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autocorrelation mannen

*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, 16 Dec 2008 12:08:07 -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/16/t1229454530ogdw58zt8fi6wow.htm/, Retrieved Tue, 16 Dec 2008 20:08:50 +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/16/t1229454530ogdw58zt8fi6wow.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 «

7,5 7,6 7,9 7,9 8,1 8,2 8 7,5 6,8 6,5 6,6 7,6 8 8 7,7 7,5 7,6 7,7 7,9 7,8 7,5 7,5 7,1 7,5 7,5 7,6 7,7 7,7 7,9 8,1 8,2 8,2 8,1 7,9 7,3 6,9 6,6 6,7 6,9 7 7,1 7,2 7,1 6,9 7 6,8 6,4 6,7 6,7 6,4 6,3 6,2 6,5 6,8 6,8 6,5 6,3 5,9 5,9 6,4

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
0	1	7.746	0
1	0.884499	6.8513	0
2	0.67433	5.2233	1e-06
3	0.470391	3.6436	0.000281
4	0.350805	2.7173	0.004294
5	0.322174	2.4955	0.007672
6	0.330864	2.5629	0.006454
7	0.331414	2.5671	0.006383
8	0.305588	2.3671	0.010586
9	0.2865	2.2192	0.015132
10	0.286499	2.2192	0.015132
11	0.302891	2.3462	0.011144
12	0.320424	2.482	0.007941
13	0.286581	2.2198	0.01511
14	0.230005	1.7816	0.039937
15	0.157492	1.2199	0.113633
16	0.075902	0.5879	0.279391
17	0.001739	0.0135	0.49465
18	-0.046805	-0.3626	0.640894
19	-0.072618	-0.5625	0.712063
20	-0.095433	-0.7392	0.768671
21	-0.110601	-0.8567	0.802494
22	-0.142423	-1.1032	0.862828
23	-0.16979	-1.3152	0.903274
24	-0.178963	-1.3862	0.914598
25	-0.169529	-1.3132	0.902937
26	-0.135824	-1.0521	0.851511
27	-0.110962	-0.8595	0.803258
28	-0.115088	-0.8915	0.811879
29	-0.1398	-1.0829	0.858404
30	-0.182775	-1.4158	0.918993
31	-0.223274	-1.7295	0.955567
32	-0.250049	-1.9369	0.971263
33	-0.247987	-1.9209	0.97025
34	-0.226012	-1.7507	0.957444
35	-0.187356	-1.4513	0.924041

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
0	0.884499	6.8513	0
1	-0.496217	-3.8437	0.999852
2	0.102913	0.7972	0.214251
3	0.244537	1.8942	0.031512
4	0.09517	0.7372	0.231942
5	-0.070812	-0.5485	0.707311
6	0.005184	0.0402	0.48405
7	0.033351	0.2583	0.398517
8	0.174476	1.3515	0.090806
9	0.013159	0.1019	0.459577
10	0.003904	0.0302	0.487988
11	0.041629	0.3225	0.374114
12	-0.211127	-1.6354	0.946397
13	0.144735	1.1211	0.133354
14	-0.111733	-0.8655	0.804889
15	-0.19958	-1.5459	0.936311
16	-0.026302	-0.2037	0.580376
17	0.063548	0.4922	0.312172
18	-0.091931	-0.7121	0.760416
19	-0.121428	-0.9406	0.824653
20	0.00374	0.029	0.488494
21	-0.136963	-1.0609	0.853508
22	0.086832	0.6726	0.251893
23	-0.021442	-0.1661	0.565676
24	0.03611	0.2797	0.390332
25	0.062133	0.4813	0.316033
26	-0.063622	-0.4928	0.688028
27	0.009015	0.0698	0.472282
28	0.098498	0.763	0.224238
29	-0.20395	-1.5798	0.940293
30	0.035949	0.2785	0.39081
31	0.075954	0.5883	0.279258
32	-0.059201	-0.4586	0.6759
33	0.102258	0.7921	0.215716
34	0.018499	0.1433	0.443269
35	-0.177782	-1.3771	0.9132

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229454530ogdw58zt8fi6wow/1dfbv1229454482.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229454530ogdw58zt8fi6wow/1dfbv1229454482.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229454530ogdw58zt8fi6wow/2iojv1229454482.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229454530ogdw58zt8fi6wow/2iojv1229454482.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; 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 1:par1) {

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(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-1,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(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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