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Ken Soltvedt eigenreeks 6bis

*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, 11 May 2009 12:37:04 -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/11/t1242067063o36bgp37583vo56.htm/, Retrieved Mon, 11 May 2009 20:37:45 +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/11/t1242067063o36bgp37583vo56.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 «

3,42 3,42 3,43 3,47 3,51 3,52 3,52 3,52 3,52 3,52 3,52 3,52 3,52 3,52 3,58 3,6 3,61 3,61 3,61 3,63 3,68 3,69 3,69 3,69 3,69 3,69 3,69 3,69 3,69 3,78 3,79 3,79 3,8 3,8 3,8 3,8 3,81 3,95 3,99 4 4,06 4,16 4,19 4,2 4,2 4,2 4,2 4,2 4,23 4,38 4,43 4,44 4,44 4,44 4,44 4,44 4,45 4,45 4,45 4,45 4,45 4,45 4,45 4,45 4,46 4,46 4,46 4,48 4,58 4,67 4,68 4,68

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	3 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.960835	8.153	0
2	0.917513	7.7854	0
3	0.873938	7.4156	0
4	0.836434	7.0974	0
5	0.805381	6.8339	0
6	0.775106	6.577	0
7	0.744102	6.3139	0
8	0.712004	6.0416	0
9	0.677619	5.7498	0
10	0.641108	5.44	0
11	0.603434	5.1203	1e-06
12	0.563885	4.7847	4e-06
13	0.52121	4.4226	1.7e-05
14	0.477277	4.0498	6.4e-05
15	0.435765	3.6976	0.000211
16	0.394399	3.3466	0.000651
17	0.353527	2.9998	0.001854
18	0.311439	2.6427	0.005043
19	0.26792	2.2734	0.012994
20	0.222956	1.8918	0.031267
21	0.177365	1.505	0.068351
22	0.131391	1.1149	0.134302
23	0.087669	0.7439	0.22968
24	0.052029	0.4415	0.330094
25	0.017752	0.1506	0.440344
26	-0.017237	-0.1463	0.442062
27	-0.053641	-0.4552	0.325183
28	-0.092189	-0.7823	0.218316
29	-0.132569	-1.1249	0.132187
30	-0.169488	-1.4382	0.077361
31	-0.205319	-1.7422	0.042873
32	-0.236795	-2.0093	0.024129
33	-0.265577	-2.2535	0.013637
34	-0.294692	-2.5005	0.007339
35	-0.322507	-2.7366	0.003907
36	-0.343184	-2.912	0.002389
37	-0.363539	-3.0847	0.001445
38	-0.377803	-3.2058	0.001005
39	-0.390875	-3.3167	0.000715
40	-0.404543	-3.4327	0.000497
41	-0.415453	-3.5252	0.00037
42	-0.421577	-3.5772	0.000313
43	-0.425682	-3.612	0.000279
44	-0.423888	-3.5968	0.000294
45	-0.422373	-3.584	0.000306
46	-0.421544	-3.5769	0.000313
47	-0.421461	-3.5762	0.000314
48	-0.42189	-3.5799	0.00031

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.960835	8.153	0
2	-0.074121	-0.6289	0.26569
3	-0.023124	-0.1962	0.422499
4	0.056466	0.4791	0.316649
5	0.055985	0.4751	0.318094
6	-0.016283	-0.1382	0.445248
7	-0.022974	-0.1949	0.422995
8	-0.020096	-0.1705	0.432538
9	-0.041083	-0.3486	0.364202
10	-0.045974	-0.3901	0.348807
11	-0.036596	-0.3105	0.378528
12	-0.051156	-0.4341	0.332768
13	-0.071746	-0.6088	0.272293
14	-0.04701	-0.3989	0.345576
15	-0.001493	-0.0127	0.494963
16	-0.039764	-0.3374	0.368394
17	-0.032317	-0.2742	0.392352
18	-0.044545	-0.378	0.353279
19	-0.044754	-0.3797	0.352625
20	-0.050287	-0.4267	0.335434
21	-0.042743	-0.3627	0.358951
22	-0.04495	-0.3814	0.35201
23	-0.014482	-0.1229	0.451272
24	0.063637	0.54	0.29544
25	-0.02514	-0.2133	0.415839
26	-0.042471	-0.3604	0.35981
27	-0.035638	-0.3024	0.381609
28	-0.0467	-0.3963	0.346541
29	-0.060212	-0.5109	0.305487
30	0.002919	0.0248	0.490153
31	-0.035428	-0.3006	0.382287
32	0.002771	0.0235	0.490652
33	-0.011642	-0.0988	0.46079
34	-0.044099	-0.3742	0.354682
35	-0.02182	-0.1851	0.426816
36	0.057117	0.4847	0.314696
37	-0.037159	-0.3153	0.376722
38	0.052674	0.447	0.328126
39	-0.006353	-0.0539	0.478579
40	-0.029148	-0.2473	0.40268
41	0.011454	0.0972	0.461422
42	0.036946	0.3135	0.377405
43	-0.013411	-0.1138	0.454857
44	0.049307	0.4184	0.338455
45	-0.027193	-0.2307	0.409087
46	-0.019091	-0.162	0.435882
47	-0.017274	-0.1466	0.44194
48	-0.032243	-0.2736	0.392592

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/11/t1242067063o36bgp37583vo56/1xwwp1242067021.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/11/t1242067063o36bgp37583vo56/1xwwp1242067021.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/11/t1242067063o36bgp37583vo56/26yda1242067021.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/11/t1242067063o36bgp37583vo56/26yda1242067021.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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