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CaseStatistiek - PCF 2

*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 16:01:02 -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/31/t12622141237iawnibaqr98xgb.htm/, Retrieved Thu, 31 Dec 2009 00:02:05 +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/31/t12622141237iawnibaqr98xgb.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	0.931943	13.2454	0
2	0.780994	11.1	0
3	0.61889	8.7961	0
4	0.50113	7.1224	0
5	0.436839	6.2087	0
6	0.401042	5.6999	0
7	0.355627	5.0544	0
8	0.278004	3.9512	5.4e-05
9	0.169246	2.4054	0.008527
10	0.052311	0.7435	0.229027
11	-0.033635	-0.478	0.316567
12	-0.062737	-0.8917	0.18682
13	-0.032507	-0.462	0.322286
14	0.024413	0.347	0.364484
15	0.065803	0.9352	0.17539
16	0.067039	0.9528	0.170915
17	0.038373	0.5454	0.293046
18	0.000427	0.0061	0.497581
19	-0.02715	-0.3859	0.35
20	-0.039554	-0.5622	0.287311
21	-0.042803	-0.6083	0.271822
22	-0.046932	-0.667	0.252758
23	-0.06242	-0.8872	0.188025
24	-0.093535	-1.3294	0.092611
25	-0.134998	-1.9187	0.028217
26	-0.169882	-2.4145	0.008325
27	-0.189027	-2.6866	0.00391
28	-0.182436	-2.5929	0.005106
29	-0.153819	-2.1862	0.014976
30	-0.115005	-1.6345	0.051853
31	-0.080519	-1.1444	0.126907
32	-0.06434	-0.9144	0.180789
33	-0.0739	-1.0503	0.147415
34	-0.106376	-1.5119	0.066062
35	-0.144082	-2.0478	0.020937
36	-0.169367	-2.4072	0.008488
37	-0.171425	-2.4364	0.00785
38	-0.160493	-2.281	0.011795
39	-0.149665	-2.1271	0.017311
40	-0.150441	-2.1382	0.016852
41	-0.164555	-2.3388	0.010163
42	-0.18314	-2.6029	0.004965
43	-0.193381	-2.7485	0.003265
44	-0.184903	-2.628	0.004625
45	-0.151654	-2.1554	0.016157
46	-0.096023	-1.3647	0.086927
47	-0.035635	-0.5065	0.306541
48	0.010094	0.1435	0.443035
49	0.0292	0.415	0.33929
50	0.02673	0.3799	0.352208
51	0.013169	0.1872	0.425859
52	0.000506	0.0072	0.497132
53	-0.008964	-0.1274	0.449374
54	-0.014329	-0.2037	0.419414
55	-0.017344	-0.2465	0.402773
56	-0.02096	-0.2979	0.383045
57	-0.029866	-0.4245	0.335834
58	-0.046208	-0.6567	0.256048
59	-0.06416	-0.9119	0.181459
60	-0.074537	-1.0594	0.145348

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.931943	13.2454	0
2	-0.665672	-9.461	0
3	0.36756	5.224	0
4	0.188597	2.6805	0.00398
5	-0.102878	-1.4622	0.072623
6	-0.083434	-1.1858	0.118542
7	-0.139541	-1.9832	0.024347
8	-0.081811	-1.1628	0.123151
9	-0.088858	-1.2629	0.10404
10	-0.016275	-0.2313	0.408654
11	0.198387	2.8196	0.002644
12	0.07951	1.13	0.129899
13	0.12773	1.8154	0.035474
14	-0.087718	-1.2467	0.106974
15	-0.059259	-0.8422	0.200329
16	0.00228	0.0324	0.487092
17	0.047531	0.6755	0.25005
18	-0.156208	-2.2201	0.013761
19	-0.076703	-1.0902	0.138472
20	-0.068866	-0.9788	0.164433
21	-0.003513	-0.0499	0.480117
22	0.022214	0.3157	0.376269
23	-0.006714	-0.0954	0.462038
24	0.013428	0.1908	0.42442
25	0.01434	0.2038	0.419354
26	0.047606	0.6766	0.249715
27	-0.097017	-1.3789	0.084731
28	0.134969	1.9183	0.028243
29	0.035851	0.5095	0.305467
30	-0.038383	-0.5455	0.292996
31	-0.041993	-0.5968	0.275644
32	-0.159705	-2.2698	0.012137
33	-0.094835	-1.3479	0.089607
34	-0.106808	-1.518	0.065286
35	0.038905	0.5529	0.290457
36	0.007121	0.1012	0.459743
37	0.039476	0.5611	0.287688
38	-0.017032	-0.2421	0.404483
39	0.091569	1.3014	0.097295
40	0.048321	0.6868	0.24651
41	0.007286	0.1035	0.458815
42	0.033855	0.4812	0.315458
43	-0.095522	-1.3576	0.088048
44	-0.041584	-0.591	0.277582
45	0.012934	0.1838	0.427169
46	0.03974	0.5648	0.286416
47	-0.027785	-0.3949	0.346669
48	-0.01544	-0.2194	0.413263
49	-0.008508	-0.1209	0.451938
50	-0.016024	-0.2277	0.410038
51	-0.063452	-0.9018	0.184112
52	-0.01442	-0.2049	0.418911
53	0.000213	0.003	0.498795
54	0.034515	0.4906	0.312138
55	0.045477	0.6463	0.259393
56	0.020065	0.2852	0.3879
57	-0.019265	-0.2738	0.392256
58	0.009552	0.1358	0.446073
59	-0.021183	-0.3011	0.381835
60	-0.04232	-0.6015	0.274095

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/31/t12622141237iawnibaqr98xgb/1rgi01262214060.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/31/t12622141237iawnibaqr98xgb/1rgi01262214060.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/31/t12622141237iawnibaqr98xgb/29ytv1262214060.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/31/t12622141237iawnibaqr98xgb/29ytv1262214060.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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