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autocorr duur cons D

*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: Sun, 21 Dec 2008 10:18:56 -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/21/t1229880037zhwelvpqu8vnmgb.htm/, Retrieved Sun, 21 Dec 2008 18:20:39 +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/21/t1229880037zhwelvpqu8vnmgb.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 «

72.5 72.0 98.8 75.2 81.2 88.0 54.6 68.6 101.5 93.4 84.5 91.4 64.5 64.5 117.3 73.5 79.7 102.6 57.9 73.1 102.4 82.3 89.1 84.7 81.4 67.5 113.9 83.8 73.9 103.9 67.9 62.5 125.4 79.1 106.3 96.2 94.3 85.6 117.4 88.5 124.2 119.3 76.8 70.6 122.1 109.5 119.9 102.3 79.6 78.2 103.6 77.8 99.1 105.7 84.1 88.7 108.0 98.1 101.0 82.0

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
1	0.255207	1.7681	0.041698
2	0.213941	1.4822	0.072408
3	0.162114	1.1232	0.133478
4	0.04234	0.2933	0.385263
5	0.303015	2.0994	0.020535
6	0.149761	1.0376	0.152333
7	-0.000816	-0.0057	0.497757
8	0.175789	1.2179	0.114607
9	-0.0367	-0.2543	0.400188
10	0.109515	0.7587	0.225858
11	-0.169249	-1.1726	0.123373
12	-0.316027	-2.1895	0.016727
13	-0.087719	-0.6077	0.273114
14	-0.215145	-1.4906	0.071309
15	-0.00547	-0.0379	0.484963
16	-0.180327	-1.2493	0.108799
17	-0.232418	-1.6102	0.056952
18	-0.123647	-0.8567	0.197947
19	-0.231012	-1.6005	0.058025
20	-0.075486	-0.523	0.301697
21	-0.015392	-0.1066	0.457761
22	-0.104754	-0.7258	0.235756
23	0.039073	0.2707	0.393888
24	-0.16719	-1.1583	0.126231
25	-0.069542	-0.4818	0.316067
26	0.025845	0.1791	0.429322
27	-0.049704	-0.3444	0.36604
28	0.006247	0.0433	0.482829
29	-0.01062	-0.0736	0.470826
30	0.021717	0.1505	0.440517
31	0.081246	0.5629	0.288064
32	-0.03134	-0.2171	0.414514
33	-0.043099	-0.2986	0.383268
34	-0.100105	-0.6935	0.245654
35	-0.019245	-0.1333	0.447244
36	0.043479	0.3012	0.382271
37	0.057041	0.3952	0.347226
38	0.042825	0.2967	0.383989
39	-0.013861	-0.096	0.461946
40	0.031628	0.2191	0.41374
41	0.023254	0.1611	0.436343
42	-0.061915	-0.429	0.334935
43	-0.00339	-0.0235	0.49068
44	0.007647	0.053	0.478984
45	6.7e-05	5e-04	0.499815
46	0.047376	0.3282	0.372082
47	0.025045	0.1735	0.431486
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.255207	1.7681	0.041698
2	0.159178	1.1028	0.137802
3	0.08295	0.5747	0.284091
4	-0.046107	-0.3194	0.375391
5	0.290573	2.0132	0.024863
6	0.022828	0.1582	0.437498
7	-0.146867	-1.0175	0.157002
8	0.151421	1.0491	0.149698
9	-0.085794	-0.5944	0.277519
10	0.032348	0.2241	0.411811
11	-0.319777	-2.2155	0.015752
12	-0.233615	-1.6185	0.056051
13	0.020919	0.1449	0.442686
14	-0.127659	-0.8844	0.190432
15	0.109706	0.7601	0.225467
16	-0.171624	-1.189	0.120136
17	0.103332	0.7159	0.238759
18	-0.070991	-0.4918	0.312537
19	-0.053565	-0.3711	0.356095
20	0.115073	0.7973	0.214616
21	0.099016	0.686	0.248006
22	0.101944	0.7063	0.241712
23	-0.151113	-1.0469	0.150185
24	-0.136629	-0.9466	0.174293
25	-0.086441	-0.5989	0.276034
26	0.041966	0.2908	0.386247
27	-0.010279	-0.0712	0.471761
28	-0.213469	-1.479	0.072842
29	0.088597	0.6138	0.271118
30	-0.05552	-0.3847	0.351098
31	-0.002074	-0.0144	0.494297
32	-0.037977	-0.2631	0.396796
33	0.004506	0.0312	0.487611
34	0.017935	0.1243	0.450815
35	-0.109148	-0.7562	0.226613
36	-0.042113	-0.2918	0.38586
37	0.096839	0.6709	0.252743
38	0.100026	0.693	0.245824
39	-0.033016	-0.2287	0.41002
40	-0.031649	-0.2193	0.413686
41	-0.005664	-0.0392	0.48443
42	-0.127424	-0.8828	0.190867
43	-0.040938	-0.2836	0.388958
44	-0.0185	-0.1282	0.449274
45	-0.057742	-0.4	0.345448
46	-0.039044	-0.2705	0.393966
47	-0.01334	-0.0924	0.463375
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
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/21/t1229880037zhwelvpqu8vnmgb/1mn3n1229879935.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229880037zhwelvpqu8vnmgb/1mn3n1229879935.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229880037zhwelvpqu8vnmgb/2iy441229879935.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229880037zhwelvpqu8vnmgb/2iy441229879935.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; 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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