Autocorrelation Function eigen reeks

*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 08:20:11 -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/t1243952464eztr4iw8hc7ljlw.htm/, Retrieved Tue, 02 Jun 2009 16:21:06 +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/t1243952464eztr4iw8hc7ljlw.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 «

310,95 312,97 315,07 315,43 315,73 315,77 315,77 315,77 313,99 314,57 314,63 314,65 314,65 314,93 315,27 316,26 316,98 317,01 317,07 317,07 317 317,08 317,04 317 317,05 321,59 325,59 326,23 326,28 326,35 326,35 326,35 326,39 326,74 326,9 326,9 326,91 336,93 348,5 349,43 349,26 349,26 349,28 349,61 349,66 349,68 349,91 349,91 350,89 355,52 356,36 357,04 360,28 360,63 360,79 360,97 361 361,01 361 361 361,58 363,19 363,61 364,14 365,51 365,51 365,5 365,5 364,59 364,63 364,54 363,67 365,22 369,05 370,45 370,46 370,46 370,58 370,58 370,22 370,21 370,29 370,29 370,2 370,2 372,55 374,51 375,58 375,75 375,75 375,75 375,69 375,76 377,5 377,51 377,74

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 'Gwilym Jenkins' @ 72.249.127.135 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.97479 9.551 0 2 0.94752 9.2838 0 3 0.921242 9.0263 0 4 0.895864 8.7776 0 5 0.870533 8.5294 0 6 0.845069 8.28 0 7 0.819551 8.0299 0 8 0.794029 7.7799 0 9 0.76709 7.5159 0 10 0.740782 7.2582 0 11 0.714988 7.0054 0 12 0.688054 6.7415 0 13 0.657497 6.4421 0 14 0.625094 6.1246 0 15 0.591723 5.7977 0 16 0.558205 5.4693 0 17 0.525006 5.144 1e-06 18 0.49164 4.8171 3e-06 19 0.458399 4.4914 1e-05 20 0.425275 4.1668 3.4e-05 21 0.391809 3.8389 0.000111 22 0.357809 3.5058 0.000347 23 0.323785 3.1724 0.001015 24 0.290324 2.8446 0.002718 25 0.255952 2.5078 0.006913 26 0.223274 2.1876 0.015562 27 0.192447 1.8856 0.031187 28 0.161464 1.582 0.058467 29 0.129746 1.2712 0.103356 30 0.098214 0.9623 0.169158 31 0.067212 0.6585 0.255883 32 0.03633 0.356 0.361326 33 0.006199 0.0607 0.475849 34 -0.023526 -0.2305 0.409094 35 -0.053606 -0.5252 0.300316 36 -0.084752 -0.8304 0.204187 37 -0.118003 -1.1562 0.125237 38 -0.14554 -1.426 0.078556 39 -0.165484 -1.6214 0.054106 40 -0.185037 -1.813 0.03648 41 -0.204796 -2.0066 0.023803 42 -0.224349 -2.1982 0.015171 43 -0.243689 -2.3877 0.009457 44 -0.262614 -2.5731 0.005805 45 -0.279629 -2.7398 0.003665 46 -0.296245 -2.9026 0.002295 47 -0.312439 -3.0613 0.001429 48 -0.327102 -3.2049 0.000917 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.97479 9.551 0 2 -0.054141 -0.5305 0.298506 3 0.007649 0.0749 0.470206 4 0.00273 0.0268 0.489356 5 -0.013424 -0.1315 0.447816 6 -0.015574 -0.1526 0.439521 7 -0.014414 -0.1412 0.443995 8 -0.014112 -0.1383 0.445158 9 -0.042885 -0.4202 0.337643 10 -0.000204 -0.002 0.499203 11 -0.006979 -0.0684 0.472811 12 -0.039238 -0.3844 0.350748 13 -0.086557 -0.8481 0.19925 14 -0.050889 -0.4986 0.309598 15 -0.041053 -0.4022 0.344202 16 -0.027136 -0.2659 0.395451 17 -0.016816 -0.1648 0.434739 18 -0.027884 -0.2732 0.392642 19 -0.020636 -0.2022 0.420099 20 -0.02012 -0.1971 0.422068 21 -0.027908 -0.2734 0.392552 22 -0.035726 -0.35 0.363535 23 -0.02652 -0.2598 0.397773 24 -0.01359 -0.1332 0.447175 25 -0.041283 -0.4045 0.343376 26 0.014264 0.1398 0.44457 27 0.012127 0.1188 0.452835 28 -0.029091 -0.285 0.388117 29 -0.038157 -0.3739 0.354667 30 -0.02084 -0.2042 0.419318 31 -0.019144 -0.1876 0.425802 32 -0.028571 -0.2799 0.390064 33 -0.011007 -0.1079 0.45717 34 -0.022118 -0.2167 0.414448 35 -0.037926 -0.3716 0.355505 36 -0.050502 -0.4948 0.31093 37 -0.074507 -0.73 0.233579 38 0.076508 0.7496 0.227658 39 0.109203 1.07 0.143659 40 -0.025436 -0.2492 0.401861 41 -0.021948 -0.215 0.415096 42 -0.015154 -0.1485 0.441138 43 -0.021328 -0.209 0.417458 44 -0.018871 -0.1849 0.426849 45 0.014088 0.138 0.44525 46 -0.026486 -0.2595 0.3979 47 -0.021916 -0.2147 0.415215 48 0.016114 0.1579 0.437438

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243952464eztr4iw8hc7ljlw/1yxio1243952408.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243952464eztr4iw8hc7ljlw/1yxio1243952408.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243952464eztr4iw8hc7ljlw/24rpu1243952408.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243952464eztr4iw8hc7ljlw/24rpu1243952408.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')

Copyright

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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