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WS 8 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: Fri, 27 Nov 2009 05:09:39 -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/t1259323866cndq9scahvxlerb.htm/, Retrieved Fri, 27 Nov 2009 13:11:08 +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/t1259323866cndq9scahvxlerb.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 «

1901 1395 1639 1643 1751 1797 1373 1558 1555 2061 2010 2119 1985 1963 2017 1975 1589 1679 1392 1511 1449 1767 1899 2179 2217 2049 2343 2175 1607 1702 1764 1766 1615 1953 2091 2411 2550 2351 2786 2525 2474 2332 1978 1789 1904 1997 2207 2453 1948 1384 1989 2140 2100 2045 2083 2022 1950 1422 1859 2147

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	0.660765	5.1183	2e-06
2	0.399146	3.0918	0.001508
3	0.230067	1.7821	0.039897
4	0.096993	0.7513	0.227704
5	-0.014705	-0.1139	0.454846
6	-0.103298	-0.8001	0.213392
7	-0.135363	-1.0485	0.149302
8	-0.082128	-0.6362	0.263544
9	-0.01631	-0.1263	0.449943
10	0.020613	0.1597	0.436839
11	0.168199	1.3029	0.098799
12	0.36138	2.7992	0.00344
13	0.300196	2.3253	0.011728
14	0.278708	2.1589	0.017435
15	0.18849	1.46	0.074748
16	0.031865	0.2468	0.402943
17	-0.071721	-0.5555	0.290294
18	-0.212791	-1.6483	0.052262
19	-0.285556	-2.2119	0.015396
20	-0.240032	-1.8593	0.033947
21	-0.174292	-1.3501	0.091033
22	-0.194918	-1.5098	0.068168
23	-0.099782	-0.7729	0.221305
24	0.029838	0.2311	0.409001
25	0.04719	0.3655	0.358001
26	0.052676	0.408	0.342353
27	0.049254	0.3815	0.352082
28	0.008038	0.0623	0.47528
29	-0.00457	-0.0354	0.485939
30	-0.108746	-0.8423	0.20147
31	-0.157894	-1.223	0.113048
32	-0.207093	-1.6041	0.056968
33	-0.223861	-1.734	0.044025
34	-0.27176	-2.105	0.019742
35	-0.204482	-1.5839	0.059236
36	-0.116669	-0.9037	0.18488

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.660765	5.1183	2e-06
2	-0.066499	-0.5151	0.304189
3	-0.012967	-0.1004	0.460164
4	-0.05969	-0.4624	0.322748
5	-0.073488	-0.5692	0.285661
6	-0.074182	-0.5746	0.283852
7	-0.012081	-0.0936	0.462878
8	0.083947	0.6503	0.259006
9	0.045549	0.3528	0.36273
10	0.002011	0.0156	0.493812
11	0.231066	1.7898	0.039264
12	0.255175	1.9766	0.026346
13	-0.202533	-1.5688	0.060975
14	0.120447	0.933	0.177285
15	-0.087876	-0.6807	0.249344
16	-0.175766	-1.3615	0.089226
17	-0.006461	-0.05	0.480126
18	-0.148123	-1.1474	0.127894
19	-0.033996	-0.2633	0.3966
20	0.055965	0.4335	0.333102
21	0.025947	0.201	0.420696
22	-0.136859	-1.0601	0.146672
23	0.036397	0.2819	0.389485
24	0.022027	0.1706	0.432547
25	-0.09281	-0.7189	0.237495
26	-0.111308	-0.8622	0.196009
27	0.091421	0.7081	0.240798
28	-0.029228	-0.2264	0.410831
29	0.005204	0.0403	0.48399
30	0.033429	0.2589	0.398284
31	0.063426	0.4913	0.312505
32	-0.193123	-1.4959	0.069958
33	0.000469	0.0036	0.498557
34	-0.055508	-0.43	0.334382
35	-0.061034	-0.4728	0.319049
36	0.006871	0.0532	0.478866

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259323866cndq9scahvxlerb/1if8v1259323777.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259323866cndq9scahvxlerb/1if8v1259323777.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259323866cndq9scahvxlerb/2jrfb1259323777.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259323866cndq9scahvxlerb/2jrfb1259323777.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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