Home » date » 2009 » Jun » 02 »

non seasonal - sigaratten - caroline thys

*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 08:27:42 -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/t12439529449rvkbxhfw3tgy9m.htm/, Retrieved Tue, 02 Jun 2009 16:29:06 +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/t12439529449rvkbxhfw3tgy9m.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 «

106,07 106,07 106,07 106,07 106,07 106,2 107,5 108,31 108,53 108,61 108,62 108,62 108,62 108,62 110,1 110,74 110,77 110,77 110,78 110,78 110,78 110,84 110,84 110,84 110,84 110,84 111,01 112,66 114,04 114,16 114,2 114,2 114,23 114,23 114,23 114,23 114,23 114,23 115,97 116,96 117,08 117,08 117,08 117,63 119,12 119,47 119,5 119,52 119,49 119,49 119,5 119,5 119,56 122,35 122,92 122,92 123,04 123,04 123,04 123,06 123,33 128,21 129,57 129,79 131,66 135,01 136,01 136,31 136,37 136,4 136,4 136,4 137,34 142,18 143,79 144,08 144,08 144,09 144,09 144,11 144,11 144,15 144,15 144,16 144,2 144,38 144,38 144,28 144,46 144,53 144,53 145,34 147,98 150,42 150,53 150,64

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.340825	3.3219	0.000635
2	-0.075102	-0.732	0.232984
3	-0.044037	-0.4292	0.334367
4	0.011215	0.1093	0.456594
5	-0.102155	-0.9957	0.160966
6	-0.120263	-1.1722	0.122028
7	-0.036121	-0.3521	0.362784
8	0.237095	2.3109	0.0115
9	0.078385	0.764	0.223379
10	-0.064222	-0.626	0.266421
11	0.065236	0.6358	0.263203
12	0.251584	2.4521	0.008014
13	-0.029881	-0.2912	0.385749
14	-0.126586	-1.2338	0.110159
15	-0.124117	-1.2097	0.11469
16	-0.137302	-1.3383	0.092003
17	-0.062472	-0.6089	0.272023
18	-0.04076	-0.3973	0.346025
19	0.071044	0.6925	0.245171
20	0.18479	1.8011	0.037429
21	-0.013639	-0.1329	0.447263
22	-0.079525	-0.7751	0.220098
23	-0.042401	-0.4133	0.340168
24	-0.099223	-0.9671	0.167974
25	-0.086838	-0.8464	0.199731
26	0.008311	0.081	0.467803
27	0.064623	0.6299	0.265146
28	0.037311	0.3637	0.358458
29	0.015148	0.1476	0.441467
30	0.007035	0.0686	0.47274
31	0.065787	0.6412	0.261465
32	0.042918	0.4183	0.338333
33	-0.028632	-0.2791	0.390397
34	0.040027	0.3901	0.348655
35	0.03285	0.3202	0.374768
36	-0.046434	-0.4526	0.325941
37	-0.011137	-0.1085	0.456895
38	0.04189	0.4083	0.341988
39	0.061341	0.5979	0.275671
40	-0.027503	-0.2681	0.394614
41	-0.121257	-1.1819	0.120103
42	-0.127674	-1.2444	0.108205
43	-0.114822	-1.1191	0.132949
44	-0.084325	-0.8219	0.206596
45	-0.000891	-0.0087	0.496545
46	0.082016	0.7994	0.213028
47	0.096633	0.9419	0.174327
48	-0.015295	-0.1491	0.440905

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.340825	3.3219	0.000635
2	-0.216401	-2.1092	0.018778
3	0.072234	0.7041	0.241562
4	-0.015465	-0.1507	0.440254
5	-0.127485	-1.2426	0.108543
6	-0.0306	-0.2983	0.383082
7	-0.008068	-0.0786	0.468745
8	0.271811	2.6493	0.004724
9	-0.154824	-1.509	0.067304
10	0.026707	0.2603	0.397593
11	0.108176	1.0544	0.147195
12	0.182701	1.7808	0.039075
13	-0.190355	-1.8554	0.033323
14	0.049885	0.4862	0.313965
15	-0.120963	-1.179	0.120671
16	-0.17777	-1.7327	0.043198
17	0.125286	1.2211	0.112529
18	-0.080918	-0.7887	0.216129
19	0.139892	1.3635	0.087974
20	-0.077627	-0.7566	0.225577
21	-0.028949	-0.2822	0.389216
22	0.00769	0.075	0.470206
23	-0.078113	-0.7614	0.224165
24	-0.050358	-0.4908	0.312338
25	0.030287	0.2952	0.384244
26	0.062241	0.6066	0.272766
27	0.024273	0.2366	0.406743
28	0.020558	0.2004	0.420808
29	-0.015995	-0.1559	0.438223
30	0.024732	0.2411	0.405016
31	-0.013671	-0.1332	0.447141
32	0.01068	0.1041	0.458656
33	0.063799	0.6218	0.267771
34	0.031368	0.3057	0.380238
35	0.004674	0.0456	0.481879
36	0.022851	0.2227	0.412114
37	-0.026571	-0.259	0.398103
38	0.013668	0.1332	0.447151
39	-0.036598	-0.3567	0.361048
40	-0.091479	-0.8916	0.187423
41	-0.059959	-0.5844	0.280166
42	-0.130752	-1.2744	0.102813
43	-0.059549	-0.5804	0.281507
44	0.004186	0.0408	0.483771
45	0.013516	0.1317	0.447736
46	0.001038	0.0101	0.495974
47	0.06674	0.6505	0.258471
48	-0.076204	-0.7427	0.229734

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t12439529449rvkbxhfw3tgy9m/16lfy1243952861.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t12439529449rvkbxhfw3tgy9m/16lfy1243952861.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t12439529449rvkbxhfw3tgy9m/22tix1243952861.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t12439529449rvkbxhfw3tgy9m/22tix1243952861.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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