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Annelies Reul cons vertrouwen oef 6 BIS

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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 15:19:54 -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/t1243891273581qn1rzit1up0n.htm/, Retrieved Mon, 01 Jun 2009 23:21:13 +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/t1243891273581qn1rzit1up0n.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	0.748816	6.3979	0
2	0.572341	4.8901	3e-06
3	0.440395	3.7627	0.000168
4	0.355768	3.0397	0.001643
5	0.321731	2.7489	0.003766
6	0.259972	2.2212	0.01472
7	0.200283	1.7112	0.045644
8	0.08648	0.7389	0.231173
9	0.022327	0.1908	0.424621
10	-0.05569	-0.4758	0.317812
11	-0.084444	-0.7215	0.236456
12	-0.106883	-0.9132	0.182069
13	-0.152056	-1.2992	0.098987
14	-0.202085	-1.7266	0.044233
15	-0.243988	-2.0846	0.0203
16	-0.232129	-1.9833	0.025547
17	-0.276622	-2.3635	0.010385
18	-0.27451	-2.3454	0.010863
19	-0.255915	-2.1865	0.015991
20	-0.2607	-2.2274	0.014501
21	-0.24628	-2.1042	0.019402
22	-0.175642	-1.5007	0.068875
23	-0.124566	-1.0643	0.145352
24	-0.113549	-0.9702	0.167584
25	-0.079054	-0.6754	0.250766
26	-0.057806	-0.4939	0.311431
27	-0.060065	-0.5132	0.304681
28	-0.023269	-0.1988	0.421482
29	-0.01517	-0.1296	0.448613
30	-0.014229	-0.1216	0.451786
31	0.036392	0.3109	0.37837
32	0.033804	0.2888	0.38677
33	-0.00833	-0.0712	0.471727
34	-0.028179	-0.2408	0.405206
35	-0.014867	-0.127	0.449635
36	0.036468	0.3116	0.378122
37	0.100468	0.8584	0.19674
38	0.13749	1.1747	0.121964
39	0.075863	0.6482	0.259454
40	0.066118	0.5649	0.286934
41	0.041245	0.3524	0.362777
42	0.007924	0.0677	0.473105
43	-0.071968	-0.6149	0.270268
44	-0.133335	-1.1392	0.129168
45	-0.165232	-1.4117	0.081137
46	-0.185272	-1.583	0.058876
47	-0.168165	-1.4368	0.077523
48	-0.153232	-1.3092	0.097284

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.748816	6.3979	0
2	0.026442	0.2259	0.410948
3	0.007628	0.0652	0.474106
4	0.039046	0.3336	0.369815
5	0.083041	0.7095	0.240135
6	-0.048534	-0.4147	0.339799
7	-0.02292	-0.1958	0.422645
8	-0.154809	-1.3227	0.095033
9	0.002888	0.0247	0.490192
10	-0.105895	-0.9048	0.184283
11	0.019391	0.1657	0.434435
12	-0.035049	-0.2995	0.38272
13	-0.064591	-0.5519	0.291364
14	-0.082322	-0.7034	0.242034
15	-0.029166	-0.2492	0.401957
16	0.031246	0.267	0.395124
17	-0.142639	-1.2187	0.113439
18	0.00257	0.022	0.491271
19	0.01946	0.1663	0.434205
20	-0.062745	-0.5361	0.296763
21	-0.015136	-0.1293	0.448728
22	0.134407	1.1484	0.127282
23	-0.019701	-0.1683	0.433395
24	-0.054217	-0.4632	0.32229
25	0.024575	0.21	0.417138
26	0.01371	0.1171	0.453535
27	-0.100518	-0.8588	0.196624
28	0.040689	0.3476	0.364554
29	-0.05268	-0.4501	0.326987
30	-0.035982	-0.3074	0.379694
31	0.093804	0.8015	0.212734
32	-0.079063	-0.6755	0.250743
33	-0.10619	-0.9073	0.18362
34	-0.018006	-0.1538	0.439078
35	0.023442	0.2003	0.420907
36	0.10612	0.9067	0.183777
37	0.09179	0.7843	0.217713
38	-0.008445	-0.0722	0.471337
39	-0.141278	-1.2071	0.115649
40	0.107573	0.9191	0.180534
41	-0.072031	-0.6154	0.270091
42	-0.106825	-0.9127	0.182198
43	-0.179138	-1.5306	0.065101
44	-0.093324	-0.7974	0.213913
45	-0.037255	-0.3183	0.375579
46	0.057366	0.4901	0.312755
47	-0.037392	-0.3195	0.375139
48	0.025385	0.2169	0.414449

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243891273581qn1rzit1up0n/1k4hy1243891190.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243891273581qn1rzit1up0n/1k4hy1243891190.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243891273581qn1rzit1up0n/2ggdf1243891190.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243891273581qn1rzit1up0n/2ggdf1243891190.ps (open in new window)

Parameters (Session):

par1 = 48 ; 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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