Home » date » 2009 » Aug » 18 »

dennis volkaerts - opg6 - autocor trend

*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 11:26:33 -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/t1250616421bvrf0k4kbwskhx3.htm/, Retrieved Tue, 18 Aug 2009 19:27:04 +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/t1250616421bvrf0k4kbwskhx3.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 «

17.23 17.36 17.39 17.29 17.28 17.4 17.51 17.54 17.64 17.65 17.5 17.37 17.56 17.49 17.61 17.79 17.83 17.56 17.95 18.09 18.38 18.38 18.44 18.84 19.01 19.06 19.06 18.97 18.98 19.41 19.55 19.64 19.71 19.48 19.48 19.41 19.25 19.14 19.21 19.3 19.53 19.14 19.16 19.24 19.38 19.27 19.27 19.07 19.15 19.24 19.36 19.57 19.59 19.36 19.46 19.65 19.46 19.51 19.64 19.64 19.69 19.28 19.67 19.65 19.6 19.53 19.64 19.67 19.81 19.73 19.87 19.97 20.12 19.94 20.31 20.13 20.22 20.38 20.44 20.34 20.14 19.97 19.82 19.98 20.12

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	-0.109993	-1.0081	0.15815
2	-0.033361	-0.3058	0.380274
3	-0.094641	-0.8674	0.194097
4	0.068846	0.631	0.264882
5	-0.010905	-0.0999	0.460312
6	0.133754	1.2259	0.111835
7	-0.105842	-0.9701	0.167402
8	0.115603	1.0595	0.1462
9	-0.045295	-0.4151	0.339551
10	-0.058564	-0.5367	0.296431
11	0.074698	0.6846	0.247735
12	-0.001048	-0.0096	0.496179
13	-0.24828	-2.2755	0.01271
14	0.087428	0.8013	0.212611
15	-0.037997	-0.3482	0.364264
16	0.001162	0.0107	0.495763
17	-0.025059	-0.2297	0.409452
18	-0.176619	-1.6187	0.054626
19	0.031686	0.2904	0.386111
20	0.214749	1.9682	0.026172
21	-0.174991	-1.6038	0.056254
22	0.034668	0.3177	0.375735
23	-0.051981	-0.4764	0.317508
24	0.049618	0.4548	0.325228
25	-0.00887	-0.0813	0.467699
26	0.081571	0.7476	0.228392
27	-0.161204	-1.4775	0.071646
28	0.203341	1.8637	0.032932
29	-0.140883	-1.2912	0.100085
30	-0.0089	-0.0816	0.467592
31	-0.021381	-0.196	0.422559
32	0.022785	0.2088	0.417545
33	-0.0603	-0.5527	0.290982
34	0.102446	0.9389	0.175228
35	-0.062159	-0.5697	0.285201
36	0.000761	0.007	0.497227
37	-0.012455	-0.1141	0.454696
38	-0.082308	-0.7544	0.226369
39	0.113755	1.0426	0.150067
40	0.011717	0.1074	0.457367
41	-0.172226	-1.5785	0.059107
42	0.024825	0.2275	0.410283
43	0.026259	0.2407	0.405199
44	0.094157	0.863	0.195306
45	0.023116	0.2119	0.416365
46	-0.009372	-0.0859	0.465878
47	0.024814	0.2274	0.410325
48	0.093623	0.8581	0.196649

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.109993	-1.0081	0.15815
2	-0.046016	-0.4217	0.337145
3	-0.105031	-0.9626	0.169248
4	0.04514	0.4137	0.340069
5	-0.00677	-0.062	0.475337
6	0.131194	1.2024	0.116291
7	-0.068704	-0.6297	0.265305
8	0.110956	1.0169	0.156053
9	-0.00919	-0.0842	0.466539
10	-0.085063	-0.7796	0.218903
11	0.091536	0.8389	0.201943
12	-0.030836	-0.2826	0.389082
13	-0.247008	-2.2639	0.01308
14	0.034208	0.3135	0.377332
15	-0.045005	-0.4125	0.340521
16	-0.051367	-0.4708	0.319508
17	-0.016174	-0.1482	0.441255
18	-0.183918	-1.6856	0.047789
19	0.038627	0.354	0.362103
20	0.189466	1.7365	0.043072
21	-0.122439	-1.1222	0.132493
22	0.038549	0.3533	0.36237
23	-0.042538	-0.3899	0.348812
24	0.084191	0.7716	0.221251
25	-0.023386	-0.2143	0.415403
26	0.005221	0.0478	0.480976
27	-0.099657	-0.9134	0.18183
28	0.109315	1.0019	0.159638
29	-0.068702	-0.6297	0.265312
30	-0.088589	-0.8119	0.209564
31	-0.123031	-1.1276	0.13135
32	0.024463	0.2242	0.41157
33	0.033347	0.3056	0.380321
34	-0.033218	-0.3044	0.38077
35	0.02012	0.1844	0.427069
36	-0.085023	-0.7792	0.219013
37	0.079119	0.7251	0.235191
38	-0.011632	-0.1066	0.457676
39	0.033966	0.3113	0.378171
40	-0.053341	-0.4889	0.3131
41	-0.089601	-0.8212	0.206925
42	-0.018264	-0.1674	0.433733
43	-0.009766	-0.0895	0.464447
44	0.067583	0.6194	0.268663
45	-0.014565	-0.1335	0.447063
46	0.058757	0.5385	0.295821
47	0.105053	0.9628	0.1692
48	-0.007087	-0.065	0.474183

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/18/t1250616421bvrf0k4kbwskhx3/162y01250616392.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/18/t1250616421bvrf0k4kbwskhx3/162y01250616392.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/18/t1250616421bvrf0k4kbwskhx3/24iwm1250616392.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/18/t1250616421bvrf0k4kbwskhx3/24iwm1250616392.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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