Home » date » 2009 » Jan » 24 »

Dennis Collin oef 6 bis deel 2

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sat, 24 Jan 2009 11:00:52 -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/Jan/24/t1232820133zfxiz40t3rph74e.htm/, Retrieved Sat, 24 Jan 2009 19:02:13 +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/Jan/24/t1232820133zfxiz40t3rph74e.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 «

1,29 1,29 1,3 1,3 1,3 1,3 1,31 1,31 1,31 1,31 1,31 1,32 1,32 1,32 1,32 1,33 1,33 1,33 1,34 1,34 1,34 1,34 1,34 1,34 1,34 1,35 1,36 1,36 1,36 1,37 1,37 1,37 1,37 1,37 1,37 1,37 1,38 1,38 1,38 1,39 1,4 1,4 1,4 1,4 1,41 1,42 1,43 1,43 1,43 1,44 1,45 1,45 1,46 1,46 1,47 1,47 1,47 1,48 1,49 1,49 1,49 1,5 1,51 1,51 1,51 1,52 1,52 1,52 1,52 1,53 1,53 1,53 1,53 1,54 1,54 1,55 1,55 1,55 1,56 1,56 1,58 1,58 1,58 1,58 1,58 1,58 1,59 1,59 1,6 1,6 1,6 1,61 1,62 1,62 1,63 1,63

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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.5	-4.8477	2e-06
2	-0.053571	-0.5194	0.302353
3	-0.017857	-0.1731	0.43146
4	0.125	1.2119	0.11429
5	-0.017857	-0.1731	0.43146
6	-0.053571	-0.5194	0.302353
7	-0.035714	-0.3463	0.36496
8	0.160714	1.5582	0.061275
9	-0.142857	-1.3851	0.084658
10	-0.053571	-0.5194	0.302353
11	0.178571	1.7313	0.043338
12	-0.142857	-1.3851	0.084658
13	0.089286	0.8657	0.194441
14	-0.035714	-0.3463	0.36496
15	0.017857	0.1731	0.43146
16	0	0	0.5
17	-0.053571	-0.5194	0.302353
18	0.017857	0.1731	0.43146
19	0.107143	1.0388	0.150784
20	-0.178571	-1.7313	0.043338
21	0.178571	1.7313	0.043338
22	-0.178571	-1.7313	0.043338
23	0.160714	1.5582	0.061275
24	-0.107143	-1.0388	0.150784
25	0.035714	0.3463	0.36496
26	0.071429	0.6925	0.245157
27	-0.125	-1.2119	0.11429
28	0	0	0.5
29	0.107143	1.0388	0.150784
30	-0.035714	-0.3463	0.36496
31	0	0	0.5
32	-0.053571	-0.5194	0.302353
33	-0.035714	-0.3463	0.36496
34	0.178571	1.7313	0.043338
35	-0.160714	-1.5582	0.061275
36	0.107143	1.0388	0.150784
37	-0.035714	-0.3463	0.36496
38	-0.071429	-0.6925	0.245157
39	0.053571	0.5194	0.302353
40	0.071429	0.6925	0.245157
41	-0.125	-1.2119	0.11429
42	0.053571	0.5194	0.302353
43	-0.017857	-0.1731	0.43146
44	0.142857	1.3851	0.084658
45	-0.214286	-2.0776	0.020238
46	0.071429	0.6925	0.245157
47	0.053571	0.5194	0.302353
48	0	0	0.5

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.5	-4.8477	2e-06
2	-0.404762	-3.9243	8.3e-05
3	-0.411186	-3.9866	6.6e-05
4	-0.255737	-2.4795	0.00747
5	-0.150843	-1.4625	0.073473
6	-0.1292	-1.2526	0.106721
7	-0.19307	-1.8719	0.032166
8	0.027431	0.266	0.395428
9	-0.041849	-0.4057	0.342929
10	-0.211289	-2.0485	0.021648
11	-0.021502	-0.2085	0.417657
12	-0.190932	-1.8512	0.033644
13	-0.10199	-0.9888	0.162642
14	-0.025377	-0.246	0.403093
15	0.017916	0.1737	0.431236
16	0.062948	0.6103	0.271567
17	0.017135	0.1661	0.434205
18	-0.032362	-0.3138	0.377199
19	0.054946	0.5327	0.297741
20	-0.097877	-0.949	0.172538
21	0.115567	1.1205	0.132685
22	-0.106242	-1.0301	0.152813
23	0.084226	0.8166	0.20811
24	-0.01961	-0.1901	0.424811
25	-0.020058	-0.1945	0.423113
26	0.161952	1.5702	0.059866
27	-0.05858	-0.568	0.285709
28	-0.092463	-0.8965	0.186148
29	-0.075485	-0.7319	0.233039
30	-0.06679	-0.6475	0.259428
31	0.077975	0.756	0.225771
32	-0.036506	-0.3539	0.36209
33	-0.107563	-1.0429	0.149844
34	-0.05782	-0.5606	0.288208
35	-0.106786	-1.0353	0.151585
36	0.093248	0.9041	0.184135
37	0.073426	0.7119	0.239147
38	0.025132	0.2437	0.404012
39	-0.009989	-0.0969	0.461526
40	0.094378	0.915	0.181258
41	0.079869	0.7744	0.220331
42	-0.093108	-0.9027	0.184493
43	0.015803	0.1532	0.439279
44	0.175616	1.7027	0.045968
45	-0.011042	-0.1071	0.457487
46	0.162994	1.5803	0.0587
47	0.046888	0.4546	0.325225
48	0.053906	0.5226	0.301229

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jan/24/t1232820133zfxiz40t3rph74e/1ox4r1232820047.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jan/24/t1232820133zfxiz40t3rph74e/1ox4r1232820047.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jan/24/t1232820133zfxiz40t3rph74e/24wgq1232820047.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jan/24/t1232820133zfxiz40t3rph74e/24wgq1232820047.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 2 ; 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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