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Nick Vermeulen Authentic correlation 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: Mon, 01 Jun 2009 14:31:47 -0600

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Jun/01/t1243888399q3ruws902itz17c.htm/, Retrieved Mon, 01 Jun 2009 22:33:19 +0200

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/Jun/01/t1243888399q3ruws902itz17c.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:

Maandelijkse verkopen auto's

Dataseries X:

» Textbox « » Textfile « » CSV «

14620 16005 16683 15487 15684 15962 12000 13769 14031 16078 15827 13149 15969 16628 16670 16487 16883 16201 12168 14010 16556 17404 16435 13123 16744 17410 16484 17103 17301 17301 12843 13748 16904 17342 15476 15424 15988 19244 18715 17780 17160 17349 11171 13438 16713 18369 17067 14055 15500 18475 19423 18686 19646 19733 12605 16616 19156 21348 20049 18020 20262 21789 20603 21928 21025 19346 11786 19082 20127 20217 20385 16653 13065 20275 21776 20260 22523 23033 14133 20110 19682 22197 17212 11784 15467 17002 15952 18767 20605 19809 14233 19311 20827 23388 20181 14344

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	0.448057	4.39	1.5e-05
2	0.105267	1.0314	0.152472
3	0.0944	0.9249	0.178662
4	0.199364	1.9534	0.026844
5	0.279486	2.7384	0.00368
6	0.282389	2.7668	0.003395
7	0.229841	2.252	0.013301
8	0.111788	1.0953	0.138064
9	-0.083025	-0.8135	0.20898
10	-0.032541	-0.3188	0.375273
11	0.284442	2.787	0.003207
12	0.636636	6.2377	0
13	0.264922	2.5957	0.005461
14	0.049956	0.4895	0.312813
15	-0.000527	-0.0052	0.497947
16	0.128104	1.2552	0.106235
17	0.273676	2.6815	0.004315
18	0.238608	2.3379	0.010735
19	0.15498	1.5185	0.066089
20	0.04927	0.4827	0.315187
21	-0.126708	-1.2415	0.108726
22	-0.127984	-1.254	0.106446
23	0.151973	1.489	0.06988
24	0.414936	4.0655	4.9e-05
25	0.109583	1.0737	0.142826
26	-0.089495	-0.8769	0.191373
27	-0.138838	-1.3603	0.088455
28	0.016257	0.1593	0.436891
29	0.121965	1.195	0.117514
30	0.087978	0.862	0.195417
31	0.068665	0.6728	0.251353
32	-0.019892	-0.1949	0.422941
33	-0.163323	-1.6002	0.056417
34	-0.181194	-1.7753	0.039506
35	0.039576	0.3878	0.349526
36	0.256774	2.5159	0.006767
37	-0.009585	-0.0939	0.462688
38	-0.139068	-1.3626	0.088101
39	-0.140739	-1.379	0.085557
40	-0.032881	-0.3222	0.374014
41	0.034155	0.3346	0.369312
42	-0.006244	-0.0612	0.475674
43	-0.014732	-0.1443	0.442767
44	-0.118819	-1.1642	0.123618
45	-0.265157	-2.598	0.005427
46	-0.260567	-2.553	0.006127
47	-0.08732	-0.8556	0.197185
48	0.055267	0.5415	0.294708

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.448057	4.39	1.5e-05
2	-0.119473	-1.1706	0.12233
3	0.120748	1.1831	0.119848
4	0.148776	1.4577	0.074093
5	0.162508	1.5922	0.057309
6	0.129167	1.2656	0.104364
7	0.083071	0.8139	0.208851
8	-0.039913	-0.3911	0.348308
9	-0.218433	-2.1402	0.017436
10	-4.8e-05	-5e-04	0.499813
11	0.278572	2.7294	0.003774
12	0.553855	5.4266	0
13	-0.236844	-2.3206	0.011213
14	0.043081	0.4221	0.336945
15	-0.222232	-2.1774	0.01595
16	0.077689	0.7612	0.224205
17	0.072056	0.706	0.240947
18	-0.06468	-0.6337	0.26388
19	-0.057587	-0.5642	0.286954
20	-0.005936	-0.0582	0.47687
21	0.060268	0.5905	0.278119
22	-0.15713	-1.5396	0.063479
23	0.069753	0.6834	0.247987
24	-0.015461	-0.1515	0.439954
25	-0.055136	-0.5402	0.295148
26	-0.064171	-0.6287	0.265506
27	-0.051755	-0.5071	0.306626
28	-0.007416	-0.0727	0.471113
29	-0.136412	-1.3366	0.092263
30	0.017186	0.1684	0.433315
31	0.000196	0.0019	0.499236
32	0.072438	0.7097	0.23979
33	0.056372	0.5523	0.291002
34	-0.092095	-0.9023	0.184567
35	-0.07705	-0.7549	0.226069
36	0.016616	0.1628	0.435507
37	-0.080729	-0.791	0.215453
38	0.092832	0.9096	0.182666
39	0.106807	1.0465	0.148981
40	-0.035233	-0.3452	0.365344
41	-0.029445	-0.2885	0.386792
42	-0.07388	-0.7239	0.235452
43	-0.029244	-0.2865	0.387546
44	-0.147222	-1.4425	0.076212
45	-0.085785	-0.8405	0.201352
46	-0.013283	-0.1301	0.44836
47	-0.025561	-0.2504	0.40139
48	-0.015376	-0.1507	0.440282

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243888399q3ruws902itz17c/12w9b1243888303.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243888399q3ruws902itz17c/12w9b1243888303.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243888399q3ruws902itz17c/2kop21243888303.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243888399q3ruws902itz17c/2kop21243888303.ps (open in new window)

Parameters (Session):

par1 = Default ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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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