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testje

*The author of this computation has been verified*

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 11:47:11 -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/t1228848577r061f6lki8runyf.htm/, Retrieved Tue, 09 Dec 2008 18:49:39 +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/t1228848577r061f6lki8runyf.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

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

1091075 1514814 1748997 2424406 2747942 2377332 5210706 3882821 2197469 2271155 1618917 1391579 1143249 1445785 1870242 2597788 2436231 2684184 4705109 4331347 2369192 2283947 1749607 1598601 1221234 1497778 1823567 2489908 2532837 2456065 4627018 4276894 2314950 2238987 1652753 1561968 1115878 1596714 1910242 2286450 2772441 2394538 4715128 4402420 2325392 2306683 1725282 1541370 1168142 1457835 1816380 2446552 2575774 2537852 4728097 4372685 2302672 2346402 1689915 1576183

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	-0.753732	-5.1673	2e-06
2	0.326046	2.2353	0.015095
3	-0.008366	-0.0574	0.477253
4	-0.146745	-1.006	0.159776
5	0.150078	1.0289	0.1544
6	-0.032846	-0.2252	0.411408
7	-0.096447	-0.6612	0.255854
8	0.073588	0.5045	0.308137
9	0.041012	0.2812	0.389908
10	-0.134291	-0.9206	0.180967
11	0.169312	1.1607	0.125804
12	-0.174256	-1.1946	0.119111
13	0.123491	0.8466	0.200751
14	-0.032682	-0.2241	0.411842
15	-0.027896	-0.1912	0.424579
16	0.035712	0.2448	0.403827
17	-0.060907	-0.4176	0.339086
18	0.11214	0.7688	0.222932
19	-0.091984	-0.6306	0.265675
20	-0.017806	-0.1221	0.45168
21	0.168116	1.1525	0.127463
22	-0.285466	-1.9571	0.028148
23	0.319426	2.1899	0.016766
24	-0.214081	-1.4677	0.074428
25	0.048871	0.335	0.369542
26	0.059087	0.4051	0.343628
27	-0.085247	-0.5844	0.280864
28	0.036348	0.2492	0.40215
29	0.047572	0.3261	0.372884
30	-0.122354	-0.8388	0.20291
31	0.101746	0.6975	0.244452
32	0.019844	0.136	0.446183
33	-0.155339	-1.065	0.14617
34	0.239884	1.6446	0.053366
35	-0.229077	-1.5705	0.061507
36	0.13972	0.9579	0.171515

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.753732	-5.1673	2e-06
2	-0.560484	-3.8425	0.000182
3	-0.159782	-1.0954	0.13946
4	-0.116917	-0.8015	0.213425
5	-0.116523	-0.7988	0.2142
6	0.105878	0.7259	0.235762
7	0.022644	0.1552	0.438648
8	-0.272289	-1.8667	0.034093
9	-0.115621	-0.7927	0.21598
10	-0.082931	-0.5685	0.286184
11	-0.019717	-0.1352	0.446525
12	-0.138016	-0.9462	0.174446
13	-0.106841	-0.7325	0.23376
14	-0.071695	-0.4915	0.312674
15	-0.087446	-0.5995	0.27586
16	-0.08239	-0.5648	0.287435
17	-0.230039	-1.5771	0.060744
18	-0.093192	-0.6389	0.262997
19	0.048508	0.3326	0.370474
20	-0.227225	-1.5578	0.062997
21	0.074261	0.5091	0.306529
22	-0.120736	-0.8277	0.206005
23	-0.087336	-0.5987	0.276108
24	0.020024	0.1373	0.4457
25	0.082674	0.5668	0.286779
26	0.020991	0.1439	0.443095
27	-0.073099	-0.5011	0.309305
28	-0.070276	-0.4818	0.316096
29	0.009366	0.0642	0.474538
30	-0.077442	-0.5309	0.298989
31	-0.075921	-0.5205	0.302585
32	0.044988	0.3084	0.379563
33	-0.023249	-0.1594	0.437024
34	0.05884	0.4034	0.344246
35	0.084602	0.58	0.282342
36	0.076592	0.5251	0.300995

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228848577r061f6lki8runyf/14c361228848429.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228848577r061f6lki8runyf/14c361228848429.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228848577r061f6lki8runyf/29cky1228848429.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228848577r061f6lki8runyf/29cky1228848429.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; 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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