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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 17:43:09 -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/t1249515876436i4j5sxf8i80n.htm/, Retrieved Thu, 06 Aug 2009 01:44:39 +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/t1249515876436i4j5sxf8i80n.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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.363826	3.1297	0.001252
2	0.167805	1.4435	0.076548
3	0.036642	0.3152	0.376745
4	0.148448	1.277	0.102797
5	-0.225367	-1.9387	0.028177
6	-0.121064	-1.0414	0.150534
7	-0.043506	-0.3742	0.354645
8	-0.038546	-0.3316	0.370571
9	-0.175708	-1.5115	0.06746
10	-0.040772	-0.3507	0.363391
11	0.129621	1.115	0.134221
12	-0.025768	-0.2217	0.412593
13	-0.070435	-0.6059	0.273217
14	-0.058254	-0.5011	0.308886
15	-0.065136	-0.5603	0.288476
16	-0.180231	-1.5504	0.062655
17	-0.116368	-1.001	0.160036
18	-0.099668	-0.8574	0.197002
19	-0.034133	-0.2936	0.384935
20	-0.044201	-0.3802	0.352432
21	-0.028167	-0.2423	0.404607
22	0.033504	0.2882	0.386996
23	0.014905	0.1282	0.449164
24	0.078248	0.6731	0.251486
25	0.119863	1.0311	0.152926
26	0.071682	0.6166	0.269684
27	0.01479	0.1272	0.449553
28	0.007061	0.0607	0.475866
29	-0.059515	-0.512	0.305098
30	-0.078115	-0.672	0.251849
31	0.076697	0.6598	0.255725
32	0.063623	0.5473	0.292908
33	0.025295	0.2176	0.41417
34	-0.047495	-0.4086	0.342018
35	0.154977	1.3332	0.093285
36	0.136219	1.1718	0.122518
37	0.120807	1.0392	0.151044
38	-0.037588	-0.3233	0.373675
39	0.034795	0.2993	0.382767
40	-0.139	-1.1957	0.117811
41	-0.121486	-1.0451	0.149697
42	-0.067002	-0.5764	0.283057
43	0.011901	0.1024	0.459367
44	-0.01724	-0.1483	0.441252
45	-0.01828	-0.1573	0.437737
46	0.021335	0.1835	0.427443
47	0.015278	0.1314	0.447898
48	0.008554	0.0736	0.470769

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.363826	3.1297	0.001252
2	0.040842	0.3513	0.363167
3	-0.042457	-0.3652	0.357991
4	0.163893	1.4099	0.081385
5	-0.383915	-3.3026	0.000739
6	0.09012	0.7752	0.220334
7	0.063795	0.5488	0.292401
8	-0.144696	-1.2447	0.108582
9	-0.005888	-0.0507	0.47987
10	-0.013873	-0.1193	0.452664
11	0.16358	1.4072	0.081782
12	-0.161737	-1.3913	0.084149
13	-0.012711	-0.1093	0.456613
14	-0.065545	-0.5638	0.287285
15	-0.155034	-1.3337	0.093203
16	0.053747	0.4623	0.322595
17	-0.099106	-0.8525	0.198333
18	-0.07948	-0.6837	0.248145
19	0.0745	0.6409	0.261793
20	-0.038787	-0.3337	0.369791
21	-0.089785	-0.7724	0.221181
22	0.053251	0.4581	0.324118
23	-0.071388	-0.6141	0.270517
24	0.096281	0.8282	0.205098
25	0.097309	0.8371	0.202621
26	-0.129758	-1.1162	0.133969
27	0.059882	0.5151	0.304002
28	-0.071875	-0.6183	0.269142
29	-0.078002	-0.671	0.252155
30	0.001233	0.0106	0.495783
31	0.160823	1.3835	0.085343
32	-0.043083	-0.3706	0.355992
33	-0.051588	-0.4438	0.329251
34	0.002858	0.0246	0.490225
35	0.12265	1.0551	0.147412
36	0.067978	0.5848	0.28024
37	0.07287	0.6268	0.266344
38	-0.174375	-1.5	0.068931
39	-0.019314	-0.1661	0.434247
40	0.028758	0.2474	0.402646
41	-0.04044	-0.3479	0.364458
42	0.083117	0.715	0.238428
43	-0.04725	-0.4065	0.342789
44	0.052815	0.4543	0.325461
45	0.001652	0.0142	0.494348
46	-0.047083	-0.405	0.343314
47	0.010595	0.0911	0.463813
48	-0.018326	-0.1576	0.437582

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/06/t1249515876436i4j5sxf8i80n/1c7rf1249515787.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/06/t1249515876436i4j5sxf8i80n/1c7rf1249515787.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/06/t1249515876436i4j5sxf8i80n/20cne1249515787.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/06/t1249515876436i4j5sxf8i80n/20cne1249515787.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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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