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paper auto D,d 1,1 werk 20

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 18 Dec 2008 07:18:44 -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/18/t122961020679cpytgxehvz8m1.htm/, Retrieved Thu, 18 Dec 2008 15:23:29 +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/18/t122961020679cpytgxehvz8m1.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:

paper auto D,d 1,1 werk 20

Dataseries X:

» Textbox « » Textfile « » CSV «

106,2 101,6 99 96,4 94 93,2 103 103,6 103,2 102,2 100 99,6 98,8 95,2 91,6 88,6 86 84,8 95,2 96,2 94 92 90,2 90 88,8 85,8 84,2 80 77,8 76,8 86,4 89,2 86,2 84,6 83,2 83,2 82,6 79,8 77,2 74,8 73 73 83,6 85,6 84,8 84,2 83,4 84,6 84,6 83,8 81,2 79,6 78 78,2 88,8 92 91 91,2 90,4 91,8 92,2 90,2 88,6 87,8 86 87,2 97,6 101,2 100,4 100,2 100,2 103 104,2 104 102,4 101,8 101 102,2 114 118,4 118,8 117,2 117,2 118,4 118,8 117,2 114,4 112,6 111 110,8 120,2 124,4 123,4 121,2 119 119,8 120 118,4 115 113,4 111 111 121,6 126,2 125,8 124,8 122 123,2 124,2 120,8 116,8 114,8 111 109 119,8 124 121,6 118 115,8 116 115,8 114,4 112 110,2 107,4 108,2 117,6 121,4 119,8 115,6 112,6 113,2 112,2 110,8 108 105,2 102,4 101 110,8 116,8 113,8 108 104,4 105,2 105,4 103,2 100,6 97,8 95,8 95 104,8 110,4 106,4 102,2 98,4 98,4 98,6 96,2 92,4 91,4 88,4 87,8 97,6 104,2 100,2 97 92,8 92 93,4 92 89,6 88,6 87,2 86,2 96,8 102 102,6 100,6 94,2 94,2 95,2 95 94 92,2 91 91,2 103,4 105 104,6 103,8 101,8 102,4 103,8 103,4 102 101,8 100,2 101,4 113,8 116 115,6 113 109,4 111 112,4 112,2 111 108,8 107,4 108,6 118,8 122,2 122,6 122,2 118,8 119 118,2 117,8 116,8 114,6 113,4 113,8 124,2 125,8 125,6 122,4 119 119,4 118,6 118 116 114,8 114,6 114,6 124 125,2 124 117,6 113,2 111,4 112,2 109,8 106,4 105,2 102,2 99,8 111 113 108,4 105,4 102 102,8

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	2 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.069242	1.0704	0.142749
2	0.049176	0.7602	0.223929
3	0.137531	2.1262	0.017257
4	0.118274	1.8285	0.034362
5	0.111978	1.7311	0.042359
6	0.09047	1.3986	0.08161
7	0.049498	0.7652	0.222446
8	0.039474	0.6103	0.271137
9	0.107927	1.6685	0.048262
10	-0.038917	-0.6016	0.273993
11	-0.025012	-0.3867	0.349671
12	-0.245314	-3.7925	9.4e-05
13	0.051459	0.7955	0.213546
14	0.116088	1.7947	0.036984
15	-0.003485	-0.0539	0.478539
16	-0.015191	-0.2348	0.407266
17	-0.026685	-0.4125	0.340157
18	0.098396	1.5212	0.064771
19	0.000327	0.0051	0.497984
20	0.094144	1.4554	0.073432
21	0.085773	1.326	0.093049
22	0.031442	0.4861	0.313678
23	0.235241	3.6367	0.000169
24	-0.025726	-0.3977	0.3456
25	-0.043736	-0.6761	0.249803
26	-0.017149	-0.2651	0.395573
27	0.075491	1.1671	0.122175
28	0.022781	0.3522	0.362505
29	0.124963	1.9319	0.027279
30	-0.09176	-1.4186	0.078662
31	-0.033711	-0.5212	0.301367
32	0.070054	1.083	0.139949
33	-0.114562	-1.7711	0.038911
34	-0.050255	-0.7769	0.218986
35	-0.127385	-1.9693	0.025036
36	-0.022155	-0.3425	0.366132
37	0.048011	0.7422	0.229338
38	0.03098	0.4789	0.316211
39	-0.205291	-3.1737	0.000851
40	-0.09565	-1.4787	0.070268
41	-0.016926	-0.2617	0.396903
42	-0.039781	-0.615	0.26957
43	0.025496	0.3942	0.346905
44	-0.136762	-2.1143	0.017763
45	-0.04835	-0.7475	0.227758
46	-0.010499	-0.1623	0.435597
47	-0.018097	-0.2798	0.389945
48	-0.084698	-1.3094	0.095828
49	-0.110726	-1.7118	0.044116
50	-0.0105	-0.1623	0.435595
51	0.033332	0.5153	0.303408
52	0.022923	0.3544	0.361685
53	-0.182851	-2.8268	0.00255
54	-0.021026	-0.3251	0.372711
55	-0.059875	-0.9256	0.177784
56	-0.036119	-0.5584	0.288553
57	-0.048391	-0.7481	0.227564
58	-0.045577	-0.7046	0.240872
59	-0.068913	-1.0654	0.143893
60	-0.031727	-0.4905	0.312121

