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TREND GOUDKOERS - LAURA VERBEEK

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 02 Jun 2009 01:03:34 -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/02/t1243926245lfy7jkfb6di0db1.htm/, Retrieved Tue, 02 Jun 2009 09:04:07 +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/02/t1243926245lfy7jkfb6di0db1.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 «

9721 9897 9828 9924 10371 10846 10413 10709 10662 10570 10297 10635 10872 10296 10383 10431 10574 10653 10805 10872 10625 10407 10463 10556 10646 10702 11353 11346 11451 11964 12574 13031 13812 14544 14931 14886 16005 17064 15168 16050 15839 15137 14954 15648 15305 15579 16348 15928 16171 15937 15713 15594 15683 16438 17032 17696 17745 19394 20148 20108 18584 18441 18391 19178 18079 18483 19644 19195 19650 20830 23595 22937

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	3 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.036491	-0.3075	0.37969
2	-0.082541	-0.6955	0.244505
3	0.083685	0.7051	0.241515
4	0.170968	1.4406	0.077047
5	-0.184927	-1.5582	0.061813
6	-0.156938	-1.3224	0.095142
7	0.048819	0.4114	0.341026
8	-0.137231	-1.1563	0.125712
9	-0.023738	-0.2	0.421017
10	-0.167483	-1.4112	0.081271
11	0.100724	0.8487	0.199446
12	0.070895	0.5974	0.276079
13	0.101877	0.8584	0.196772
14	-0.062389	-0.5257	0.300366
15	-0.008849	-0.0746	0.470386
16	-0.062559	-0.5271	0.299873
17	-0.009274	-0.0781	0.468966
18	0.009925	0.0836	0.466793
19	-0.115611	-0.9742	0.166644
20	0.043399	0.3657	0.357842
21	-0.00224	-0.0189	0.492499
22	0.115406	0.9724	0.167069
23	-0.035015	-0.295	0.384411
24	0.031562	0.2659	0.395525
25	-0.016726	-0.1409	0.444158
26	0.055896	0.471	0.319547
27	0.018176	0.1532	0.439355
28	-0.161903	-1.3642	0.088404
29	0.027584	0.2324	0.408437
30	-0.054131	-0.4561	0.324851
31	-0.031348	-0.2641	0.396218
32	-0.089791	-0.7566	0.2259
33	0.117862	0.9931	0.162011
34	0.014098	0.1188	0.452888
35	-0.038853	-0.3274	0.372173
36	0.05292	0.4459	0.328509
37	0.045082	0.3799	0.352589
38	0.031891	0.2687	0.394462
39	0.063779	0.5374	0.296332
40	0.057181	0.4818	0.315708
41	0.025909	0.2183	0.413906
42	-0.0215	-0.1812	0.428378
43	0.007753	0.0653	0.474049
44	0.008918	0.0751	0.470154
45	-0.051103	-0.4306	0.334032
46	-0.001204	-0.0101	0.495967
47	0.009517	0.0802	0.468154
48	-0.038656	-0.3257	0.372798

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.036491	-0.3075	0.37969
2	-0.083985	-0.7077	0.240734
3	0.078009	0.6573	0.256553
4	0.172383	1.4525	0.075381
5	-0.165412	-1.3938	0.083865
6	-0.160938	-1.3561	0.089684
7	-0.011412	-0.0962	0.461832
8	-0.165594	-1.3953	0.083635
9	0.054483	0.4591	0.32379
10	-0.182852	-1.5407	0.063913
11	0.061017	0.5141	0.304375
12	0.097514	0.8217	0.207008
13	0.103929	0.8757	0.192068
14	-0.046551	-0.3922	0.348024
15	-0.106997	-0.9016	0.185167
16	-0.198016	-1.6685	0.049809
17	0.01416	0.1193	0.452682
18	0.033529	0.2825	0.389183
19	-0.048651	-0.4099	0.341543
20	0.044882	0.3782	0.353212
21	-0.006834	-0.0576	0.47712
22	0.141834	1.1951	0.11801
23	0.021737	0.1832	0.427597
24	-0.111507	-0.9396	0.17531
25	-0.125784	-1.0599	0.146397
26	-0.006594	-0.0556	0.477925
27	0.109883	0.9259	0.17882
28	-0.062507	-0.5267	0.300024
29	-0.009639	-0.0812	0.467747
30	-0.092431	-0.7788	0.219333
31	-0.013876	-0.1169	0.453626
32	0.019034	0.1604	0.436518
33	0.030013	0.2529	0.400539
34	-0.05192	-0.4375	0.331543
35	-0.091636	-0.7721	0.221298
36	0.068715	0.579	0.28221
37	0.085485	0.7203	0.236849
38	0.016155	0.1361	0.446053
39	0.077287	0.6512	0.258501
40	-0.020611	-0.1737	0.431308
41	0.140538	1.1842	0.120143
42	-0.006113	-0.0515	0.479533
43	0.003662	0.0309	0.487734
44	-0.071893	-0.6058	0.273295
45	-0.059512	-0.5015	0.308801
46	0.081314	0.6852	0.247735
47	0.090114	0.7593	0.225089
48	-0.024438	-0.2059	0.418721

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243926245lfy7jkfb6di0db1/1oqj41243926210.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243926245lfy7jkfb6di0db1/1oqj41243926210.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243926245lfy7jkfb6di0db1/2rc7v1243926210.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243926245lfy7jkfb6di0db1/2rc7v1243926210.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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