Home » date » 2009 » Dec » 06 »

review WS 9 autocorrelatie d=2 D=0

*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, 06 Dec 2009 13:59:35 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/06/t1260133393fqvz2vrieep7i2n.htm/, Retrieved Sun, 06 Dec 2009 22:03:15 +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/2009/Dec/06/t1260133393fqvz2vrieep7i2n.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 «

6.3 6.2 6.1 6.3 6.5 6.6 6.5 6.2 6.2 5.9 6.1 6.1 6.1 6.1 6.1 6.4 6.7 6.9 7 7 6.8 6.4 5.9 5.5 5.5 5.6 5.8 5.9 6.1 6.1 6 6 5.9 5.5 5.6 5.4 5.2 5.2 5.2 5.5 5.8 5.8 5.5 5.3 5.1 5.2 5.8 5.8 5.5 5 4.9 5.3 6.1 6.5 6.8 6.6 6.4 6.4

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	0 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.018621	-0.1393	0.444839
2	-0.069148	-0.5175	0.303438
3	-0.344067	-2.5748	0.006351
4	-0.36283	-2.7152	0.004396
5	0.042236	0.3161	0.376564
6	0.269008	2.0131	0.024462
7	0.130715	0.9782	0.166097
8	-0.050581	-0.3785	0.353241
9	-0.111775	-0.8364	0.203229
10	-0.221352	-1.6564	0.051612
11	0.050374	0.377	0.353812
12	0.202618	1.5163	0.06754
13	0.042753	0.3199	0.375105
14	0.096231	0.7201	0.237222
15	0.016274	0.1218	0.451754
16	-0.055921	-0.4185	0.3386
17	-0.136116	-1.0186	0.156387
18	-0.016159	-0.1209	0.452093
19	-0.11745	-0.8789	0.191601
20	0.101131	0.7568	0.226173
21	0.021174	0.1584	0.437337
22	0.061222	0.4581	0.32431
23	-0.061403	-0.4595	0.323827
24	0.053554	0.4008	0.345062
25	-0.127884	-0.957	0.17134
26	0.136032	1.018	0.156535
27	0.042789	0.3202	0.375004
28	0.037311	0.2792	0.390555
29	-0.005501	-0.0412	0.483655
30	-0.080077	-0.5992	0.275714
31	-0.01617	-0.121	0.45206
32	-0.138939	-1.0397	0.151469
33	2e-05	1e-04	0.499942
34	-0.015934	-0.1192	0.452755
35	0.109452	0.8191	0.208112
36	0.173501	1.2984	0.099742

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.018621	-0.1393	0.444839
2	-0.069519	-0.5202	0.302477
3	-0.348543	-2.6083	0.005823
4	-0.446007	-3.3376	0.000753
5	-0.145679	-1.0902	0.140155
6	0.077054	0.5766	0.283255
7	-0.133274	-0.9973	0.161447
8	-0.292621	-2.1898	0.016361
9	-0.119087	-0.8912	0.188327
10	-0.206501	-1.5453	0.063952
11	-0.205362	-1.5368	0.064988
12	-0.098791	-0.7393	0.231412
13	-0.25201	-1.8859	0.032252
14	-0.167304	-1.252	0.107889
15	0.064434	0.4822	0.315778
16	0.145489	1.0887	0.140467
17	-0.138072	-1.0332	0.152968
18	-0.021312	-0.1595	0.43693
19	0.009835	0.0736	0.470797
20	0.086099	0.6443	0.261005
21	-0.116263	-0.87	0.193997
22	-0.014332	-0.1073	0.457487
23	-0.125586	-0.9398	0.175679
24	0.07776	0.5819	0.281483
25	-0.145592	-1.0895	0.140298
26	-0.008015	-0.06	0.476192
27	-0.115856	-0.867	0.194825
28	0.008007	0.0599	0.476218
29	0.000498	0.0037	0.49852
30	-0.005363	-0.0401	0.484065
31	0.090724	0.6789	0.249994
32	-0.129283	-0.9675	0.168735
33	-0.092182	-0.6898	0.246576
34	-0.105608	-0.7903	0.216343
35	-0.023478	-0.1757	0.430585
36	0.032339	0.242	0.40483

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/06/t1260133393fqvz2vrieep7i2n/159yy1260133173.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/06/t1260133393fqvz2vrieep7i2n/159yy1260133173.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/06/t1260133393fqvz2vrieep7i2n/2k4kt1260133173.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/06/t1260133393fqvz2vrieep7i2n/2k4kt1260133173.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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