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Model 1: tweede link

*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: Fri, 27 Nov 2009 11:47:24 -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/27/t1259347728v6o6k1zwk2nu0kv.htm/, Retrieved Fri, 27 Nov 2009 19:48:50 +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/27/t1259347728v6o6k1zwk2nu0kv.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 «

8.4 8.4 8.4 8.6 8.9 8.8 8.3 7.5 7.2 7.4 8.8 9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.5 8.2 8.1 7.9 8.6 8.7 8.7 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8 8.2 8.1 8.1 8 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.4 6.1 6.5 7.7 7.9 7.5 6.9

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	0.796193	5.6299	0
2	0.459942	3.2523	0.001027
3	0.190789	1.3491	0.091695
4	0.087545	0.619	0.269352
5	0.163573	1.1566	0.126459
6	0.290947	2.0573	0.022445
7	0.357729	2.5295	0.00731
8	0.316781	2.24	0.014784
9	0.197502	1.3965	0.084359
10	0.102015	0.7214	0.237025
11	0.072065	0.5096	0.306296
12	0.076242	0.5391	0.2961
13	0.087586	0.6193	0.269256
14	0.061467	0.4346	0.332847
15	0.002332	0.0165	0.493455
16	-0.042684	-0.3018	0.38202
17	-0.080534	-0.5695	0.285797
18	-0.095395	-0.6745	0.251537
19	-0.102049	-0.7216	0.236952
20	-0.129989	-0.9192	0.181212
21	-0.178553	-1.2626	0.106303
22	-0.257791	-1.8229	0.037153
23	-0.295948	-2.0927	0.020737
24	-0.286142	-2.0233	0.024201
25	-0.24145	-1.7073	0.046984
26	-0.201489	-1.4247	0.080222
27	-0.196413	-1.3888	0.085517
28	-0.207371	-1.4663	0.074409
29	-0.19319	-1.3661	0.089017
30	-0.137099	-0.9694	0.168498
31	-0.053289	-0.3768	0.353955
32	-0.029789	-0.2106	0.417013
33	-0.086039	-0.6084	0.272843
34	-0.189519	-1.3401	0.093135
35	-0.303122	-2.1434	0.018485
36	-0.323825	-2.2898	0.013145

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.796193	5.6299	0
2	-0.475259	-3.3606	0.000748
3	0.10213	0.7222	0.236778
4	0.166304	1.1759	0.122592
5	0.24509	1.733	0.044626
6	0.007985	0.0565	0.477599
7	0.01387	0.0981	0.461133
8	-0.029888	-0.2113	0.416741
9	-0.01757	-0.1242	0.450811
10	0.083917	0.5934	0.2778
11	-0.010154	-0.0718	0.471525
12	-0.092345	-0.653	0.258382
13	-0.013749	-0.0972	0.461469
14	-0.072782	-0.5146	0.304533
15	-0.030445	-0.2153	0.415212
16	0.017702	0.1252	0.450445
17	-0.118542	-0.8382	0.202948
18	-0.019164	-0.1355	0.446377
19	-0.053521	-0.3784	0.353349
20	-0.072406	-0.512	0.305457
21	-0.089465	-0.6326	0.264933
22	-0.160377	-1.134	0.131093
23	0.073097	0.5169	0.303762
24	-0.077457	-0.5477	0.293166
25	0.024624	0.1741	0.431237
26	-0.08287	-0.586	0.280262
27	-0.012575	-0.0889	0.464751
28	0.063193	0.4468	0.328459
29	0.1096	0.775	0.220998
30	0.093995	0.6646	0.254667
31	0.065235	0.4613	0.323299
32	-0.155857	-1.1021	0.137853
33	-0.015017	-0.1062	0.457929
34	-0.087671	-0.6199	0.269061
35	-0.15353	-1.0856	0.141426
36	0.034486	0.2439	0.404172

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259347728v6o6k1zwk2nu0kv/13fd21259347642.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259347728v6o6k1zwk2nu0kv/13fd21259347642.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259347728v6o6k1zwk2nu0kv/2qk071259347642.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259347728v6o6k1zwk2nu0kv/2qk071259347642.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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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