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Autocorrelation Omzet Product Y

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sat, 24 Jul 2010 08:56:01 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Jul/24/t1279961762f80y5g0b4xahq5y.htm/, Retrieved Sat, 24 Jul 2010 10:56:04 +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/2010/Jul/24/t1279961762f80y5g0b4xahq5y.htm/},
    year = {2010},
}
@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 = {2010},
    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:

Febiri Lordina

Dataseries X:

» Textbox « » Textfile « » CSV «

297 296 295 293 291 290 291 293 294 294 295 297 302 297 301 298 295 287 290 288 288 287 274 282 296 292 298 296 292 296 293 295 294 291 279 284 299 296 299 299 291 298 288 284 277 270 251 257 269 271 268 268 258 261 255 251 239 229 210 218 226 227 222 215 203 205 194 190 182 179 158 163 165 169 163 154 142 146 133 131 128 120 88 95

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	-0.003474	-0.0316	0.487415
2	0.012818	0.1168	0.453658
3	-0.062487	-0.5693	0.28535
4	0.041324	0.3765	0.353759
5	-0.084856	-0.7731	0.220837
6	0.294782	2.6856	0.004371
7	-0.094633	-0.8621	0.195545
8	0.031998	0.2915	0.385691
9	-0.108043	-0.9843	0.163909
10	-0.029767	-0.2712	0.393459
11	0.002755	0.0251	0.490019
12	0.703154	6.406	0
13	0.020613	0.1878	0.42575
14	0.014219	0.1295	0.448622
15	-0.065289	-0.5948	0.276795
16	-0.033097	-0.3015	0.381885
17	-0.034255	-0.3121	0.377881
18	0.236203	2.1519	0.017155
19	-0.113774	-1.0365	0.151482
20	0.007473	0.0681	0.472941
21	-0.064157	-0.5845	0.280234
22	-0.109982	-1.002	0.159632
23	-0.005172	-0.0471	0.481266
24	0.49206	4.4829	1.2e-05
25	0.032903	0.2998	0.382554
26	-0.009105	-0.083	0.467045
27	-0.082613	-0.7526	0.226897
28	-0.058291	-0.5311	0.2984
29	-0.008421	-0.0767	0.469516
30	0.127154	1.1584	0.125005
31	-0.1347	-1.2272	0.111613
32	-0.062382	-0.5683	0.285675
33	-0.055009	-0.5012	0.308793
34	-0.182972	-1.667	0.049646
35	-0.014351	-0.1307	0.448147
36	0.298427	2.7188	0.003988
37	-0.029724	-0.2708	0.393608
38	-0.056269	-0.5126	0.304783
39	-0.049356	-0.4497	0.327066
40	-0.069909	-0.6369	0.26297
41	-0.006725	-0.0613	0.475647
42	0.048146	0.4386	0.331036
43	-0.110988	-1.0111	0.157443
44	-0.097089	-0.8845	0.189486
45	-0.018029	-0.1642	0.434968
46	-0.197784	-1.8019	0.037596
47	-0.018679	-0.1702	0.432645
48	0.127108	1.158	0.125091

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.003474	-0.0316	0.487415
2	0.012806	0.1167	0.453701
3	-0.06241	-0.5686	0.285589
4	0.040948	0.3731	0.355028
5	-0.083637	-0.762	0.224118
6	0.293868	2.6773	0.004472
7	-0.107509	-0.9795	0.1651
8	0.030956	0.282	0.389314
9	-0.084367	-0.7686	0.22215
10	-0.064661	-0.5891	0.2787
11	0.072988	0.665	0.253962
12	0.6666	6.073	0
13	0.077992	0.7105	0.239681
14	-0.0407	-0.3708	0.355866
15	-0.049853	-0.4542	0.325442
16	-0.152132	-1.386	0.084732
17	0.055808	0.5084	0.306248
18	-0.039118	-0.3564	0.36123
19	-0.064136	-0.5843	0.280299
20	-0.015338	-0.1397	0.444605
21	0.111042	1.0116	0.157326
22	-0.065375	-0.5956	0.276535
23	-0.041928	-0.382	0.351727
24	-0.015311	-0.1395	0.444701
25	-0.005404	-0.0492	0.480425
26	-0.012694	-0.1157	0.454104
27	-0.067821	-0.6179	0.269174
28	0.033388	0.3042	0.380876
29	0.004611	0.042	0.483295
30	-0.094586	-0.8617	0.195661
31	-0.08696	-0.7922	0.215239
32	-0.13603	-1.2393	0.109365
33	0.003781	0.0344	0.486301
34	-0.061373	-0.5591	0.288789
35	-0.009871	-0.0899	0.464281
36	-0.059719	-0.5441	0.293926
37	-0.122146	-1.1128	0.134502
38	-0.069185	-0.6303	0.265112
39	0.045146	0.4113	0.340957
40	0.060903	0.5549	0.290243
41	-0.04702	-0.4284	0.334743
42	-0.043556	-0.3968	0.346261
43	0.031235	0.2846	0.388344
44	0.016227	0.1478	0.441416
45	0.05703	0.5196	0.302373
46	-0.054413	-0.4957	0.310699
47	-0.025153	-0.2292	0.409655
48	-0.086699	-0.7899	0.215929

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jul/24/t1279961762f80y5g0b4xahq5y/1ot7s1279961759.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/24/t1279961762f80y5g0b4xahq5y/1ot7s1279961759.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/24/t1279961762f80y5g0b4xahq5y/2ot7s1279961759.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/24/t1279961762f80y5g0b4xahq5y/2ot7s1279961759.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; 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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