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Autocorrelatie

*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: Wed, 02 Dec 2009 08:49:17 -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/02/t1259769020x0njw7b27t4qkvi.htm/, Retrieved Wed, 02 Dec 2009 16:50:22 +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/02/t1259769020x0njw7b27t4qkvi.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 «

108.5 112.3 116.6 115.5 120.1 132.9 128.1 129.3 132.5 131 124.9 120.8 122 122.1 127.4 135.2 137.3 135 136 138.4 134.7 138.4 133.9 133.6 141.2 151.8 155.4 156.6 161.6 160.7 156 159.5 168.7 169.9 169.9 185.9 190.8 195.8 211.9 227.1 251.3 256.7 251.9 251.2 270.3 267.2 243 229.9 187.2 178.2 175.2 192.4 187 184 194.1 212.7 217.5 200.5 205.9 196.5 206.3

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	0.950874	7.4266	0
2	0.888271	6.9376	0
3	0.816888	6.3801	0
4	0.745624	5.8235	0
5	0.666707	5.2071	1e-06
6	0.595088	4.6478	9e-06
7	0.532915	4.1622	5e-05
8	0.481403	3.7599	0.000192
9	0.449243	3.5087	0.000426
10	0.419303	3.2749	0.000873
11	0.396449	3.0964	0.001479
12	0.362705	2.8328	0.003122
13	0.32889	2.5687	0.006335
14	0.286601	2.2384	0.014427
15	0.242371	1.893	0.031554
16	0.192295	1.5019	0.069145
17	0.135067	1.0549	0.147813
18	0.083315	0.6507	0.258839
19	0.033018	0.2579	0.398683
20	-0.020752	-0.1621	0.435889
21	-0.079544	-0.6213	0.268372
22	-0.125959	-0.9838	0.164556
23	-0.165542	-1.2929	0.100456
24	-0.201953	-1.5773	0.059949
25	-0.231498	-1.8081	0.037764
26	-0.254352	-1.9866	0.025735
27	-0.274616	-2.1448	0.01798
28	-0.295268	-2.3061	0.012259
29	-0.313611	-2.4494	0.008599
30	-0.328787	-2.5679	0.006349
31	-0.349075	-2.7264	0.004174
32	-0.369217	-2.8837	0.002712
33	-0.382745	-2.9893	0.002013
34	-0.391214	-3.0555	0.001665
35	-0.396997	-3.1006	0.001461
36	-0.397524	-3.1048	0.001444

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.950874	7.4266	0
2	-0.165802	-1.295	0.100107
3	-0.108692	-0.8489	0.199625
4	-0.017337	-0.1354	0.446367
5	-0.120556	-0.9416	0.175063
6	0.049295	0.385	0.350785
7	0.050006	0.3906	0.348742
8	0.037052	0.2894	0.386635
9	0.150489	1.1754	0.12221
10	-0.07393	-0.5774	0.282893
11	0.020555	0.1605	0.436492
12	-0.157828	-1.2327	0.111214
13	-0.028575	-0.2232	0.412072
14	-0.066498	-0.5194	0.302693
15	-0.024414	-0.1907	0.424706
16	-0.028493	-0.2225	0.412318
17	-0.092594	-0.7232	0.236167
18	0.040837	0.3189	0.375428
19	-0.043736	-0.3416	0.366918
20	-0.149184	-1.1652	0.124244
21	-0.085834	-0.6704	0.25257
22	0.035005	0.2734	0.392737
23	0.019086	0.1491	0.440997
24	-0.048636	-0.3799	0.352684
25	0.030163	0.2356	0.407273
26	-0.000252	-0.002	0.499219
27	-0.053547	-0.4182	0.338629
28	-0.052782	-0.4122	0.340803
29	-0.04619	-0.3608	0.359766
30	0.036355	0.2839	0.388708
31	-0.084919	-0.6632	0.254839
32	0.01384	0.1081	0.457139
33	0.059289	0.4631	0.322483
34	-0.014518	-0.1134	0.455047
35	-0.00598	-0.0467	0.481449
36	-0.002805	-0.0219	0.491295

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259769020x0njw7b27t4qkvi/1yucn1259768955.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259769020x0njw7b27t4qkvi/1yucn1259768955.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259769020x0njw7b27t4qkvi/2ph9g1259768955.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259769020x0njw7b27t4qkvi/2ph9g1259768955.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; 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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