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ACF/PACF elektriciteit

*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, 19 Dec 2008 08:23:40 -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/19/t1229700260wgj6jkpsewjqp1d.htm/, Retrieved Fri, 19 Dec 2008 16:24:20 +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/19/t1229700260wgj6jkpsewjqp1d.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 «

97.57 97.74 97.92 98.19 98.23 98.41 98.59 98.71 99.14 99.62 100.18 100.66 101.19 101.75 102.2 102.87 98.81 97.6 96.68 95.96 98.89 99.05 99.2 99.11 99.19 99.77 100.70 100.78 100.53 101.01 100.92 101.10 103.11 102.99 102.31 102.61 103.68 104.72 107.66 108.87 108.12 107.61 106.42 105.61 105.71 105.49 105.57 105.18 106.09 106.34 108.47 116.87 121.08 123.27 124.18 125.60 126.57 127.18 128.04 128.55 129.67

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.233547	-1.7939	0.038976
2	-0.155931	-1.1977	0.117906
3	0.056808	0.4364	0.332086
4	-0.255271	-1.9608	0.027316
5	0.070173	0.539	0.295953
6	0.040084	0.3079	0.379626
7	0.086371	0.6634	0.254821
8	-0.130318	-1.001	0.16046
9	0.001601	0.0123	0.495114
10	-0.031148	-0.2393	0.40587
11	-0.152927	-1.1747	0.122426
12	0.183622	1.4104	0.081832
13	0.065734	0.5049	0.30775
14	-0.013345	-0.1025	0.459351
15	0.035452	0.2723	0.393166
16	-0.071992	-0.553	0.291182
17	-0.040215	-0.3089	0.379243
18	0.026801	0.2059	0.418804
19	0.136195	1.0461	0.149883
20	-0.093239	-0.7162	0.238351
21	-0.005733	-0.044	0.482512
22	-0.093611	-0.719	0.237476
23	-0.010034	-0.0771	0.469414
24	0.068255	0.5243	0.301026
25	-0.005701	-0.0438	0.48261
26	0.090517	0.6953	0.244806
27	-0.053363	-0.4099	0.341687
28	-0.01517	-0.1165	0.453816
29	-0.021729	-0.1669	0.434008
30	-0.087704	-0.6737	0.251576
31	0.276931	2.1271	0.018799
32	-0.11604	-0.8913	0.188188
33	0.040774	0.3132	0.377621
34	0.002452	0.0188	0.492519
35	-0.262356	-2.0152	0.024224
36	0.10447	0.8025	0.212756
37	0.011277	0.0866	0.465634
38	0.068307	0.5247	0.300887
39	-0.047626	-0.3658	0.357903
40	0.021081	0.1619	0.43596
41	0.020419	0.1568	0.437953
42	-0.010185	-0.0782	0.468952
43	0.037001	0.2842	0.388623
44	-0.036562	-0.2808	0.38991
45	0.002104	0.0162	0.49358
46	0.000351	0.0027	0.498928
47	-0.011734	-0.0901	0.464244
48	0.007813	0.06	0.476174
49	-0.001127	-0.0087	0.496562
50	0.00265	0.0204	0.491915
51	-0.002486	-0.0191	0.492416
52	0.002137	0.0164	0.493478
53	0.000308	0.0024	0.499061
54	-0.000944	-0.0073	0.497119
55	0.001259	0.0097	0.496159
56	-0.0012	-0.0092	0.49634
57	0.000317	0.0024	0.499033
58	-2.5e-05	-2e-04	0.499924
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.233547	-1.7939	0.038976
2	-0.222618	-1.71	0.046264
3	-0.044188	-0.3394	0.36775
4	-0.318329	-2.4451	0.008742
5	-0.108066	-0.8301	0.204922
6	-0.111856	-0.8592	0.196859
7	0.064259	0.4936	0.311717
8	-0.206984	-1.5899	0.058604
9	-0.067882	-0.5214	0.302016
10	-0.16693	-1.2822	0.102391
11	-0.248949	-1.9122	0.030354
12	-0.118572	-0.9108	0.183063
13	-0.047965	-0.3684	0.356937
14	-0.070634	-0.5425	0.294742
15	-0.05626	-0.4321	0.333608
16	-0.08564	-0.6578	0.256609
17	-0.090546	-0.6955	0.244738
18	-0.077125	-0.5924	0.277919
19	0.060174	0.4622	0.322818
20	-0.079602	-0.6114	0.27163
21	-0.022215	-0.1706	0.432547
22	-0.198167	-1.5221	0.066657
23	-0.016399	-0.126	0.450095
24	-0.082275	-0.632	0.264925
25	-0.058008	-0.4456	0.328769
26	-0.037028	-0.2844	0.388542
27	-0.032506	-0.2497	0.401851
28	-0.05997	-0.4606	0.323376
29	-0.04987	-0.3831	0.351527
30	-0.176978	-1.3594	0.089598
31	0.191725	1.4727	0.073078
32	-0.088439	-0.6793	0.249799
33	0.145574	1.1182	0.134012
34	0.024422	0.1876	0.42592
35	-0.044693	-0.3433	0.366298
36	-0.05978	-0.4592	0.323897
37	0.025065	0.1925	0.423994
38	-0.034938	-0.2684	0.394677
39	-0.07141	-0.5485	0.292706
40	-0.063677	-0.4891	0.313287
41	0.046569	0.3577	0.36092
42	0.102533	0.7876	0.21705
43	-0.029588	-0.2273	0.410501
44	-0.036928	-0.2836	0.388836
45	-0.047177	-0.3624	0.359183
46	-0.114896	-0.8825	0.190534
47	-0.029325	-0.2253	0.411281
48	-0.023746	-0.1824	0.427949
49	0.005606	0.0431	0.4829
50	-0.103917	-0.7982	0.213978
51	0.019659	0.151	0.440243
52	-0.071535	-0.5495	0.292379
53	0.075055	0.5765	0.283233
54	-0.066073	-0.5075	0.306842
55	-0.001623	-0.0125	0.495046
56	-0.071794	-0.5515	0.2917
57	-0.094079	-0.7226	0.236379
58	-0.009879	-0.0759	0.469884
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229700260wgj6jkpsewjqp1d/11ciw1229700215.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229700260wgj6jkpsewjqp1d/11ciw1229700215.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229700260wgj6jkpsewjqp1d/2x0x61229700215.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229700260wgj6jkpsewjqp1d/2x0x61229700215.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 2 ; 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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