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Autocorrelation Brutoschuld/Samira Allouch

*Unverified author*
R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Thu, 04 Jun 2009 02:00:44 -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/04/t1244102503mq17ycod4lmecw5.htm/, Retrieved Thu, 04 Jun 2009 10:01:45 +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/04/t1244102503mq17ycod4lmecw5.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 «
260288 261544 259886 257006 259670 258873 264416 263596 262586 260237 261690 259295 264170 264451 265538 261723 266189 265073 267007 266376 267406 262742 260300 263074 265940 264771 268403 264264 264118 266817 269296 269001 266707 267507 267510 267420 270845 270671 273653 271567 268372 268160 267879 271142 271323 269478 271008 269145 271684 273582 279475 276188 278422 281084 278618 280738 288897 282129 286406 284288 286139 288275 287670 286864 288798 288316 286915 288006 293338 303730 306248 305700 314849
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.8825037.54010
20.8089486.91170
30.7249266.19380
40.6447495.50870
50.6026985.14951e-06
60.5811844.96562e-06
70.5544194.7375e-06
80.5245794.4821.3e-05
90.4818084.11665e-05
100.4556523.89310.000108
110.4225693.61040.000279
120.3900863.33290.000676
130.3565453.04630.001611
140.3252082.77860.003468
150.2776092.37190.010168
160.2534442.16540.016812
170.2076941.77450.040071
180.1852321.58260.058916
190.168831.44250.076721
200.1334691.14040.128932
210.0933680.79770.213805
220.0685540.58570.279933
230.02250.19220.424044
240.0012020.01030.495917
25-0.014909-0.12740.449495
26-0.024474-0.20910.417472
27-0.045258-0.38670.350057
28-0.062926-0.53760.29623
29-0.079049-0.67540.250779
30-0.087417-0.74690.228765
31-0.08851-0.75620.225972
32-0.087967-0.75160.227356
33-0.100461-0.85830.196757
34-0.12025-1.02740.153809
35-0.149784-1.27980.102342
36-0.163027-1.39290.083938
37-0.180269-1.54020.063916
38-0.184113-1.57310.060015
39-0.190428-1.6270.054021
40-0.198199-1.69340.04732
41-0.212581-1.81630.036716
42-0.225786-1.92910.028802
43-0.245887-2.10090.019553
44-0.255203-2.18050.016224
45-0.263509-2.25140.013684
46-0.268775-2.29640.012262
47-0.297313-2.54020.006602
48-0.304069-2.5980.005669


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.8825037.54010
20.1362491.16410.124084
3-0.055024-0.47010.319833
4-0.040932-0.34970.363776
50.1320521.12830.131454
60.127771.09170.139285
7-0.008048-0.06880.472684
8-0.04056-0.34650.364965
9-0.05363-0.45820.324081
100.080230.68550.247605
11-0.002963-0.02530.489937
12-0.041604-0.35550.361632
13-0.04961-0.42390.336455
140.002880.02460.490219
15-0.074801-0.63910.262379
160.0466470.39860.345693
17-0.098687-0.84320.20094
180.0350920.29980.38258
190.0361070.30850.379292
20-0.090258-0.77120.221548
21-0.095155-0.8130.209429
220.0434320.37110.355826
23-0.061318-0.52390.300968
240.0214540.18330.427534
250.0123420.10550.458153
260.0061280.05240.479194
27-0.053495-0.45710.324492
28-0.004432-0.03790.484947
290.0151680.12960.44862
300.0248380.21220.416265
310.0509080.4350.332438
32-0.033698-0.28790.387113
33-0.052166-0.44570.328565
34-0.045027-0.38470.350786
35-0.052584-0.44930.327281
360.0401840.34330.366169
37-0.023766-0.20310.419828
38-0.037199-0.31780.375762
39-0.008732-0.07460.470365
40-0.017902-0.1530.439429
41-0.044024-0.37610.35395
42-0.018314-0.15650.438046
43-0.045065-0.3850.350666
44-0.0203-0.17340.431392
45-0.003049-0.02610.489643
46-0.01326-0.11330.455053
47-0.142293-1.21580.113998
480.0419020.3580.360684
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244102503mq17ycod4lmecw5/1cr561244102442.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244102503mq17ycod4lmecw5/1cr561244102442.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244102503mq17ycod4lmecw5/2g4n31244102442.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244102503mq17ycod4lmecw5/2g4n31244102442.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')
 




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This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

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