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autocorelation - tv - volkaerts dennis

*Unverified author*
R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Wed, 10 Dec 2008 14:31:46 -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/10/t1228944813fzarmg720suo4zn.htm/, Retrieved Wed, 10 Dec 2008 21:33:33 +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/10/t1228944813fzarmg720suo4zn.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 «
93,89 93,36 92,25 91,07 90,93 90,68 90,65 90,6 90,02 89,74 89,31 89,16 89,15 88,98 88,25 87,36 87,13 86,93 86,93 86,93 86,98 86,16 85,88 85,91 85,91 85,6 84,9 83,67 83,41 83,33 83,32 83,3 82,73 82,2 81,7 81,52 81,52 81,55 81,89 81,8 81,84 81,77 81,77 82,98 83,13 82,84 82,8 82,8 82,8 82,98 81,91 81,64 81,4 81,21 81,21 81,23 81,01 80,55 80,5 80,54 80,54 80,72 80,63 80,36 79,88 79,66 79,66 79,13 78,81 78,67 78,43 78,13 78,13 78,07 76,94 74,97 75 75,1 75,1 75,02 73,87 73,18 72,55 72,42 72,4 72,45 71,42 70,89 70,42 69,57 69,57 69,44 68,25 66,86 66,5 66,46
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time7 seconds
R Server'Sir Ronald Aylmer Fisher' @ 193.190.124.24


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.9472438.68160
20.8801918.06710
30.8125087.44680
40.7492996.86740
50.6815826.24680
60.6064935.55860
70.5337734.89212e-06
80.4699994.30762.2e-05
90.4074913.73470.000171
100.3301173.02560.001646
110.2539152.32720.011182
120.185511.70020.046394
130.1500191.37490.086402
140.1241131.13750.129279
150.0983680.90160.184936
160.0699940.64150.261471
170.0509160.46670.320978
180.0316690.29030.38617
190.0033860.0310.487658
20-0.034868-0.31960.375043
21-0.084608-0.77540.220126
22-0.117386-1.07590.142535
23-0.141747-1.29910.098727
24-0.176254-1.61540.054987
25-0.220494-2.02090.02324
26-0.280202-2.56810.005998
27-0.333172-3.05360.001514
28-0.375359-3.44020.000454
29-0.409749-3.75540.000159
30-0.438782-4.02156.3e-05
31-0.465522-4.26662.6e-05
32-0.477426-4.37571.7e-05
33-0.475076-4.35411.9e-05
34-0.47525-4.35571.9e-05
35-0.484584-4.44131.4e-05
36-0.48131-4.41131.5e-05
37-0.466457-4.27522.5e-05
38-0.434145-3.9797.3e-05
39-0.412291-3.77870.000147
40-0.395997-3.62940.000244
41-0.381896-3.50010.000373
42-0.354905-3.25280.000823
43-0.323593-2.96580.001965
44-0.30233-2.77090.003441
45-0.279725-2.56370.006068
46-0.251119-2.30150.011918
47-0.207903-1.90550.030071
48-0.167306-1.53340.064469


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.9472438.68160
2-0.166249-1.52370.06567
3-0.023821-0.21830.413854
40.0065590.06010.476103
5-0.092905-0.85150.198459
6-0.101482-0.93010.177493
7-0.003406-0.03120.487586
80.0307560.28190.389362
9-0.057003-0.52240.30137
10-0.189114-1.73330.043359
110.0013930.01280.494921
120.0061670.05650.477531
130.24632.25740.01329
140.0018180.01670.493375
15-0.027705-0.25390.400088
16-0.060934-0.55850.289004
170.0273150.25030.401466
18-0.087339-0.80050.212847
19-0.093159-0.85380.197818
20-0.089318-0.81860.207663
21-0.165313-1.51510.066748
220.0615750.56430.287011
230.0225920.20710.418234
24-0.134152-1.22950.111154
25-0.022332-0.20470.41916
26-0.223632-2.04960.021761
270.0255660.23430.407654
280.0402450.36890.356583
290.0936180.8580.19666
300.0077010.07060.471948
31-0.164948-1.51180.067172
320.0238790.21890.413647
330.0295320.27070.393656
34-0.015352-0.14070.444221
35-0.071254-0.65310.257753
360.0180640.16560.434449
37-0.026795-0.24560.403302
380.0683480.62640.266369
39-0.112012-1.02660.153776
40-0.040889-0.37480.354394
41-0.052645-0.48250.315353
420.0712680.65320.257712
430.0656240.60150.274578
440.031160.28560.387948
450.0430890.39490.346954
460.0119980.110.456351
47-0.029324-0.26880.394387
480.0320210.29350.384942
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228944813fzarmg720suo4zn/1jfw61228944697.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228944813fzarmg720suo4zn/1jfw61228944697.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228944813fzarmg720suo4zn/2czfp1228944697.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228944813fzarmg720suo4zn/2czfp1228944697.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;
 
Parameters (R input):
par1 = 48 ; 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')
 




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