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Autocorrelation - werklooshied austalie - Magali van de Wildebergh

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 29 May 2009 05:57:07 -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/29/t12435983344zr5zdggnf4dim1.htm/, Retrieved Fri, 29 May 2009 13:58:57 +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/29/t12435983344zr5zdggnf4dim1.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 «

428800 424800 403400 398400 393500 380500 398300 387300 370400 372800 444600 449900 458100 424800 420600 400100 393000 387100 377500 400400 391400 363600 431000 441700 448500 415600 408000 416600 409300 387600 394500 407600 378500 359600 435700 433800 427700 413300 379500 379300 353700 378200 380600 394000 374000 375000 437600 443900 488800 463900 440000 453800 451600 453400 461400 509100 540600 555100 677400 694600 750100 733900 709300 720500 693200 687200 686800 720900 653100 624700 690000 717800 736500 699900 675600 635600 632500 594900 604000 620800 578400 571200 627400 657700 674100 672800 615300 609100 607600 566900 572700 589200 534800 543100 591100 624800 665300 642600 608700 594500 563800 596100 597600 633100 591000 584200 655800 670700 699700 712900 652000 635100 603100 610100 602000 597600 585400 567100 620600 646200 644800 645200 644800 593000 569100 518800 538700 554600 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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.977652	14.2012	0
2	0.949615	13.794	0
3	0.923801	13.419	0
4	0.901117	13.0895	0
5	0.882722	12.8223	0
6	0.859934	12.4913	0
7	0.840388	12.2073	0
8	0.820984	11.9255	0
9	0.804767	11.6899	0
10	0.79327	11.5229	0
11	0.78752	11.4394	0
12	0.77487	11.2556	0
13	0.738063	10.721	0
14	0.693491	10.0735	0
15	0.651914	9.4696	0
16	0.614567	8.9271	0
17	0.582639	8.4633	0
18	0.550364	7.9945	0
19	0.520399	7.5592	0
20	0.493448	7.1677	0
21	0.472604	6.865	0
22	0.455002	6.6093	0
23	0.444763	6.4606	0
24	0.429491	6.2387	0
25	0.393288	5.7128	0
26	0.351458	5.1052	0
27	0.312536	4.5398	5e-06
28	0.281276	4.0858	3.1e-05
29	0.255654	3.7136	0.000131
30	0.229696	3.3365	0.000501
31	0.207887	3.0197	0.001421
32	0.187845	2.7286	0.003448
33	0.173709	2.5233	0.006182
34	0.164378	2.3877	0.008917
35	0.162062	2.3541	0.009743
36	0.154987	2.2513	0.012698
37	0.127012	1.8449	0.033223
38	0.093892	1.3639	0.087032
39	0.064458	0.9363	0.175094
40	0.041412	0.6015	0.274061
41	0.023406	0.34	0.367102
42	0.00554	0.0805	0.467969
43	-0.008782	-0.1276	0.449307
44	-0.018999	-0.276	0.391421
45	-0.02471	-0.3589	0.360001
46	-0.026341	-0.3826	0.351193
47	-0.022971	-0.3337	0.369477
48	-0.024464	-0.3554	0.361338

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.977652	14.2012	0
2	-0.140021	-2.0339	0.021605
3	0.053204	0.7728	0.220245
4	0.043492	0.6318	0.264113
5	0.073697	1.0705	0.142805
6	-0.129467	-1.8806	0.030701
7	0.108145	1.5709	0.058853
8	-0.037434	-0.5438	0.293592
9	0.077677	1.1283	0.130231
10	0.064672	0.9394	0.174296
11	0.147338	2.1402	0.016743
12	-0.225963	-3.2823	0.000602
13	-0.509034	-7.3941	0
14	-0.137961	-2.004	0.023174
15	0.068014	0.988	0.162153
16	-0.008662	-0.1258	0.449995
17	0.100009	1.4527	0.073895
18	0.094443	1.3719	0.085782
19	0.014825	0.2153	0.414856
20	-0.003191	-0.0463	0.481539
21	0.120354	1.7482	0.040938
22	-0.120926	-1.7566	0.040222
23	0.046634	0.6774	0.249447
24	-0.017133	-0.2489	0.401851
25	-0.239119	-3.4734	0.000312
26	-0.031882	-0.4631	0.321879
27	0.129679	1.8837	0.030491
28	0.084031	1.2206	0.111796
29	0.024411	0.3546	0.361623
30	0.051088	0.7421	0.229426
31	0.066094	0.9601	0.16906
32	-0.153672	-2.2322	0.013326
33	0.015286	0.222	0.412251
34	0.014642	0.2127	0.41589
35	-0.003309	-0.0481	0.480857
36	-0.05647	-0.8203	0.206495
37	-0.12571	-1.826	0.034629
38	-0.002879	-0.0418	0.483341
39	0.079387	1.1532	0.125073
40	0.012421	0.1804	0.428498
41	-0.012978	-0.1885	0.425324
42	0.013525	0.1965	0.422219
43	0.03874	0.5627	0.287107
44	0.00793	0.1152	0.454202
45	-0.009	-0.1307	0.448053
46	-0.034281	-0.498	0.309514
47	-0.070113	-1.0185	0.154815
48	-0.016871	-0.2451	0.403324

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/29/t12435983344zr5zdggnf4dim1/1cq3u1243598225.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/29/t12435983344zr5zdggnf4dim1/1cq3u1243598225.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/29/t12435983344zr5zdggnf4dim1/2d9qc1243598225.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/29/t12435983344zr5zdggnf4dim1/2d9qc1243598225.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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