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Gabriels Wim Oef 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: Thu, 14 May 2009 15:42:24 -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/14/t12423373711u7s5htrzhttjcy.htm/, Retrieved Thu, 14 May 2009 23:42:53 +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/14/t12423373711u7s5htrzhttjcy.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 «

374 572 402 589 507 628 698 451 694 0 488 526 343 494 447 0 470 366 517 483 485 530 308 481 437 468 502 408 479 436 410 451 344 411 0 427 454 365 499 416 430 470 325 452 442 488 446 523 594 439 588 503 444 525 375 472 436 458 514 0 472 360 450 549 361 466 387 457 470 396 471 422 404 414 342 459 379 0 410 319 411 371 365 429 333 392 469 432 534 379 436 448 358 492 387 529 475 439 459 361 0 0 394 425 341 455 403 471 523 389 531 468 398 446 355 435 353 0 400 332 389 355 384 406 356 336 351 278 265 229 387 435 317 490 472 440 429 350 489 494 436 436 375 429 0 434 472 362 440 433 400 442 316 432 401 434 488 377 484 377 0 0 300 389 337 376 377 331 339 356 280 249 196 268 379 401 404 397 419 421 407 296 468 475 422 456 339 446 419 346 327 326 403 359 358 421 322 367 394 356 418 344 372 358 373 379 0 348 369 341 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	5 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.183744	2.9855	0.001548
2	0.194285	3.1568	0.00089
3	0.170296	2.767	0.003029
4	-0.039773	-0.6462	0.259342
5	0.151838	2.4671	0.007129
6	-0.032145	-0.5223	0.30095
7	0.054055	0.8783	0.190292
8	0.069596	1.1308	0.129583
9	-0.082272	-1.3368	0.091227
10	0.090495	1.4704	0.071326
11	-0.084699	-1.3762	0.084963
12	0.058978	0.9583	0.169401
13	0.04996	0.8118	0.208831
14	-0.143161	-2.3261	0.010385
15	0.128625	2.0899	0.018792
16	0.034662	0.5632	0.286892
17	0.16242	2.639	0.004405
18	0.097707	1.5875	0.056793
19	0.050147	0.8148	0.207961
20	0.146474	2.3799	0.009013
21	-0.076146	-1.2372	0.108551
22	0.053817	0.8744	0.191342
23	0.072192	1.173	0.120929
24	0.004705	0.0765	0.469559
25	0.228869	3.7187	0.000122
26	-0.069553	-1.1301	0.12973
27	0.122193	1.9854	0.024067
28	0.074182	1.2053	0.114581
29	-0.072232	-1.1736	0.1208
30	0.038805	0.6305	0.264453
31	-0.079527	-1.2922	0.098717
32	0.044203	0.7182	0.236629
33	-0.012938	-0.2102	0.416832
34	-0.043648	-0.7092	0.239415
35	0.110887	1.8017	0.036367
36	-0.028677	-0.4659	0.320822
37	0.089738	1.4581	0.073004
38	-0.004571	-0.0743	0.470426
39	-0.008115	-0.1319	0.447599
40	0.183698	2.9847	0.001552
41	0.046333	0.7528	0.226115
42	0.192802	3.1327	0.000964
43	0.222685	3.6182	0.000178
44	0.248225	4.0332	3.6e-05
45	0.226465	3.6796	0.000142
46	0.080771	1.3124	0.095268
47	0.156752	2.5469	0.005718
48	0.000907	0.0147	0.494124

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.183744	2.9855	0.001548
2	0.166132	2.6993	0.003698
3	0.117077	1.9023	0.029112
4	-0.121786	-1.9788	0.02444
5	0.137885	2.2404	0.01295
6	-0.075713	-1.2302	0.10986
7	0.056833	0.9234	0.178316
8	0.023993	0.3898	0.348486
9	-0.080397	-1.3063	0.096294
10	0.067655	1.0993	0.136326
11	-0.085087	-1.3825	0.083993
12	0.093037	1.5117	0.065907
13	0.003976	0.0646	0.474268
14	-0.128556	-2.0888	0.018842
15	0.120722	1.9615	0.025436
16	0.07519	1.2217	0.111456
17	0.149665	2.4318	0.007845
18	-0.043411	-0.7053	0.240609
19	0.059547	0.9675	0.167085
20	0.02438	0.3961	0.346165
21	-0.093109	-1.5128	0.065759
22	0.02989	0.4857	0.313806
23	0.04521	0.7346	0.231623
24	0.032529	0.5285	0.298788
25	0.144198	2.3429	0.009938
26	-0.10042	-1.6316	0.051974
27	0.101949	1.6565	0.049407
28	-0.018654	-0.3031	0.381028
29	-0.044384	-0.7212	0.235725
30	-0.059705	-0.9701	0.166443
31	0.021524	0.3497	0.363411
32	0.009879	0.1605	0.436301
33	-0.043429	-0.7056	0.240518
34	0.017977	0.2921	0.385224
35	0.016708	0.2715	0.39312
36	0.012103	0.1966	0.422129
37	0.048414	0.7866	0.216101
38	-0.044726	-0.7267	0.234024
39	0.062769	1.0199	0.154359
40	0.07464	1.2128	0.113154
41	0.074334	1.2078	0.114107
42	0.072225	1.1735	0.120824
43	0.157092	2.5524	0.00563
44	0.170807	2.7753	0.002955
45	0.034982	0.5684	0.285124
46	0.066258	1.0766	0.141328
47	0.018254	0.2966	0.383504
48	-0.078963	-1.283	0.10031

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423373711u7s5htrzhttjcy/1gjft1242337338.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423373711u7s5htrzhttjcy/1gjft1242337338.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423373711u7s5htrzhttjcy/2hf0g1242337338.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423373711u7s5htrzhttjcy/2hf0g1242337338.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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