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datareeks-diesel-seda hovhannesian

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 05 Aug 2009 17:39:36 -0600

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Aug/06/t12495156230631178zrgnj9bw.htm/, Retrieved Thu, 06 Aug 2009 01:40:23 +0200

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/2009/Aug/06/t12495156230631178zrgnj9bw.htm/},
    year = {2009},
}
@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 = {2009},
    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 «

0.9 0.92 0.92 0.95 1.06 1.17 1.23 1.26 1.37 1.37 1.31 1.21 1.2 1.11 1.11 1.11 1.17 1.08 1.05 1.03 1.04 1.02 1.01 1.01 0.98 0.96 0.94 0.99 0.99 0.98 1.02 1.06 1.06 1.06 1.06 1.06 1.04 1.02 1.01 1 1.04 1.09 1.08 1.06 1.06 1.03 0.97 0.98 0.93 0.88 0.86 0.9 0.91 0.93 0.89 0.88 0.83 0.81 0.83 0.8 0.76 0.73 0.74 0.74 0.75 0.74 0.74 0.73 0.71 0.71 0.7 0.75 0.81 0.78 0.75

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	0.954914	8.2698	0
2	0.891177	7.7178	0
3	0.820302	7.104	0
4	0.741148	6.4185	0
5	0.650635	5.6347	0
6	0.578812	5.0127	2e-06
7	0.516153	4.47	1.4e-05
8	0.459011	3.9752	8e-05
9	0.408736	3.5398	0.000346
10	0.368722	3.1932	0.001029
11	0.329597	2.8544	0.002786
12	0.277094	2.3997	0.009446
13	0.22532	1.9513	0.027376
14	0.173085	1.499	0.069041
15	0.127514	1.1043	0.136495
16	0.090223	0.7814	0.218528
17	0.069384	0.6009	0.274865
18	0.049907	0.4322	0.333414
19	0.037567	0.3253	0.372915
20	0.032152	0.2784	0.390718
21	0.030799	0.2667	0.395207
22	0.034913	0.3024	0.38161
23	0.034133	0.2956	0.384177
24	0.031114	0.2695	0.39416
25	0.01737	0.1504	0.440415
26	-0.002416	-0.0209	0.491682
27	-0.021735	-0.1882	0.425603
28	-0.034498	-0.2988	0.382974
29	-0.048927	-0.4237	0.336491
30	-0.053151	-0.4603	0.323316
31	-0.04764	-0.4126	0.340549
32	-0.045517	-0.3942	0.347281
33	-0.045114	-0.3907	0.348564
34	-0.04518	-0.3913	0.348352
35	-0.048108	-0.4166	0.339069
36	-0.065409	-0.5665	0.286386
37	-0.090887	-0.7871	0.21685
38	-0.123552	-1.07	0.144027
39	-0.151999	-1.3163	0.096033
40	-0.180706	-1.565	0.060901
41	-0.199364	-1.7265	0.044183
42	-0.208754	-1.8079	0.037318
43	-0.214446	-1.8572	0.033608
44	-0.221698	-1.92	0.029333
45	-0.232594	-2.0143	0.023781
46	-0.248173	-2.1492	0.017421
47	-0.266196	-2.3053	0.011958
48	-0.284897	-2.4673	0.007948

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.954914	8.2698	0
2	-0.234661	-2.0322	0.022836
3	-0.075755	-0.6561	0.256897
4	-0.115118	-0.997	0.160997
5	-0.15021	-1.3009	0.098644
6	0.226523	1.9617	0.026751
7	-0.011564	-0.1001	0.460246
8	-0.005669	-0.0491	0.480488
9	0.003628	0.0314	0.487509
10	-0.018546	-0.1606	0.436414
11	-0.023842	-0.2065	0.418487
12	-0.209797	-1.8169	0.036614
13	0.030853	0.2672	0.395026
14	-0.042025	-0.364	0.35846
15	0.1069	0.9258	0.178765
16	0.09219	0.7984	0.213582
17	0.043076	0.373	0.355082
18	-0.087691	-0.7594	0.224988
19	-0.010784	-0.0934	0.462922
20	0.021587	0.1869	0.426103
21	-0.010796	-0.0935	0.46288
22	0.12995	1.1254	0.132005
23	-0.108346	-0.9383	0.17555
24	0.008012	0.0694	0.472434
25	-0.125075	-1.0832	0.1411
26	-0.082739	-0.7165	0.237941
27	0.075494	0.6538	0.257622
28	0.007548	0.0654	0.474029
29	0.040552	0.3512	0.363216
30	0.078691	0.6815	0.248832
31	0.047637	0.4125	0.340557
32	-0.142952	-1.238	0.109789
33	-0.050241	-0.4351	0.332371
34	-0.058085	-0.503	0.30821
35	0.014282	0.1237	0.450946
36	-0.024738	-0.2142	0.415473
37	-0.056914	-0.4929	0.311766
38	-0.05822	-0.5042	0.3078
39	0.000181	0.0016	0.499377
40	-0.006517	-0.0564	0.477571
41	0.002078	0.018	0.492844
42	0.03912	0.3388	0.367859
43	-0.019731	-0.1709	0.432389
44	-0.064964	-0.5626	0.287691
45	-0.107959	-0.935	0.176407
46	-0.0823	-0.7127	0.239109
47	0.022485	0.1947	0.423068
48	0.020761	0.1798	0.428898

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/06/t12495156230631178zrgnj9bw/1fa2x1249515572.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/06/t12495156230631178zrgnj9bw/1fa2x1249515572.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/06/t12495156230631178zrgnj9bw/28uyr1249515572.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/06/t12495156230631178zrgnj9bw/28uyr1249515572.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; 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 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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