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BBWS9-Autocorellatie3

*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: Tue, 01 Dec 2009 13:21:05 -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/Dec/01/t1259698892qadszcs9meizvh0.htm/, Retrieved Tue, 01 Dec 2009 21:21:34 +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/Dec/01/t1259698892qadszcs9meizvh0.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:

lambda=1 D=1 d=1

Dataseries X:

» Textbox « » Textfile « » CSV «

96.8 114.1 110.3 103.9 101.6 94.6 95.9 104.7 102.8 98.1 113.9 80.9 95.7 113.2 105.9 108.8 102.3 99 100.7 115.5 100.7 109.9 114.6 85.4 100.5 114.8 116.5 112.9 102 106 105.3 118.8 106.1 109.3 117.2 92.5 104.2 112.5 122.4 113.3 100 110.7 112.8 109.8 117.3 109.1 115.9 96 99.8 116.8 115.7 99.4 94.3 91 93.2 103.1 94.1 91.8 102.7 82.6

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	-0.631799	-4.3314	3.9e-05
2	0.039068	0.2678	0.394999
3	0.354086	2.4275	0.009544
4	-0.320734	-2.1988	0.016423
5	0.072656	0.4981	0.310366
6	0.166295	1.1401	0.130018
7	-0.279062	-1.9132	0.030916
8	0.238515	1.6352	0.054346
9	-0.13946	-0.9561	0.171959
10	-0.028579	-0.1959	0.422756
11	0.186545	1.2789	0.103607
12	-0.217599	-1.4918	0.071219
13	0.087267	0.5983	0.276266
14	0.035553	0.2437	0.404248
15	-0.009644	-0.0661	0.473783
16	-0.092439	-0.6337	0.264665
17	0.128913	0.8838	0.190656
18	-0.047632	-0.3265	0.372729
19	-0.078741	-0.5398	0.295935
20	0.121387	0.8322	0.204755
21	0.025691	0.1761	0.430474
22	-0.282042	-1.9336	0.0296
23	0.396868	2.7208	0.004551
24	-0.272009	-1.8648	0.03423
25	0.033835	0.232	0.408788
26	0.149196	1.0228	0.15581
27	-0.173201	-1.1874	0.120517
28	0.041635	0.2854	0.388284
29	0.102288	0.7013	0.243302
30	-0.151204	-1.0366	0.152613
31	0.120951	0.8292	0.205591
32	-0.058465	-0.4008	0.345186
33	-0.051812	-0.3552	0.362013
34	0.14184	0.9724	0.167913
35	-0.172779	-1.1845	0.121082
36	0.069873	0.479	0.317072

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.631799	-4.3314	3.9e-05
2	-0.599342	-4.1089	7.9e-05
3	0.038698	0.2653	0.39597
4	0.195567	1.3407	0.093225
5	0.074813	0.5129	0.305214
6	0.0877	0.6012	0.275284
7	-0.158428	-1.0861	0.141481
8	-0.000779	-0.0053	0.49788
9	-0.126595	-0.8679	0.194931
10	-0.150284	-1.0303	0.154073
11	0.090392	0.6197	0.269226
12	0.091407	0.6267	0.26696
13	0.02306	0.1581	0.43753
14	-0.192093	-1.3169	0.097125
15	0.135533	0.9292	0.178776
16	-0.001671	-0.0115	0.495455
17	-0.026549	-0.182	0.428178
18	0.01842	0.1263	0.450025
19	-0.079315	-0.5438	0.294589
20	0.015699	0.1076	0.457374
21	0.213735	1.4653	0.074749
22	-0.238357	-1.6341	0.054461
23	-0.021455	-0.1471	0.441845
24	-0.000715	-0.0049	0.498055
25	0.109287	0.7492	0.228725
26	-0.008935	-0.0613	0.475707
27	0.04286	0.2938	0.385089
28	-0.069428	-0.476	0.318149
29	-0.118307	-0.8111	0.210707
30	0.055253	0.3788	0.353274
31	0.024899	0.1707	0.432596
32	0.004796	0.0329	0.486956
33	-0.023823	-0.1633	0.435482
34	-0.080256	-0.5502	0.292392
35	-0.14519	-0.9954	0.162326
36	-0.133794	-0.9172	0.181849

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/01/t1259698892qadszcs9meizvh0/16c2f1259698863.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/01/t1259698892qadszcs9meizvh0/16c2f1259698863.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/01/t1259698892qadszcs9meizvh0/2vbk21259698863.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/01/t1259698892qadszcs9meizvh0/2vbk21259698863.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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