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Autocorrelation Function Geboorte Paper

*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: Fri, 12 Dec 2008 07:23:51 -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/12/t12290918749jkdu8k5wamp1zc.htm/, Retrieved Fri, 12 Dec 2008 15:24:36 +0100

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/12/t12290918749jkdu8k5wamp1zc.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},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

9700 9081 9084 9743 8587 9731 9563 9998 9437 10038 9918 9252 9737 9035 9133 9487 8700 9627 8947 9283 8829 9947 9628 9318 9605 8640 9214 9567 8547 9185 9470 9123 9278 10170 9434 9655 9429 8739 9552 9687 9019 9672 9206 9069 9788 10312 10105 9863 9656 9295 9946 9701 9049 10190 9706 9765 9893 9994 10433 10073 10112 9266 9820 10097 9115 10411 9678 10408 10153 10368 10581 10597 10680 9738 9556

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	0.298241	2.3672	0.010504
2	0.241499	1.9168	0.029898
3	0.236842	1.8799	0.032376
4	0.216987	1.7223	0.044962
5	0.379317	3.0107	0.001873
6	0.257202	2.0415	0.022698
7	0.102873	0.8165	0.208638
8	0.163762	1.2998	0.099199
9	0.301329	2.3917	0.009883
10	0.054684	0.434	0.33287
11	0.046357	0.3679	0.357073
12	-0.024242	-0.1924	0.424018
13	-0.003051	-0.0242	0.490378
14	0.248199	1.97	0.026618
15	-0.031922	-0.2534	0.400402
16	0.007453	0.0592	0.476508
17	0.065666	0.5212	0.302025
18	0.056605	0.4493	0.327382
19	-0.019127	-0.1518	0.439908
20	-0.084026	-0.6669	0.253624
21	-0.128593	-1.0207	0.155656
22	-0.048323	-0.3836	0.3513
23	0.148082	1.1754	0.122136
24	-0.095485	-0.7579	0.225671
25	-0.115085	-0.9135	0.182242
26	-0.15029	-1.1929	0.118693
27	-0.095233	-0.7559	0.226268
28	-0.062765	-0.4982	0.310045
29	-0.167223	-1.3273	0.094602
30	-0.162553	-1.2902	0.100845
31	-0.158008	-1.2541	0.107211
32	0.009615	0.0763	0.469704
33	-0.063636	-0.5051	0.307626
34	-0.163166	-1.2951	0.100008
35	-0.158183	-1.2555	0.106961
36	-0.174971	-1.3888	0.084894

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.298241	2.3672	0.010504
2	0.167445	1.3291	0.094311
3	0.14335	1.1378	0.129755
4	0.102926	0.817	0.208517
5	0.286782	2.2763	0.013119
6	0.069087	0.5484	0.292692
7	-0.104707	-0.8311	0.204531
8	0.025858	0.2052	0.419021
9	0.211568	1.6793	0.049027
10	-0.223441	-1.7735	0.040489
11	-0.128385	-1.019	0.156045
12	-0.069434	-0.5511	0.291752
13	-0.028397	-0.2254	0.411201
14	0.178454	1.4164	0.080786
15	-0.130635	-1.0369	0.151877
16	0.086138	0.6837	0.248336
17	0.121875	0.9674	0.168534
18	0.021945	0.1742	0.43114
19	-0.170374	-1.3523	0.090556
20	-0.100334	-0.7964	0.214402
21	-0.034755	-0.2759	0.391779
22	-0.075284	-0.5975	0.276141
23	0.095135	0.7551	0.226499
24	-0.017703	-0.1405	0.44435
25	-0.056253	-0.4465	0.328385
26	-0.070433	-0.559	0.289057
27	0.037523	0.2978	0.383407
28	-0.082451	-0.6544	0.257607
29	-0.042108	-0.3342	0.369661
30	-0.00838	-0.0665	0.473589
31	-0.093351	-0.741	0.230738
32	0.083088	0.6595	0.255992
33	0.106525	0.8455	0.200512
34	-0.077492	-0.6151	0.270361
35	-0.001226	-0.0097	0.496134
36	-0.052665	-0.418	0.338679

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t12290918749jkdu8k5wamp1zc/1lxat1229091830.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t12290918749jkdu8k5wamp1zc/1lxat1229091830.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t12290918749jkdu8k5wamp1zc/2mm821229091830.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t12290918749jkdu8k5wamp1zc/2mm821229091830.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = -0.1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = -0.1 ; 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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