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Methode1_3

*The author of this computation has been verified*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 26 Nov 2009 11:41:14 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Nov/26/t1259260936m9yolfmdv0n2cj5.htm/, Retrieved Thu, 26 Nov 2009 19:42:18 +0100

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/Nov/26/t1259260936m9yolfmdv0n2cj5.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 «

562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528

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	0.023477	0.1627	0.435737
2	0.167178	1.1582	0.126248
3	0.190929	1.3228	0.096086
4	0.140404	0.9727	0.167778
5	-0.010652	-0.0738	0.470739
6	0.118436	0.8205	0.20798
7	0.051697	0.3582	0.360895
8	0.085489	0.5923	0.27822
9	-0.047555	-0.3295	0.371616
10	-0.056078	-0.3885	0.349676
11	0.293609	2.0342	0.02374
12	-0.108756	-0.7535	0.22742
13	-0.023546	-0.1631	0.435551
14	0.109254	0.7569	0.226394
15	-0.035746	-0.2477	0.402729
16	-0.117449	-0.8137	0.209914
17	0.02758	0.1911	0.424635
18	-0.084248	-0.5837	0.281081
19	-0.044166	-0.306	0.380468
20	-0.057846	-0.4008	0.345185
21	-0.086256	-0.5976	0.276459
22	0.001807	0.0125	0.495031
23	-0.046139	-0.3197	0.375307
24	-0.12077	-0.8367	0.203448
25	-0.095379	-0.6608	0.255949
26	-0.182084	-1.2615	0.10661
27	-0.115589	-0.8008	0.213591
28	-0.096175	-0.6663	0.254199
29	-0.007643	-0.053	0.478994
30	-0.037265	-0.2582	0.398687
31	0.06252	0.4331	0.333424
32	-0.08627	-0.5977	0.276426
33	0.027697	0.1919	0.424319
34	-0.056976	-0.3947	0.347391
35	0.011121	0.077	0.469453
36	-0.031824	-0.2205	0.413215

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.023477	0.1627	0.435737
2	0.166719	1.1551	0.126892
3	0.189101	1.3101	0.098193
4	0.118468	0.8208	0.207917
5	-0.073499	-0.5092	0.306467
6	0.043503	0.3014	0.382206
7	0.020971	0.1453	0.442544
8	0.067964	0.4709	0.319933
9	-0.081829	-0.5669	0.286702
10	-0.12647	-0.8762	0.192639
11	0.315155	2.1835	0.016961
12	-0.086158	-0.5969	0.276683
13	-0.089439	-0.6196	0.269209
14	0.046964	0.3254	0.373156
15	-0.059362	-0.4113	0.341352
16	-0.062666	-0.4342	0.333058
17	-0.028389	-0.1967	0.422452
18	-0.071091	-0.4925	0.312295
19	-0.023773	-0.1647	0.434935
20	0.030193	0.2092	0.417596
21	-0.02957	-0.2049	0.419272
22	-0.081043	-0.5615	0.28854
23	0.074878	0.5188	0.303152
24	-0.061271	-0.4245	0.336549
25	-0.195248	-1.3527	0.091242
26	-0.141193	-0.9782	0.166437
27	0.019084	0.1322	0.447683
28	-0.030278	-0.2098	0.417366
29	0.141194	0.9782	0.166435
30	0.059412	0.4116	0.341226
31	0.080374	0.5568	0.290109
32	-0.02302	-0.1595	0.436977
33	-0.007306	-0.0506	0.479921
34	-0.150481	-1.0426	0.151187
35	0.009821	0.068	0.473017
36	0.051731	0.3584	0.360807

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259260936m9yolfmdv0n2cj5/1cbew1259260872.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259260936m9yolfmdv0n2cj5/1cbew1259260872.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259260936m9yolfmdv0n2cj5/2dm8g1259260872.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259260936m9yolfmdv0n2cj5/2dm8g1259260872.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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