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.069242	1.0704	0.142749
2	0.044596	0.6894	0.245611
3	0.132085	2.042	0.021125
4	0.101524	1.5695	0.058925
5	0.091921	1.4211	0.0783
6	0.058229	0.9002	0.184461
7	0.010016	0.1548	0.438536
8	-0.003467	-0.0536	0.478653
9	0.06918	1.0695	0.142961
10	-0.08156	-1.2609	0.104288
11	-0.050848	-0.7861	0.216295
12	-0.292267	-4.5183	5e-06
13	0.064257	0.9934	0.160763
14	0.136013	2.1027	0.018269
15	0.071402	1.1038	0.135385
16	0.033023	0.5105	0.30508
17	-0.015958	-0.2467	0.402673
18	0.113197	1.75	0.040703
19	-0.006075	-0.0939	0.462628
20	0.098046	1.5158	0.065452
21	0.099939	1.545	0.061832
22	-0.063556	-0.9826	0.163411
23	0.181743	2.8097	0.002685
24	-0.201396	-3.1135	0.001037
25	-0.049054	-0.7584	0.224492
26	-0.052093	-0.8053	0.210713
27	0.01795	0.2775	0.39082
28	0.017124	0.2647	0.395724
29	0.098023	1.5154	0.065496
30	-0.049575	-0.7664	0.222092
31	-0.028107	-0.4345	0.332152
32	0.071656	1.1078	0.134538
33	-0.041313	-0.6387	0.261819
34	-0.083036	-1.2837	0.100245
35	-0.053943	-0.8339	0.202576
36	-0.138168	-2.136	0.016847
37	0.045926	0.71	0.239198
38	0.056	0.8657	0.193751
39	-0.140028	-2.1648	0.015698
40	-0.055574	-0.8592	0.195558
41	-0.01728	-0.2671	0.394793
42	-0.009463	-0.1463	0.441909
43	0.047742	0.7381	0.230596
44	-0.074961	-1.1589	0.123833
45	-0.029882	-0.462	0.322265
46	-0.07614	-1.1771	0.120165
47	0.030207	0.467	0.320469
48	-0.023883	-0.3692	0.356144
49	-0.071187	-1.1005	0.136105
50	0.003085	0.0477	0.481
51	-0.011594	-0.1792	0.428948
52	-0.004417	-0.0683	0.472807
53	-0.065211	-1.0081	0.157204
54	0.055187	0.8532	0.197211
55	-0.050381	-0.7789	0.218415
56	-0.014461	-0.2236	0.411647
57	0.017037	0.2634	0.396243
58	-0.032896	-0.5086	0.305767
59	-0.018232	-0.2819	0.389149
60	-0.006013	-0.093	0.46301

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t122961020679cpytgxehvz8m1/105tn1229609922.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t122961020679cpytgxehvz8m1/105tn1229609922.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t122961020679cpytgxehvz8m1/2f6tc1229609922.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t122961020679cpytgxehvz8m1/2f6tc1229609922.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; 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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