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CaseStatistiek - PCF 1

*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: Wed, 30 Dec 2009 15:53:43 -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/30/t126221378067s97w05urymoio.htm/, Retrieved Wed, 30 Dec 2009 23:56:22 +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/30/t126221378067s97w05urymoio.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 «

15 14,4 13,5 12,8 12,3 12,2 14,5 17,2 18 18,1 18 18,3 18,7 18,6 18,3 17,9 17,4 17,4 20,1 23,2 24,2 24,2 23,9 23,8 23,8 23,3 22,4 21,5 20,5 19,9 22 24,9 25,7 25,3 24,4 23,8 23,5 23 22,2 21,4 20,3 19,5 21,7 24,7 25,3 24,9 24,1 23,4 23,1 22,4 21,3 20,3 19,3 18,7 21 24 24,8 24,2 23,3 22,7 22,3 21,8 21,2 20,5 19,7 19,2 21,2 23,9 24,8 24,2 23 22,2 21,8 21,2 20,5 19,7 19 18,4 20,7 24,5 26 25,2 24,1 23,7 23,5 23,1 22,7 22,5 21,7 20,5 21,9 22,9 21,5 19 17 16,1 15,9 15,7 15,1 14,8 14,3 14,5 18,9 21,6 20,4 17,9 15,7 14,5 14 13,9 14,4 15,8 15,6 14,7 16,7 17,9 18,7 20,1 19,5 19,4 18,6 17,8 17,1 16,5 15,5 14,9 18,6 19,1 18,8 18,2 18 19 20,7 21,2 20,7 19,6 18,6 18,7 23,8 24,9 24,8 23,8 22,3 21,7 20,7 19,7 18,4 17,4 17 18 23,8 25,5 25,6 23,7 22 21,3 20,7 20,4 20,3 20,4 19,8 19,5 23,1 23,5 23,5 22,9 21,9 21,5 20,5 20,2 19,4 19,2 18,8 18,8 22,6 23,3 23 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	0.882019	12.9028	0
2	0.663256	9.7026	0
3	0.469648	6.8704	0
4	0.353622	5.173	0
5	0.310928	4.5485	5e-06
6	0.286793	4.1954	2e-05
7	0.254254	3.7194	0.000128
8	0.228836	3.3476	0.000481
9	0.249863	3.6552	0.000162
10	0.328446	4.8048	1e-06
11	0.440868	6.4493	0
12	0.49202	7.1976	0
13	0.38546	5.6388	0
14	0.220345	3.2234	0.000732
15	0.078416	1.1471	0.126304
16	-0.012922	-0.189	0.425122
17	-0.054968	-0.8041	0.211112
18	-0.079796	-1.1673	0.122192
19	-0.09277	-1.3571	0.088089
20	-0.083079	-1.2153	0.112787
21	-0.031536	-0.4613	0.322513
22	0.057891	0.8469	0.199004
23	0.157639	2.3061	0.011032
24	0.186375	2.7264	0.003467
25	0.074002	1.0826	0.140111
26	-0.077471	-1.1333	0.129178
27	-0.193818	-2.8353	0.002509
28	-0.25132	-3.6765	0.00015
29	-0.258918	-3.7877	9.9e-05
30	-0.251123	-3.6736	0.000151
31	-0.236307	-3.4569	0.00033
32	-0.207768	-3.0394	0.001333
33	-0.147202	-2.1534	0.016203
34	-0.056242	-0.8227	0.205785
35	0.039212	0.5736	0.283413
36	0.06456	0.9444	0.173009
37	-0.038088	-0.5572	0.288995
38	-0.173996	-2.5453	0.005811
39	-0.275124	-4.0247	4e-05
40	-0.321746	-4.7067	2e-06
41	-0.32682	-4.781	2e-06
42	-0.32225	-4.7141	2e-06
43	-0.311629	-4.5587	4e-06
44	-0.281061	-4.1116	2.8e-05
45	-0.207643	-3.0376	0.001341
46	-0.094523	-1.3827	0.084092
47	0.024692	0.3612	0.359148
48	0.06676	0.9766	0.164932
49	-0.022574	-0.3302	0.370773
50	-0.149294	-2.184	0.015025
51	-0.242446	-3.5467	0.00024
52	-0.278615	-4.0758	3.2e-05
53	-0.272444	-3.9855	4.6e-05
54	-0.259274	-3.7928	9.7e-05
55	-0.248943	-3.6417	0.00017
56	-0.227532	-3.3285	0.000514
57	-0.171823	-2.5135	0.006344
58	-0.082203	-1.2025	0.115244
59	0.01234	0.1805	0.428457
60	0.035255	0.5157	0.303288

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.882019	12.9028	0
2	-0.51657	-7.5568	0
3	0.233871	3.4212	0.000373
4	0.081175	1.1875	0.118175
5	0.075989	1.1116	0.133774
6	-0.105367	-1.5414	0.062349
7	0.049822	0.7288	0.23345
8	0.105702	1.5463	0.061756
9	0.21814	3.1911	0.000815
10	0.147952	2.1644	0.015772
11	0.172278	2.5202	0.006229
12	-0.266033	-3.8917	6.6e-05
13	-0.489957	-7.1674	0
14	0.399077	5.838	0
15	-0.208158	-3.0451	0.001309
16	-0.200869	-2.9385	0.00183
17	0.023485	0.3436	0.36576
18	0.118463	1.733	0.042271
19	0.055639	0.8139	0.208294
20	-0.017187	-0.2514	0.400864
21	0.105018	1.5363	0.062973
22	-0.004815	-0.0704	0.471956
23	-0.119087	-1.7421	0.041465
24	-0.107488	-1.5724	0.058665
25	-0.169208	-2.4753	0.007044
26	0.109047	1.5952	0.056069
27	-0.045724	-0.6689	0.252147
28	0.028547	0.4176	0.338327
29	0.006492	0.095	0.462215
30	0.054615	0.7989	0.212604
31	-0.022728	-0.3325	0.369925
32	-0.002436	-0.0356	0.485802
33	0.046073	0.674	0.250522
34	-0.043556	-0.6372	0.26235
35	-0.08849	-1.2945	0.098443
36	-0.031244	-0.4571	0.324045
37	-0.06119	-0.8951	0.185862
38	0.008458	0.1237	0.45082
39	-0.005776	-0.0845	0.466373
40	-0.03791	-0.5546	0.289884
41	-0.07732	-1.1311	0.129641
42	-0.030409	-0.4448	0.328442
43	-0.018297	-0.2677	0.394608
44	0.067666	0.9899	0.161678
45	0.079209	1.1587	0.123931
46	0.054177	0.7925	0.214463
47	0.008803	0.1288	0.448829
48	-0.072509	-1.0607	0.145008
49	-0.058828	-0.8606	0.195216
50	-0.005518	-0.0807	0.46787
51	-0.040314	-0.5897	0.277991
52	-0.052425	-0.7669	0.221988
53	-0.031074	-0.4546	0.324941
54	-0.007645	-0.1118	0.455531
55	-0.04683	-0.6851	0.247021
56	0.032429	0.4744	0.317853
57	-0.013619	-0.1992	0.421134
58	-0.046423	-0.6791	0.248902
59	-0.049143	-0.7189	0.236495
60	-0.043864	-0.6417	0.260885

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/30/t126221378067s97w05urymoio/1moon1262213621.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/30/t126221378067s97w05urymoio/1moon1262213621.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/30/t126221378067s97w05urymoio/2dskf1262213621.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/30/t126221378067s97w05urymoio/2dskf1262213621.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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')

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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