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Autocorrelation Function eigen reeks 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: Tue, 02 Jun 2009 08:21:36 -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/t12439525604r4zpfa4sz2wk7v.htm/, Retrieved Tue, 02 Jun 2009 16:22:42 +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/t12439525604r4zpfa4sz2wk7v.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	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.443963	4.3272	1.9e-05
2	-0.067981	-0.6626	0.254596
3	-0.073104	-0.7125	0.238941
4	-0.107776	-1.0505	0.148082
5	-0.122163	-1.1907	0.118369
6	-0.134976	-1.3156	0.095739
7	-0.144914	-1.4124	0.080544
8	-0.102172	-0.9958	0.160928
9	-0.079778	-0.7776	0.219374
10	-0.027365	-0.2667	0.395133
11	0.282637	2.7548	0.00352
12	0.45251	4.4105	1.4e-05
13	0.181558	1.7696	0.040001
14	0.052367	0.5104	0.305474
15	-0.000736	-0.0072	0.497147
16	-0.11662	-1.1367	0.129267
17	-0.15212	-1.4827	0.070735
18	-0.162183	-1.5808	0.058628
19	-0.156917	-1.5294	0.06474
20	-0.103221	-1.0061	0.158467
21	-0.054976	-0.5358	0.296659
22	-0.011917	-0.1161	0.453889
23	0.141294	1.3772	0.085849
24	0.168216	1.6396	0.052201
25	0.012099	0.1179	0.453187
26	0.010432	0.1017	0.459613
27	-0.02668	-0.26	0.397698
28	-0.096541	-0.941	0.174555
29	-0.156232	-1.5228	0.06557
30	-0.223336	-2.1768	0.015987
31	-0.156425	-1.5246	0.065336
32	-0.117164	-1.142	0.128167
33	-0.109077	-1.0631	0.145205
34	-0.016421	-0.1601	0.43659
35	0.203234	1.9809	0.025248
36	0.27214	2.6525	0.004682
37	0.081306	0.7925	0.21503
38	-0.029358	-0.2861	0.387696
39	-0.045519	-0.4437	0.329146
40	-0.071685	-0.6987	0.243223
41	-0.10646	-1.0376	0.151036
42	-0.108466	-1.0572	0.146552
43	-0.087705	-0.8548	0.197395
44	-0.070438	-0.6865	0.24702
45	-0.081356	-0.793	0.214889
46	-0.044496	-0.4337	0.332748
47	0.134817	1.314	0.095999
48	0.197165	1.9217	0.028819

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.443963	4.3272	1.9e-05
2	-0.330159	-3.218	0.000883
3	0.158825	1.548	0.06247
4	-0.229597	-2.2378	0.013784
5	0.054077	0.5271	0.299685
6	-0.191419	-1.8657	0.032583
7	-0.013288	-0.1295	0.44861
8	-0.101618	-0.9904	0.162236
9	-0.054979	-0.5359	0.296652
10	-0.009555	-0.0931	0.462999
11	0.377337	3.6778	0.000195
12	0.10894	1.0618	0.145506
13	-0.036063	-0.3515	0.362995
14	0.163611	1.5947	0.057052
15	-0.121366	-1.1829	0.119895
16	0.027903	0.272	0.393121
17	-0.109525	-1.0675	0.144222
18	0.013897	0.1354	0.446272
19	-0.096515	-0.9407	0.17462
20	0.033087	0.3225	0.373894
21	-0.024734	-0.2411	0.405007
22	-0.041879	-0.4082	0.342027
23	-0.007591	-0.074	0.470586
24	-0.081158	-0.791	0.215449
25	-0.101875	-0.993	0.161628
26	-0.00711	-0.0693	0.47245
27	-0.090969	-0.8867	0.188751
28	0.023621	0.2302	0.409206
29	-0.163733	-1.5959	0.056919
30	-0.039238	-0.3824	0.351492
31	-0.027521	-0.2682	0.394546
32	-0.16468	-1.6051	0.055895
33	-0.027202	-0.2651	0.39574
34	-0.068728	-0.6699	0.252281
35	0.211439	2.0609	0.021025
36	0.054229	0.5286	0.299172
37	-0.017417	-0.1698	0.432778
38	-0.025926	-0.2527	0.400526
39	0.025766	0.2511	0.401125
40	-0.065361	-0.6371	0.26281
41	0.08274	0.8065	0.210998
42	0.002937	0.0286	0.488611
43	0.024771	0.2414	0.404867
44	0.090199	0.8792	0.190769
45	-0.097956	-0.9548	0.171062
46	-0.019779	-0.1928	0.423771
47	-0.099674	-0.9715	0.166884
48	-0.00017	-0.0017	0.49934

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t12439525604r4zpfa4sz2wk7v/17on71243952495.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t12439525604r4zpfa4sz2wk7v/17on71243952495.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t12439525604r4zpfa4sz2wk7v/2jjyg1243952495.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t12439525604r4zpfa4sz2wk7v/2jjyg1243952495.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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