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Paper autocorrelation functie metaal

*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 08:10:41 -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/t12290947553q4920moqhk0ptn.htm/, Retrieved Fri, 12 Dec 2008 16:12:35 +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/t12290947553q4920moqhk0ptn.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 «

103.3 101.2 107.7 110.4 101.9 115.9 89.9 88.6 117.2 123.9 100 103.6 94.1 98.7 119.5 112.7 104.4 124.7 89.1 97 121.6 118.8 114 111.5 97.2 102.5 113.4 109.8 104.9 126.1 80 96.8 117.2 112.3 117.3 111.1 102.2 104.3 122.9 107.6 121.3 131.5 89 104.4 128.9 135.9 133.3 121.3 120.5 120.4 137.9 126.1 133.2 151.1 105 119 140.4 156.6 137.1 122.7

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	0.388843	3.012	0.001898
2	0.122874	0.9518	0.172514
3	0.256717	1.9885	0.02566
4	0.197898	1.5329	0.065277
5	0.361759	2.8022	0.003412
6	0.536016	4.152	5.3e-05
7	0.281128	2.1776	0.016689
8	0.10788	0.8356	0.203337
9	0.138212	1.0706	0.144321
10	-0.065876	-0.5103	0.305866
11	0.153839	1.1916	0.119049
12	0.54384	4.2126	4.3e-05
13	0.065364	0.5063	0.307249
14	-0.100695	-0.78	0.219235
15	-0.04643	-0.3596	0.360188
16	-0.112853	-0.8742	0.19276
17	0.059383	0.46	0.323597
18	0.191238	1.4813	0.071876
19	0.009989	0.0774	0.46929
20	-0.084556	-0.655	0.257496
21	-0.078477	-0.6079	0.27278
22	-0.239374	-1.8542	0.034315
23	-0.015091	-0.1169	0.453666
24	0.245711	1.9033	0.030903
25	-0.077235	-0.5983	0.275959
26	-0.136982	-1.0611	0.146459
27	-0.14627	-1.133	0.13086
28	-0.1698	-1.3153	0.096713
29	-0.026999	-0.2091	0.417525
30	0.068917	0.5338	0.297717
31	-0.045563	-0.3529	0.36269
32	-0.089863	-0.6961	0.244534
33	-0.13916	-1.0779	0.14269
34	-0.245497	-1.9016	0.031014
35	-0.057256	-0.4435	0.3295
36	0.108014	0.8367	0.203048
37	-0.092694	-0.718	0.237769
38	-0.16528	-1.2803	0.102692
39	-0.181762	-1.4079	0.082158
40	-0.19292	-1.4944	0.070162
41	-0.104683	-0.8109	0.210323
42	-0.048465	-0.3754	0.35434
43	-0.11724	-0.9081	0.183719
44	-0.143578	-1.1121	0.135255
45	-0.194501	-1.5066	0.06858
46	-0.235567	-1.8247	0.036513
47	-0.123266	-0.9548	0.171752
48	-0.021447	-0.1661	0.434307

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.388843	3.012	0.001898
2	-0.03337	-0.2585	0.398459
3	0.259856	2.0128	0.024313
4	0.010631	0.0823	0.467323
5	0.354881	2.7489	0.003944
6	0.340505	2.6375	0.00531
7	0.017653	0.1367	0.445848
8	-0.059595	-0.4616	0.323011
9	-0.078195	-0.6057	0.2735
10	-0.412277	-3.1935	0.00112
11	0.022204	0.172	0.432012
12	0.405598	3.1418	0.001304
13	-0.328409	-2.5438	0.006779
14	-0.000973	-0.0075	0.497005
15	-0.137548	-1.0654	0.145472
16	-0.016851	-0.1305	0.448292
17	-0.0377	-0.292	0.385638
18	-0.043766	-0.339	0.367892
19	0.149039	1.1545	0.126446
20	0.053606	0.4152	0.339727
21	0.001372	0.0106	0.495779
22	0.054345	0.421	0.337646
23	-0.027403	-0.2123	0.41631
24	-0.045057	-0.349	0.364153
25	-0.040285	-0.312	0.378043
26	-0.00514	-0.0398	0.484188
27	-0.067674	-0.5242	0.301036
28	0.035938	0.2784	0.39084
29	-0.088192	-0.6831	0.248577
30	0.015772	0.1222	0.451586
31	-0.023946	-0.1855	0.426737
32	8e-04	0.0062	0.497538
33	-0.065816	-0.5098	0.306028
34	0.02371	0.1837	0.427452
35	-0.057187	-0.443	0.32969
36	0.031885	0.247	0.402884
37	-0.016275	-0.1261	0.450051
38	-0.1265	-0.9799	0.165544
39	0.06733	0.5215	0.301957
40	-0.100918	-0.7817	0.21873
41	-0.04252	-0.3294	0.371517
42	-0.055243	-0.4279	0.335124
43	-0.068844	-0.5333	0.29791
44	0.012386	0.0959	0.461945
45	0.001761	0.0136	0.49458
46	0.081626	0.6323	0.264805
47	-0.021647	-0.1677	0.433701
48	-0.024152	-0.1871	0.426114

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t12290947553q4920moqhk0ptn/1tc571229094636.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t12290947553q4920moqhk0ptn/1tc571229094636.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t12290947553q4920moqhk0ptn/213kz1229094636.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t12290947553q4920moqhk0ptn/213kz1229094636.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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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