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GuyVanHasseltpartialautocorrelationGedifferentieerd

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 18 Aug 2009 07:12:32 -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/18/t1250601184dzbyu286edf7agi.htm/, Retrieved Tue, 18 Aug 2009 15:13:06 +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/18/t1250601184dzbyu286edf7agi.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 «

0.8800 1.0300 0.6900 0.7100 1.1100 1.0500 1.0300 0.6500 0.5900 0.7700 0.9000 1.2600 0.9600 0.8300 0.8700 0.7900 1.1200 0.8800 0.6400 0.6400 0.5800 0.5000 0.9900 1.0700 0.8900 0.8900 0.8300 0.8600 0.9000 1.1200 0.8800 0.8800 0.8900 0.8200 0.8800 0.8100 0.8800 0.7600 1.1300 0.8500 1.4500 1.5500 0.7100 0.8100 0.8300 0.7300 0.9000 0.9400 1.7800 0.8800 1.0400 0.8300 1.4100 0.9600 1.3000 0.8300 1.4000 0.9100 0.8700 0.9700 1.1900 1.2300 1.3300 1.1700 1.0900 0.6300 0.8900 0.6300 1.5100 0.9700 0.8400 0.9200 0.9500 0.7300 1.0200 0.7900 1.2700 0.9500 0.7500 0.5200 0.9500 0.8200 0.7600 1.2400 0.9400 1.0400 1.8100 0.9500 1.3900 0.8600 1.1500 1.5100 0.6000 0.7200 1.1000 1.6200 1.8400 1.7300 1.3600 1.0700 1.0000 1.4900 0.9000 1.4300 1.5400 0.8100 1.6100 1.3000 1.4000 1.0300 0.7900 1.1100 1.1500 1.0300 1.5900 1.1100 1.3300 0.9300 1.0700 1.1400 1.1200 0.8600 0.8200 1.0200 1.0700 1.3100 0.9800 0.8900 etc...

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	-0.478094	-5.472	0
2	0.102476	1.1729	0.121483
3	-0.12443	-1.4242	0.078388
4	-0.082956	-0.9495	0.172063
5	0.06021	0.6891	0.245979
6	0.03732	0.4272	0.334985
7	-0.091143	-1.0432	0.149393
8	0.210039	2.404	0.008808
9	-0.245355	-2.8082	0.002872
10	0.173739	1.9885	0.024418
11	-0.130342	-1.4918	0.069073
12	0.1718	1.9663	0.025687
13	-0.044009	-0.5037	0.307656
14	-0.084706	-0.9695	0.167041
15	0.041872	0.4792	0.316281
16	0.017305	0.1981	0.421653
17	-0.144717	-1.6564	0.050021
18	0.248578	2.8451	0.002577
19	-0.259091	-2.9654	0.001796
20	0.216892	2.4824	0.007157
21	-0.103943	-1.1897	0.118161
22	-0.016608	-0.1901	0.424766
23	0.059057	0.6759	0.250134
24	-0.006139	-0.0703	0.472043
25	-0.017324	-0.1983	0.421565
26	-0.0428	-0.4899	0.312524
27	-0.067865	-0.7767	0.219355
28	0.185679	2.1252	0.017724
29	-0.097159	-1.112	0.134079
30	0.124956	1.4302	0.077522
31	-0.178281	-2.0405	0.021654
32	0.09723	1.1128	0.133906
33	-0.116677	-1.3354	0.092027
34	0.052734	0.6036	0.273587
35	0.042055	0.4813	0.315539
36	0.016803	0.1923	0.423895
37	-0.04354	-0.4983	0.30954
38	0.057122	0.6538	0.257197
39	-0.083693	-0.9579	0.169937
40	0.150648	1.7242	0.043511
41	-0.194275	-2.2236	0.013945
42	0.048413	0.5541	0.290224
43	0.088233	1.0099	0.15721
44	-0.111179	-1.2725	0.102725
45	0.082071	0.9393	0.174642
46	-0.049223	-0.5634	0.287069
47	0.016605	0.19	0.424783
48	0.077611	0.8883	0.188005
49	-0.118013	-1.3507	0.089556
50	0.103573	1.1854	0.118994
51	-0.053625	-0.6138	0.270216
52	0.037345	0.4274	0.334883
53	-0.052861	-0.605	0.273106
54	-0.03994	-0.4571	0.324164
55	0.034703	0.3972	0.345934
56	0.034929	0.3998	0.344984
57	-0.002057	-0.0235	0.490624
58	0.056302	0.6444	0.26022
59	-0.102931	-1.1781	0.120447
60	0.10219	1.1696	0.122139

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.478094	-5.472	0
2	-0.163461	-1.8709	0.031795
3	-0.193893	-2.2192	0.014097
4	-0.305859	-3.5007	0.000317
5	-0.22214	-2.5425	0.006085
6	-0.116142	-1.3293	0.093028
7	-0.264418	-3.0264	0.00149
8	-0.003068	-0.0351	0.48602
9	-0.214301	-2.4528	0.007745
10	-0.105654	-1.2093	0.11437
11	-0.180023	-2.0605	0.020667
12	0.049095	0.5619	0.287567
13	0.084533	0.9675	0.167532
14	-0.040525	-0.4638	0.321769
15	0.062097	0.7107	0.239256
16	0.133454	1.5274	0.06453
17	-0.061131	-0.6997	0.242683
18	0.149099	1.7065	0.045141
19	-0.036865	-0.4219	0.336881
20	0.024542	0.2809	0.389615
21	0.031372	0.3591	0.360062
22	-0.041177	-0.4713	0.319108
23	-0.033554	-0.384	0.350783
24	-0.003309	-0.0379	0.484923
25	0.018081	0.2069	0.418186
26	-0.180384	-2.0646	0.020468
27	-0.192741	-2.206	0.014563
28	-0.074676	-0.8547	0.197137
29	-0.03021	-0.3458	0.365035
30	0.042146	0.4824	0.315171
31	-0.1022	-1.1697	0.122117
32	0.064028	0.7328	0.232485
33	-0.125749	-1.4393	0.076231
34	-0.079673	-0.9119	0.181749
35	0.005689	0.0651	0.474091
36	-0.121089	-1.3859	0.084062
37	-0.037837	-0.4331	0.332839
38	-0.013457	-0.154	0.438914
39	0.022791	0.2609	0.397308
40	0.123348	1.4118	0.080193
41	-0.053331	-0.6104	0.271329
42	-0.12146	-1.3902	0.083417
43	0.098739	1.1301	0.130246
44	-0.050451	-0.5774	0.282319
45	-0.01998	-0.2287	0.409737
46	-0.057198	-0.6547	0.256916
47	-0.022709	-0.2599	0.397669
48	-0.032358	-0.3703	0.35586
49	-0.016286	-0.1864	0.426207
50	-0.048644	-0.5568	0.289323
51	0.028506	0.3263	0.372373
52	0.071483	0.8182	0.207375
53	-0.019785	-0.2264	0.410604
54	0.057198	0.6547	0.256918
55	-0.08454	-0.9676	0.167512
56	0.03353	0.3838	0.350887
57	0.069558	0.7961	0.213699
58	-0.049725	-0.5691	0.285121
59	-0.021519	-0.2463	0.402918
60	0.058513	0.6697	0.252109

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/18/t1250601184dzbyu286edf7agi/1sb9x1250601150.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/18/t1250601184dzbyu286edf7agi/1sb9x1250601150.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/18/t1250601184dzbyu286edf7agi/2b29i1250601150.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/18/t1250601184dzbyu286edf7agi/2b29i1250601150.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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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