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autocorrelation totaal

*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 12:11:22 -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/t1229454722i198mxs30w4f6h0.htm/, Retrieved Tue, 16 Dec 2008 20:12:03 +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/t1229454722i198mxs30w4f6h0.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 «

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

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
0	1	7.746	0
1	0.877728	6.7989	0
2	0.659085	5.1052	2e-06
3	0.478904	3.7096	0.000228
4	0.422233	3.2706	0.00089
5	0.454813	3.523	0.000411
6	0.493275	3.8209	0.000159
7	0.469368	3.6357	0.000289
8	0.395621	3.0645	0.001632
9	0.324675	2.5149	0.007302
10	0.301856	2.3382	0.011365
11	0.307512	2.382	0.010204
12	0.298149	2.3095	0.012189
13	0.219371	1.6992	0.047227
14	0.11438	0.886	0.189582
15	0.046548	0.3606	0.359847
16	0.032994	0.2556	0.399577
17	0.036571	0.2833	0.38897
18	0.036948	0.2862	0.387857
19	0.001782	0.0138	0.494518
20	-0.058929	-0.4565	0.675147
21	-0.108693	-0.8419	0.798416
22	-0.132611	-1.0272	0.845776
23	-0.131631	-1.0196	0.843997
24	-0.135112	-1.0466	0.850252
25	-0.162811	-1.2611	0.893929
26	-0.197622	-1.5308	0.934459
27	-0.21499	-1.6653	0.949467
28	-0.207459	-1.607	0.943344
29	-0.195382	-1.5134	0.932289
30	-0.189737	-1.4697	0.926566
31	-0.202515	-1.5687	0.939008
32	-0.236011	-1.8281	0.963749
33	-0.258539	-2.0026	0.975129
34	-0.254252	-1.9694	0.973237
35	-0.222803	-1.7258	0.955237

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
0	0.877728	6.7989	0
1	-0.484865	-3.7557	0.999804
2	0.259047	2.0066	0.024654
3	0.321278	2.4886	0.007809
4	0.025893	0.2006	0.420858
5	-0.027891	-0.216	0.585157
6	-0.062625	-0.4851	0.68531
7	0.062674	0.4855	0.314555
8	0.053748	0.4163	0.339326
9	0.048552	0.3761	0.35409
10	-0.087467	-0.6775	0.749659
11	-0.066383	-0.5142	0.6955
12	-0.228148	-1.7672	0.958862
13	0.097971	0.7589	0.225449
14	0.059163	0.4583	0.324205
15	-0.146083	-1.1316	0.868837
16	-0.113757	-0.8812	0.809125
17	0.143555	1.112	0.135293
18	-0.091364	-0.7077	0.759064
19	-0.083774	-0.6489	0.740564
20	0.055814	0.4323	0.333525
21	-0.084384	-0.6536	0.742078
22	0.042259	0.3273	0.372278
23	-0.065654	-0.5086	0.693536
24	-0.010485	-0.0812	0.53223
25	0.039794	0.3082	0.379484
26	-0.039209	-0.3037	0.618802
27	-0.01037	-0.0803	0.531878
28	0.030414	0.2356	0.407277
29	-0.032427	-0.2512	0.598732
30	-0.059789	-0.4631	0.677525
31	-0.028011	-0.217	0.585516
32	0.041924	0.3247	0.373253
33	-0.020722	-0.1605	0.56349
34	0.034523	0.2674	0.395033
35	-0.053789	-0.4167	0.660789

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229454722i198mxs30w4f6h0/1fv8p1229454681.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229454722i198mxs30w4f6h0/1fv8p1229454681.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229454722i198mxs30w4f6h0/2p26o1229454681.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229454722i198mxs30w4f6h0/2p26o1229454681.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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