8.7e-05
37	-0.454374	-3.8822	0.000113
38	-0.43233	-3.6938	0.000212
39	-0.396802	-3.3903	0.000565
40	-0.361464	-3.0884	0.001423
41	-0.324166	-2.7697	0.003555
42	-0.284321	-2.4292	0.008796
43	-0.253857	-2.169	0.016672
44	-0.226135	-1.9321	0.028614
45	-0.202504	-1.7302	0.043911
46	-0.183366	-1.5667	0.060758
47	-0.16794	-1.4349	0.077796
48	-0.155443	-1.3281	0.09414

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.961713	8.2169	0
2	-0.191243	-1.634	0.053284
3	-0.030558	-0.2611	0.39738
4	-0.136914	-1.1698	0.122944
5	-0.05447	-0.4654	0.321518
6	-0.089827	-0.7675	0.222635
7	0.090091	0.7697	0.221969
8	-0.087776	-0.75	0.227846
9	-0.008063	-0.0689	0.472634
10	0.037563	0.3209	0.374588
11	-0.060372	-0.5158	0.303769
12	-0.005147	-0.044	0.482523
13	-0.039519	-0.3377	0.368296
14	0.072566	0.62	0.268594
15	-0.079346	-0.6779	0.249979
16	0.013388	0.1144	0.454623
17	0.001969	0.0168	0.493313
18	0.141585	1.2097	0.115149
19	-0.050573	-0.4321	0.333473
20	-0.061234	-0.5232	0.301216
21	-0.162998	-1.3927	0.083975
22	-0.057322	-0.4898	0.312887
23	0.051617	0.441	0.330252
24	-0.205525	-1.756	0.04164
25	-0.082834	-0.7077	0.240683
26	-0.071586	-0.6116	0.271341
27	-0.024542	-0.2097	0.417247
28	-0.022903	-0.1957	0.422702
29	-0.030717	-0.2624	0.396858
30	0.058516	0.5	0.309302
31	-0.077455	-0.6618	0.255099
32	0.031864	0.2722	0.393101
33	0.004913	0.042	0.483315
34	0.094595	0.8082	0.210795
35	-0.02061	-0.1761	0.430354
36	0.075015	0.6409	0.261789
37	-0.040624	-0.3471	0.36476
38	0.107705	0.9202	0.180242
39	0.151244	1.2922	0.100176
40	-0.084578	-0.7226	0.236107
41	-0.009416	-0.0804	0.46805
42	-0.065939	-0.5634	0.28745
43	-0.120416	-1.0288	0.153477
44	-0.017279	-0.1476	0.441521
45	0.035859	0.3064	0.380095
46	-0.090205	-0.7707	0.221682
47	0.044207	0.3777	0.353374
48	-0.00234	-0.02	0.492051

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/07/t1241720221cxpownsdxd23w78/1gi0k1241720152.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/07/t1241720221cxpownsdxd23w78/1gi0k1241720152.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/07/t1241720221cxpownsdxd23w78/23vla1241720152.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/07/t1241720221cxpownsdxd23w78/23vla1241720152.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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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