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Annelies Reul cons vertrouwen 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: Mon, 01 Jun 2009 15:16:54 -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/t1243891127u2rx7yefb9y6zni.htm/, Retrieved Mon, 01 Jun 2009 23:18:47 +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/t1243891127u2rx7yefb9y6zni.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 «

-9 -13 -18 -11 -9 -10 -13 -11 -5 -15 -6 -6 -3 -1 -3 -4 -6 0 -4 -2 -2 -6 -7 -6 -6 -3 -2 -5 -11 -11 -11 -10 -14 -8 -9 -5 -1 -2 -5 -4 -6 -2 -2 -2 -2 2 1 -8 -1 1 -1 2 2 1 -1 -2 -2 -1 -8 -4 -6 -3 -3 -7 -9 -11 -13 -11 -9 -17 -22 -25 -20

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	-0.258032	-2.1895	0.015902
2	-0.078711	-0.6679	0.25317
3	-0.027005	-0.2291	0.409703
4	-0.006098	-0.0517	0.47944
5	0.035755	0.3034	0.381234
6	-0.040167	-0.3408	0.367111
7	0.160946	1.3657	0.088146
8	-0.075849	-0.6436	0.260939
9	0.035036	0.2973	0.38355
10	-0.038801	-0.3292	0.371464
11	-0.014808	-0.1257	0.450178
12	0.020275	0.172	0.431943
13	0.043268	0.3671	0.357296
14	-0.080145	-0.6801	0.249325
15	-0.034916	-0.2963	0.383939
16	0.115316	0.9785	0.165554
17	-0.095768	-0.8126	0.209559
18	-0.035986	-0.3054	0.380489
19	0.088075	0.7473	0.228646
20	-0.031877	-0.2705	0.393779
21	-0.143366	-1.2165	0.113884
22	0.003405	0.0289	0.488514
23	0.125618	1.0659	0.145014
24	-0.082853	-0.703	0.242153
25	-0.057386	-0.4869	0.31389
26	0.180975	1.5356	0.064507
27	-0.08662	-0.735	0.232366
28	-0.001279	-0.0109	0.495684
29	0.01771	0.1503	0.440484
30	-0.117405	-0.9962	0.161241
31	0.129587	1.0996	0.137589
32	0.029495	0.2503	0.401543
33	-0.010166	-0.0863	0.465749
34	-0.095247	-0.8082	0.210819
35	-0.039385	-0.3342	0.369601
36	-0.006845	-0.0581	0.476922
37	0.005682	0.0482	0.48084
38	0.170618	1.4477	0.076015
39	-0.108595	-0.9215	0.179943
40	-0.053192	-0.4513	0.326547
41	0.082877	0.7032	0.242088
42	0.094709	0.8036	0.212127
43	-0.04641	-0.3938	0.347445
44	-0.072451	-0.6148	0.270322
45	0.061922	0.5254	0.30045
46	-0.051567	-0.4376	0.331507
47	-0.032355	-0.2745	0.392227
48	-0.004888	-0.0415	0.483517

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.258032	-2.1895	0.015902
2	-0.155656	-1.3208	0.095378
3	-0.099517	-0.8444	0.200613
4	-0.060807	-0.516	0.303729
5	0.003864	0.0328	0.486969
6	-0.040975	-0.3477	0.364545
7	0.157589	1.3372	0.092685
8	0.014058	0.1193	0.452691
9	0.065094	0.5523	0.291212
10	-0.004433	-0.0376	0.485049
11	-0.01628	-0.1381	0.445256
12	-0.00566	-0.048	0.480915
13	0.052722	0.4474	0.327978
14	-0.092786	-0.7873	0.216842
15	-0.068361	-0.5801	0.281842
16	0.064349	0.546	0.293372
17	-0.062028	-0.5263	0.300139
18	-0.072736	-0.6172	0.26953
19	0.061254	0.5198	0.302415
20	-0.022253	-0.1888	0.425381
21	-0.149059	-1.2648	0.105009
22	-0.076548	-0.6495	0.259031
23	0.05901	0.5007	0.309048
24	-0.045523	-0.3863	0.350215
25	-0.088309	-0.7493	0.228051
26	0.168213	1.4273	0.078903
27	0.018948	0.1608	0.436359
28	0.025387	0.2154	0.415027
29	0.05412	0.4592	0.32373
30	-0.112713	-0.9564	0.171034
31	0.069437	0.5892	0.278787
32	0.061499	0.5218	0.301692
33	-0.00422	-0.0358	0.485768
34	-0.0647	-0.549	0.292353
35	-0.153167	-1.2997	0.098931
36	-0.117191	-0.9944	0.161681
37	0.014655	0.1243	0.450693
38	0.124721	1.0583	0.146731
39	-0.100569	-0.8534	0.198146
40	-0.025737	-0.2184	0.413875
41	0.142517	1.2093	0.115252
42	0.123837	1.0508	0.148434
43	0.088178	0.7482	0.228384
44	-0.011831	-0.1004	0.460156
45	-0.039972	-0.3392	0.367734
46	-0.022784	-0.1933	0.423622
47	-0.041036	-0.3482	0.364352
48	-0.084865	-0.7201	0.236896

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243891127u2rx7yefb9y6zni/1yhrc1243891009.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243891127u2rx7yefb9y6zni/1yhrc1243891009.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243891127u2rx7yefb9y6zni/2so9n1243891009.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243891127u2rx7yefb9y6zni/2so9n1243891009.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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