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Oef 6 bis stap 2

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 16 Nov 2010 20:06:04 +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/Nov/16/t1289937898xo50jm25wyqeizc.htm/, Retrieved Tue, 16 Nov 2010 21:04:58 +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/2010/Nov/16/t1289937898xo50jm25wyqeizc.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:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

771.28 766.78 757.59 747.73 746.59 744.5 744.29 743.79 738.89 736.74 732.77 731.58 731.48 730.08 724.19 716.81 714.84 713.18 713.16 713.15 713.6 707.08 704.11 704.36 704.36 701.93 696.44 686.58 684.48 683.74 683.7 683.52 678.77 674.71 670.28 668.85 668.85 669.35 672.28 671.6 671.96 671.18 671.18 681.14 682.23 679.98 679.69 679.69 679.7 681.21 672.32 669.98 667.91 666.04 666.04 666.27 664.45 660.76 660.4 660.69 660.69 662.23 661.41 659.02 655.43 652.59 652.59 648.2 645.84 644.67 642.71 640.14 640.14 639.64 630.28 614.57 614.7 615.08 615.08 614.43 604.55 598.98 594.05 593.05 593.05 593.34 584.72 580.7 577.08 569.92 569.92 568.86 559.38 548.22 545.61 545.33

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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.949269	9.3009	0
2	0.896993	8.7887	0
3	0.848028	8.3089	0
4	0.806731	7.9043	0
5	0.768768	7.5324	0
6	0.729508	7.1477	0
7	0.68709	6.7321	0
8	0.645564	6.3252	0
9	0.606183	5.9394	0
10	0.56877	5.5728	0
11	0.535908	5.2508	0
12	0.501306	4.9118	2e-06
13	0.464057	4.5468	8e-06
14	0.425666	4.1707	3.3e-05
15	0.390535	3.8264	0.000116
16	0.35997	3.527	0.000323
17	0.334137	3.2739	0.000738
18	0.307652	3.0144	0.001647
19	0.278493	2.7287	0.003782
20	0.247305	2.4231	0.008632
21	0.215101	2.1076	0.018838
22	0.192036	1.8816	0.031463
23	0.173669	1.7016	0.046034
24	0.153924	1.5081	0.067402
25	0.132222	1.2955	0.099127
26	0.110868	1.0863	0.140037
27	0.091919	0.9006	0.185022
28	0.077186	0.7563	0.225671
29	0.064193	0.629	0.265434
30	0.052473	0.5141	0.304173
31	0.039397	0.386	0.350172
32	0.02706	0.2651	0.395736
33	0.018147	0.1778	0.429624
34	0.011675	0.1144	0.454582
35	0.007116	0.0697	0.47228
36	0.00186	0.0182	0.492748
37	-0.004442	-0.0435	0.482689
38	-0.011277	-0.1105	0.456126
39	-0.019373	-0.1898	0.424926
40	-0.025962	-0.2544	0.399875
41	-0.032228	-0.3158	0.376432
42	-0.039051	-0.3826	0.351424
43	-0.047093	-0.4614	0.322774
44	-0.058958	-0.5777	0.282419
45	-0.070507	-0.6908	0.245672
46	-0.080272	-0.7865	0.216755
47	-0.086223	-0.8448	0.20016
48	-0.09417	-0.9227	0.179245

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.949269	9.3009	0
2	-0.041647	-0.4081	0.342071
3	0.006206	0.0608	0.47582
4	0.050134	0.4912	0.3122
5	0.009374	0.0918	0.463505
6	-0.031389	-0.3075	0.379546
7	-0.04722	-0.4627	0.322329
8	-0.011038	-0.1081	0.457051
9	-0.005736	-0.0562	0.47765
10	-0.009198	-0.0901	0.46419
11	0.022766	0.2231	0.411981
12	-0.036163	-0.3543	0.361935
13	-0.043332	-0.4246	0.336052
14	-0.030772	-0.3015	0.38184
15	0.00508	0.0498	0.480201
16	0.014362	0.1407	0.444195
17	0.021383	0.2095	0.417248
18	-0.020307	-0.199	0.421356
19	-0.036266	-0.3553	0.361561
20	-0.035251	-0.3454	0.365281
21	-0.035852	-0.3513	0.363075
22	0.05946	0.5826	0.280768
23	0.018385	0.1801	0.428714
24	-0.029054	-0.2847	0.388255
25	-0.020246	-0.1984	0.421586
26	-0.003392	-0.0332	0.486779
27	0.002713	0.0266	0.489425
28	0.011302	0.1107	0.45603
29	-0.002834	-0.0278	0.488953
30	0.00567	0.0556	0.477908
31	-0.017309	-0.1696	0.432845
32	0.005858	0.0574	0.477173
33	0.02136	0.2093	0.417336
34	0.000963	0.0094	0.496247
35	0.002233	0.0219	0.491296
36	-0.009549	-0.0936	0.462826
37	-0.006991	-0.0685	0.472766
38	-0.004172	-0.0409	0.48374
39	-0.025727	-0.2521	0.400763
40	-0.003159	-0.0309	0.487688
41	-0.014834	-0.1453	0.442373
42	-0.017349	-0.17	0.432691
43	-0.010941	-0.1072	0.457426
44	-0.041143	-0.4031	0.34388
45	-0.013044	-0.1278	0.449284
46	-0.006479	-0.0635	0.474757
47	0.018861	0.1848	0.426887
48	-0.028798	-0.2822	0.389213

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289937898xo50jm25wyqeizc/1xl5j1289937960.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289937898xo50jm25wyqeizc/1xl5j1289937960.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289937898xo50jm25wyqeizc/2xl5j1289937960.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289937898xo50jm25wyqeizc/2xl5j1289937960.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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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