Paper Y3 autocor functie

*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: Mon, 14 Dec 2009 03:04:29 -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/14/t126078509293v1ostrhkzit2i.htm/, Retrieved Mon, 14 Dec 2009 11:04:55 +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/14/t126078509293v1ostrhkzit2i.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 «

98.2 96.92 99.06 99.65 99.82 99.99 100.33 99.31 101.1 101.1 100.93 100.85 100.93 99.6 101.88 101.81 102.38 102.74 102.82 101.72 103.47 102.98 102.68 102.9 103.03 101.29 103.69 103.68 104.2 104.08 104.16 103.05 104.66 104.46 104.95 105.85 106.23 104.86 107.44 108.23 108.45 109.39 110.15 109.13 110.28 110.17 109.99 109.26 109.11 107.06 109.53 108.92 109.24 109.12 109 107.23 109.49 109.04 109.02 109.23

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 0.921903 7.141 0 2 0.869725 6.7369 0 3 0.824788 6.3888 0 4 0.777886 6.0255 0 5 0.737204 5.7104 0 6 0.721627 5.5897 0 7 0.646293 5.0062 3e-06 8 0.595612 4.6136 1.1e-05 9 0.554393 4.2943 3.3e-05 10 0.508303 3.9373 0.000109 11 0.47216 3.6573 0.000269 12 0.450122 3.4866 0.000461 13 0.372602 2.8862 0.002706 14 0.31163 2.4139 0.009426 15 0.261717 2.0272 0.023543 16 0.206249 1.5976 0.057693 17 0.160403 1.2425 0.109447 18 0.137309 1.0636 0.145888 19 0.070041 0.5425 0.294731 20 0.025427 0.197 0.422262 21 -0.008337 -0.0646 0.474362 22 -0.043573 -0.3375 0.368453 23 -0.072594 -0.5623 0.287999 24 -0.084607 -0.6554 0.25737 25 -0.138422 -1.0722 0.14396 26 -0.180742 -1.4 0.083328 27 -0.208031 -1.6114 0.056171 28 -0.236853 -1.8347 0.035758 29 -0.25561 -1.9799 0.026151 30 -0.261996 -2.0294 0.023429 31 -0.302504 -2.3432 0.011226 32 -0.333943 -2.5867 0.006066 33 -0.354234 -2.7439 0.003998 34 -0.379381 -2.9387 0.002336 35 -0.389482 -3.0169 0.001871 36 -0.38699 -2.9976 0.001977 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.921903 7.141 0 2 0.132042 1.0228 0.155257 3 0.048327 0.3743 0.354736 4 -0.017564 -0.1361 0.446117 5 0.01859 0.144 0.442992 6 0.160838 1.2458 0.108833 7 -0.362051 -2.8044 0.003391 8 0.048842 0.3783 0.35326 9 0.034441 0.2668 0.395277 10 -0.026215 -0.2031 0.419886 11 0.042263 0.3274 0.372266 12 -0.007708 -0.0597 0.476293 13 -0.249149 -1.9299 0.029176 14 -0.055298 -0.4283 0.334969 15 -0.001091 -0.0084 0.496644 16 -0.034758 -0.2692 0.394337 17 -0.014631 -0.1133 0.455073 18 0.059171 0.4583 0.324183 19 -0.122452 -0.9485 0.173337 20 0.024768 0.1918 0.424254 21 0.002334 0.0181 0.492818 22 0.012193 0.0944 0.462534 23 -0.014473 -0.1121 0.455555 24 -0.00487 -0.0377 0.485015 25 -0.091396 -0.708 0.240859 26 -0.077958 -0.6039 0.274106 27 0.024148 0.1871 0.426126 28 0.002062 0.016 0.493656 29 0.014576 0.1129 0.455241 30 -0.037569 -0.291 0.386026 31 -0.071455 -0.5535 0.290993 32 -0.058039 -0.4496 0.327321 33 -0.049838 -0.386 0.350415 34 -0.042736 -0.331 0.370886 35 0.035214 0.2728 0.392985 36 -0.002785 -0.0216 0.491431

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/14/t126078509293v1ostrhkzit2i/1aq1m1260785068.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/14/t126078509293v1ostrhkzit2i/1aq1m1260785068.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/14/t126078509293v1ostrhkzit2i/2hphz1260785068.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/14/t126078509293v1ostrhkzit2i/2hphz1260785068.ps (open in new window)

Parameters (Session):

par1 = 0 ; par2 = 36 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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')

Copyright

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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