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Autocorrelation2 - 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 06:01:18 -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/t1243598667dib28j5d1ao4qkn.htm/, Retrieved Fri, 29 May 2009 14:04:30 +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/29/t1243598667dib28j5d1ao4qkn.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	0.15118	2.1908	0.014783
2	-0.082845	-1.2005	0.115642
3	-0.099714	-1.445	0.074975
4	-0.115658	-1.676	0.047609
5	0.077143	1.1179	0.132441
6	-0.101711	-1.4739	0.070999
7	-0.002528	-0.0366	0.485404
8	-0.082731	-1.1989	0.115962
9	-0.109459	-1.5862	0.057097
10	-0.095627	-1.3858	0.083644
11	0.156139	2.2627	0.01234
12	0.658566	9.5435	0
13	0.17653	2.5582	0.005613
14	-0.098369	-1.4255	0.077749
15	-0.134628	-1.9509	0.026197
16	-0.164671	-2.3863	0.008953
17	-0.023188	-0.336	0.368595
18	-0.093907	-1.3608	0.087511
19	-0.055859	-0.8095	0.209581
20	-0.157768	-2.2863	0.011618
21	-0.092459	-1.3399	0.09087
22	-0.150235	-2.1771	0.015294
23	0.128065	1.8558	0.032439
24	0.564535	8.1809	0
25	0.130802	1.8955	0.0297
26	-0.094591	-1.3708	0.085957
27	-0.203339	-2.9467	0.001788
28	-0.157675	-2.2849	0.011658
29	-0.032855	-0.4761	0.317246
30	-0.132722	-1.9233	0.027896
31	-0.027693	-0.4013	0.344298
32	-0.171425	-2.4842	0.006883
33	-0.113542	-1.6454	0.050693
34	-0.133832	-1.9394	0.026896
35	0.113214	1.6406	0.051186
36	0.55525	8.0463	0
37	0.115168	1.6689	0.04831
38	-0.122335	-1.7728	0.038856
39	-0.175465	-2.5427	0.00586
40	-0.15318	-2.2198	0.013751
41	-0.002786	-0.0404	0.483919
42	-0.114221	-1.6552	0.049686
43	-0.08801	-1.2754	0.10179
44	-0.123694	-1.7925	0.037246
45	-0.071635	-1.0381	0.150213
46	-0.081474	-1.1807	0.119536
47	0.106734	1.5467	0.061717
48	0.476059	6.8988	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.15118	2.1908	0.014783
2	-0.108172	-1.5676	0.059244
3	-0.071948	-1.0426	0.149159
4	-0.100773	-1.4603	0.072845
5	0.09973	1.4452	0.074943
6	-0.16468	-2.3864	0.00895
7	0.044701	0.6478	0.258918
8	-0.125067	-1.8124	0.035677
9	-0.072691	-1.0534	0.146685
10	-0.139465	-2.021	0.022272
11	0.218357	3.1643	0.000893
12	0.602766	8.7349	0
13	0.077213	1.1189	0.132227
14	-0.078384	-1.1359	0.128649
15	-0.050647	-0.7339	0.231901
16	-0.138154	-2.002	0.023283
17	-0.201238	-2.9162	0.001964
18	-0.050643	-0.7339	0.231916
19	-0.015332	-0.2222	0.412195
20	-0.182692	-2.6475	0.004362
21	0.051209	0.7421	0.229432
22	-0.108268	-1.5689	0.059083
23	-0.023012	-0.3335	0.369556
24	0.206573	2.9935	0.001544
25	0.001714	0.0248	0.490106
26	-0.083193	-1.2056	0.114668
27	-0.086904	-1.2594	0.10465
28	0.020728	0.3004	0.382094
29	-0.067414	-0.9769	0.164867
30	-0.090115	-1.3059	0.09651
31	0.119953	1.7383	0.041813
32	-0.072237	-1.0468	0.148195
33	-0.086397	-1.252	0.105978
34	-0.008168	-0.1184	0.452945
35	0.017409	0.2523	0.400537
36	0.093645	1.357	0.088112
37	-0.020425	-0.296	0.383768
38	-0.080543	-1.1672	0.122232
39	-0.029137	-0.4222	0.336641
40	-0.010086	-0.1462	0.441968
41	0.032293	0.468	0.320146
42	-0.048351	-0.7007	0.24214
43	-0.107747	-1.5614	0.059967
44	0.000147	0.0021	0.499153
45	0.048078	0.6967	0.243377
46	0.030866	0.4473	0.32756
47	-0.039366	-0.5705	0.284483
48	0.006266	0.0908	0.463866

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/29/t1243598667dib28j5d1ao4qkn/1gn8e1243598476.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/29/t1243598667dib28j5d1ao4qkn/1gn8e1243598476.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/29/t1243598667dib28j5d1ao4qkn/2woph1243598476.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/29/t1243598667dib28j5d1ao4qkn/2woph1243598476.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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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