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Time Series analysis - King Size-sigarets - Vincent Bruyninckx

*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 16:31:44 -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/15/t12423403655axpbow0y9mvxka.htm/, Retrieved Fri, 15 May 2009 00:32:47 +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/15/t12423403655axpbow0y9mvxka.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 «

2,98 2,98 2,98 3,03 3,07 3,08 3,08 3,08 3,08 3,08 3,08 3,08 3,08 3,08 3,12 3,15 3,15 3,15 3,15 3,16 3,19 3,2 3,2 3,2 3,21 3,21 3,21 3,21 3,21 3,28 3,3 3,3 3,3 3,3 3,3 3,3 3,3 3,45 3,49 3,5 3,54 3,64 3,67 3,67 3,68 3,68 3,68 3,68 3,7 3,83 3,87 3,87 3,87 3,87 3,87 3,87 3,87 3,87 3,87 3,88 3,88 3,88 3,88 3,88 3,88 3,89 3,89 3,91 3,95 3,99 3,99 3,99

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	0.965511	8.1926	0
2	0.927521	7.8703	0
3	0.888585	7.5399	0
4	0.85361	7.2431	0
5	0.821308	6.969	0
6	0.789871	6.7023	0
7	0.758054	6.4323	0
8	0.725577	6.1567	0
9	0.689882	5.8538	0
10	0.652272	5.5347	0
11	0.613419	5.205	1e-06
12	0.572556	4.8583	3e-06
13	0.528122	4.4813	1.4e-05
14	0.483168	4.0998	5.4e-05
15	0.440197	3.7352	0.000186
16	0.398324	3.3799	0.000587
17	0.355765	3.0188	0.001754
18	0.31213	2.6485	0.004964
19	0.267407	2.269	0.013132
20	0.221748	1.8816	0.031967
21	0.175603	1.49	0.070291
22	0.129054	1.0951	0.13857
23	0.084034	0.7131	0.239058
24	0.046062	0.3908	0.348531
25	0.009368	0.0795	0.468432
26	-0.028201	-0.2393	0.405778
27	-0.067261	-0.5707	0.284981
28	-0.107799	-0.9147	0.181701
29	-0.148951	-1.2639	0.105174
30	-0.186974	-1.5865	0.058501
31	-0.22301	-1.8923	0.031236
32	-0.253834	-2.1539	0.0173
33	-0.283082	-2.402	0.009443
34	-0.312542	-2.652	0.004918
35	-0.341182	-2.895	0.002508
36	-0.361709	-3.0692	0.001513
37	-0.382874	-3.2488	0.000881
38	-0.396152	-3.3615	0.000622
39	-0.40812	-3.463	0.000451
40	-0.42016	-3.5652	0.000325
41	-0.430276	-3.651	0.000246
42	-0.434675	-3.6883	0.000217
43	-0.436107	-3.7005	0.000209
44	-0.433276	-3.6765	0.000226
45	-0.430209	-3.6504	0.000246
46	-0.428052	-3.6321	0.000262
47	-0.426889	-3.6223	0.00027
48	-0.426081	-3.6154	0.000276

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.965511	8.1926	0
2	-0.069188	-0.5871	0.279492
3	-0.031199	-0.2647	0.395986
4	0.039382	0.3342	0.369613
5	0.015143	0.1285	0.449059
6	-0.010318	-0.0876	0.465237
7	-0.022183	-0.1882	0.425615
8	-0.0238	-0.202	0.420262
9	-0.063411	-0.5381	0.296098
10	-0.04481	-0.3802	0.35245
11	-0.038341	-0.3253	0.372935
12	-0.057377	-0.4869	0.313917
13	-0.082626	-0.7011	0.242748
14	-0.03643	-0.3091	0.379064
15	-0.003907	-0.0332	0.486823
16	-0.024411	-0.2071	0.418244
17	-0.046061	-0.3908	0.348533
18	-0.043776	-0.3714	0.355697
19	-0.043467	-0.3688	0.35667
20	-0.045324	-0.3846	0.350839
21	-0.040636	-0.3448	0.365622
22	-0.044727	-0.3795	0.352708
23	-0.020808	-0.1766	0.430174
24	0.063309	0.5372	0.296394
25	-0.023928	-0.203	0.41984
26	-0.051288	-0.4352	0.332363
27	-0.048871	-0.4147	0.339804
28	-0.051537	-0.4373	0.3316
29	-0.046966	-0.3985	0.345714
30	0.002809	0.0238	0.490524
31	-0.022131	-0.1878	0.425785
32	0.020941	0.1777	0.429732
33	-0.024796	-0.2104	0.416974
34	-0.045178	-0.3834	0.351295
35	-0.026875	-0.228	0.410128
36	0.078744	0.6682	0.253081
37	-0.054347	-0.4612	0.32304
38	0.089655	0.7608	0.224645
39	-0.003788	-0.0321	0.487224
40	-0.037258	-0.3161	0.376403
41	0.002525	0.0214	0.491483
42	0.056598	0.4802	0.316253
43	0.004164	0.0353	0.485958
44	0.027266	0.2314	0.408845
45	-0.016331	-0.1386	0.445088
46	-0.031518	-0.2674	0.394948
47	-0.02925	-0.2482	0.402345
48	-0.039613	-0.3361	0.368876

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/15/t12423403655axpbow0y9mvxka/1xvts1242340302.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/15/t12423403655axpbow0y9mvxka/1xvts1242340302.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/15/t12423403655axpbow0y9mvxka/29au61242340302.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/15/t12423403655axpbow0y9mvxka/29au61242340302.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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