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(P)ACF Transportmiddelen (2)

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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: Tue, 09 Dec 2008 10:06:01 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/09/t1228842451613noydb4ceiulx.htm/, Retrieved Tue, 09 Dec 2008 17:07:31 +0000

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/2008/Dec/09/t1228842451613noydb4ceiulx.htm/},
    year = {2008},
}
@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 = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
test

Post a new message

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

100.8 105.3 116.1 112.8 114.5 117.2 77.1 80.1 120.3 133.4 109.4 93.2 91.2 99.2 108.2 101.5 106.9 104.4 77.9 60 99.5 95 105.6 102.5 93.3 97.3 127 111.7 96.4 133 72.2 95.8 124.1 127.6 110.7 104.6 112.7 115.3 139.4 119 97.4 154 81.5 88.8 127.7 105.1 114.9 106.4 104.5 121.6 141.4 99 126.7 134.1 81.3 88.6 132.7 132.9 134.4 103.7 119.7 115 132.9 108.5 113.9 142 97.7 92.2 128.8 134.9 128.2 114.8 117.9

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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.172797	1.3496	0.091067
2	0.322175	2.5163	0.007254
3	0.235822	1.8418	0.035181
4	0.067869	0.5301	0.298991
5	0.22629	1.7674	0.041083
6	0.180719	1.4115	0.081595
7	-0.04869	-0.3803	0.352529
8	0.185897	1.4519	0.075826
9	-0.00341	-0.0266	0.489421
10	-0.12302	-0.9608	0.170219
11	-0.05795	-0.4526	0.326219
12	-0.45051	-3.5186	0.000413
13	-0.160682	-1.255	0.107139
14	-0.193099	-1.5081	0.068339
15	-0.151464	-1.183	0.120705
16	-0.162803	-1.2715	0.104183
17	-0.175489	-1.3706	0.087759
18	-0.208753	-1.6304	0.054084
19	-0.040571	-0.3169	0.376212
20	-0.189295	-1.4784	0.072218
21	-0.058258	-0.455	0.32536
22	-0.182996	-1.4292	0.079018
23	0.045779	0.3575	0.36096
24	0.024128	0.1884	0.425578
25	0.098154	0.7666	0.223137
26	0.095603	0.7467	0.229062
27	0.035644	0.2784	0.390827
28	0.029396	0.2296	0.409589
29	0.062724	0.4899	0.312985
30	0.046469	0.3629	0.358954
31	0.014583	0.1139	0.454845
32	0.060453	0.4722	0.31925
33	0.012659	0.0989	0.460784
34	0.170488	1.3316	0.09398
35	-0.041636	-0.3252	0.373077
36	-0.058792	-0.4592	0.323869

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.172797	1.3496	0.091067
2	0.301313	2.3533	0.010923
3	0.164228	1.2827	0.102232
4	-0.079227	-0.6188	0.269183
5	0.126504	0.988	0.163521
6	0.13861	1.0826	0.141627
7	-0.20291	-1.5848	0.059094
8	0.083131	0.6493	0.259299
9	0.012887	0.1006	0.46008
10	-0.232914	-1.8191	0.036901
11	-0.141952	-1.1087	0.135961
12	-0.398324	-3.111	0.001417
13	-0.044899	-0.3507	0.363521
14	-0.002937	-0.0229	0.490888
15	0.132763	1.0369	0.151935
16	-0.052134	-0.4072	0.342652
17	0.004064	0.0317	0.48739
18	0.068521	0.5352	0.297241
19	0.075562	0.5902	0.278632
20	0.005321	0.0416	0.483494
21	0.039092	0.3053	0.380582
22	-0.261002	-2.0385	0.022921
23	0.067573	0.5278	0.29979
24	-0.130264	-1.0174	0.156492
25	0.090161	0.7042	0.242
26	0.055171	0.4309	0.33403
27	0.012455	0.0973	0.461413
28	-0.124038	-0.9688	0.168244
29	-0.085508	-0.6678	0.253377
30	0.04615	0.3604	0.359881
31	-0.034139	-0.2666	0.395325
32	-0.09201	-0.7186	0.23756
33	0.016922	0.1322	0.447643
34	-0.016069	-0.1255	0.45027
35	0.00842	0.0658	0.473892
36	-0.160982	-1.2573	0.106717

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228842451613noydb4ceiulx/1lnaa1228842354.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228842451613noydb4ceiulx/1lnaa1228842354.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228842451613noydb4ceiulx/2cbpv1228842354.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228842451613noydb4ceiulx/2cbpv1228842354.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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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