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datareeks-personenwagen-seda hovhannesian

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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 18:44:14 -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/t1242348688ln6idn3uoquw3c0.htm/, Retrieved Fri, 15 May 2009 02:51:30 +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/t1242348688ln6idn3uoquw3c0.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 «

5,44 5,44 5,44 5,44 5,44 5,49 5,49 5,49 5,49 5,49 5,49 5,60 5,60 5,60 5,60 5,60 5,60 5,60 5,67 5,67 5,67 5,67 5,67 5,67 5,67 5,67 5,67 5,82 5,82 5,95 5,95 5,95 5,95 5,95 5,95 6,02 6,02 6,05 6,05 6,05 6,12 6,12 6,12 6,12 6,12 6,12 6,12 6,12 6,17 6,17 6,17 6,17 6,17 6,28 6,27 6,28 6,28 6,27 6,27 6,28 6,59 6,59 6,59 6,59 6,59 6,63 6,63 6,63 6,63 6,63 6,63 6,63 6,63 6,63 6,63 6,63 6,63 6,63 6,63 6,63 6,63 6,63 6,79 6,79 6,79 6,81 6,80 6,80 6,85 6,85 6,85 6,85 6,85 6,85 6,86 6,86 6,88 6,88 6,88 6,91 6,91 6,91 6,91 6,99 6,99 6,99 7,02 7,02 7,05 7,05 7,05 7,05 7,10 7,10 7,10 7,10 7,12 7,13 7,18

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	0.974731	10.6331	0
2	0.950613	10.37	0
3	0.926041	10.1019	0
4	0.901775	9.8372	0
5	0.877441	9.5718	0
6	0.85357	9.3113	0
7	0.828972	9.043	0
8	0.804297	8.7738	0
9	0.77907	8.4986	0
10	0.753372	8.2183	0
11	0.72746	7.9357	0
12	0.70451	7.6853	0
13	0.680866	7.4274	0
14	0.657142	7.1686	0
15	0.633296	6.9084	0
16	0.609198	6.6456	0
17	0.586451	6.3974	0
18	0.563214	6.1439	0
19	0.541041	5.9021	0
20	0.518574	5.657	0
21	0.49613	5.4121	0
22	0.473085	5.1607	0
23	0.448226	4.8896	2e-06
24	0.423461	4.6194	5e-06
25	0.397622	4.3375	1.5e-05
26	0.37122	4.0495	4.6e-05
27	0.344166	3.7544	0.000135
28	0.320992	3.5016	0.000326
29	0.297351	3.2437	0.000766
30	0.27632	3.0143	0.001574
31	0.254705	2.7785	0.003174
32	0.233134	2.5432	0.006133
33	0.211418	2.3063	0.011412
34	0.188097	2.0519	0.021187
35	0.164829	1.7981	0.037351
36	0.142851	1.5583	0.060907
37	0.12033	1.3126	0.095914
38	0.10229	1.1158	0.133368
39	0.083997	0.9163	0.180683
40	0.065457	0.714	0.238297
41	0.048663	0.5309	0.298256
42	0.031776	0.3466	0.364737
43	0.013598	0.1483	0.441163
44	-0.005439	-0.0593	0.476393
45	-0.02454	-0.2677	0.394697
46	-0.043812	-0.4779	0.316786
47	-0.063389	-0.6915	0.2453
48	-0.08344	-0.9102	0.182274

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.974731	10.6331	0
2	0.010294	0.1123	0.45539
3	-0.020971	-0.2288	0.40972
4	-0.007018	-0.0766	0.46955
5	-0.01376	-0.1501	0.440467
6	-0.003859	-0.0421	0.483245
7	-0.026975	-0.2943	0.384536
8	-0.015821	-0.1726	0.431637
9	-0.024487	-0.2671	0.394917
10	-0.024259	-0.2646	0.395874
11	-0.019156	-0.209	0.417416
12	0.044111	0.4812	0.315629
13	-0.0247	-0.2694	0.394028
14	-0.0174	-0.1898	0.424888
15	-0.015888	-0.1733	0.431348
16	-0.019726	-0.2152	0.414997
17	0.013381	0.146	0.442098
18	-0.024591	-0.2683	0.394485
19	0.005867	0.064	0.474536
20	-0.020129	-0.2196	0.413285
21	-0.016117	-0.1758	0.43037
22	-0.026424	-0.2882	0.386829
23	-0.050253	-0.5482	0.292294
24	-0.017249	-0.1882	0.425535
25	-0.039936	-0.4357	0.331939
26	-0.031635	-0.3451	0.365314
27	-0.033877	-0.3695	0.356188
28	0.060827	0.6635	0.254132
29	-0.024381	-0.266	0.395365
30	0.036046	0.3932	0.347432
31	-0.025276	-0.2757	0.391617
32	-0.016919	-0.1846	0.426943
33	-0.017945	-0.1958	0.422569
34	-0.057563	-0.6279	0.265622
35	-0.015946	-0.174	0.431098
36	0.000386	0.0042	0.498324
37	-0.031066	-0.3389	0.367643
38	0.067715	0.7387	0.230776
39	-0.011829	-0.129	0.448772
40	-0.025086	-0.2737	0.39241
41	0.02288	0.2496	0.401666
42	-0.021278	-0.2321	0.408423
43	-0.044594	-0.4865	0.313767
44	-0.035032	-0.3822	0.351515
45	-0.02926	-0.3192	0.37507
46	-0.016077	-0.1754	0.430542
47	-0.028077	-0.3063	0.379963
48	-0.030162	-0.329	0.371358

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/15/t1242348688ln6idn3uoquw3c0/17pez1242348252.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/15/t1242348688ln6idn3uoquw3c0/17pez1242348252.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/15/t1242348688ln6idn3uoquw3c0/2j3e51242348252.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/15/t1242348688ln6idn3uoquw3c0/2j3e51242348252.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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