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Tijdreeks A stap 21

*Unverified author*
R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Mon, 02 Aug 2010 12:18:06 +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/Aug/02/t1280751496t1g5la0r045gav6.htm/, Retrieved Mon, 02 Aug 2010 14:18:16 +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/Aug/02/t1280751496t1g5la0r045gav6.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:
Bogaerts Yannik
 
Dataseries X:
» Textbox « » Textfile « » CSV «
442 441 440 438 458 457 442 432 433 433 434 436 439 439 441 436 460 453 435 421 412 408 402 409 410 410 416 410 437 431 411 398 394 395 389 404 397 401 402 383 406 400 377 372 362 365 361 372 355 365 367 341 370 366 333 320 298 306 293 313 293 304 304 286 320 313 283 272 251 262 247 268 251 257 261 242 274 272 243 234 217 231 209 226 208 214 222 194 230 226 197 188 175 190 165 176 159 169 170 141 170 164 132 123 113 125 101 99 87 90 89 66 102 97 65 54 33 49 30 34
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'Sir Ronald Aylmer Fisher' @ 193.190.124.24


Autocorrelation Function
Time lag kACF(k)T-STATP-value
1-0.333791-3.64120.000201
2-0.009179-0.10010.460205
30.0385720.42080.337339
4-0.193077-2.10620.018643
50.2192872.39210.009158
6-0.301234-3.28610.000668
70.2080812.26990.012507
8-0.163285-1.78120.038713
90.0258960.28250.389031
100.0016940.01850.492645
11-0.317233-3.46060.000375
120.8722829.51550
13-0.307914-3.35890.000526
14-0.01412-0.1540.438924
150.0511710.55820.288874
16-0.197592-2.15550.016569
170.2183172.38160.009413
18-0.269214-2.93680.001991
190.1725211.8820.031141
20-0.158576-1.72990.043124
210.0048470.05290.478961
220.0305940.33370.369582
23-0.294906-3.2170.000834
240.7530058.21430
25-0.254286-2.77390.003216
26-0.03171-0.34590.365009
270.0429990.46910.319941
28-0.187446-2.04480.021541
290.2040022.22540.013969
30-0.236715-2.58230.005514
310.1467031.60030.056088
32-0.158936-1.73380.042773
330.0118150.12890.448832
340.0304510.33220.370167
35-0.247838-2.70360.003932
360.6240636.80770
37-0.184614-2.01390.023138
38-0.050112-0.54670.292817
390.0382760.41750.338518
40-0.154095-1.6810.047695
410.1684131.83720.03434
42-0.184969-2.01780.022932
430.1021411.11420.133715
44-0.138477-1.51060.06677
450.0097670.10650.457665
460.0090640.09890.460701
47-0.190137-2.07420.020111
480.5065325.52560
49-0.122052-1.33140.092797
50-0.062836-0.68550.247192
510.0397830.4340.332544
52-0.128272-1.39930.082165
530.1405341.5330.06396
54-0.150656-1.64350.051463
550.0740340.80760.21046
56-0.095534-1.04220.149726
570.0006810.00740.497044
58-0.006504-0.07090.471779
59-0.129452-1.41220.080257
600.3778564.12193.5e-05


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.333791-3.64120.000201
2-0.135716-1.48050.070693
3-0.011704-0.12770.449312
4-0.210511-2.29640.011701
50.096881.05680.146363
6-0.26534-2.89450.002259
70.0693710.75680.225347
8-0.211735-2.30980.011313
90.0031570.03440.486293
10-0.204204-2.22760.013894
11-0.348822-3.80520.000113
120.7941568.66320
130.1179951.28720.100267
140.0182050.19860.421462
150.0066550.07260.471125
160.0575810.62810.26556
17-0.014576-0.1590.436968
180.1081921.18020.12013
19-0.0647-0.70580.240849
20-0.119347-1.30190.097729
21-0.097621-1.06490.144534
220.0574170.62630.266143
230.0115580.12610.449938
24-0.039816-0.43430.332413
250.0816840.89110.187347
26-0.034678-0.37830.352942
27-0.09536-1.04030.150165
280.041450.45220.325988
29-0.021015-0.22920.409537
30-0.045835-0.50.309
310.0065650.07160.471513
32-0.051554-0.56240.287453
330.0472450.51540.303622
34-0.06953-0.75850.224829
350.1151721.25640.10572
36-0.112235-1.22430.111622
370.0893950.97520.165723
38-0.0219-0.23890.405796
390.0448220.48890.312889
400.019070.2080.417783
410.0010960.0120.495238
420.0313720.34220.36639
43-0.058807-0.64150.261213
440.0671810.73290.232543
45-0.035406-0.38620.350008
46-0.086217-0.94050.17443
47-0.005412-0.0590.476509
48-0.006129-0.06690.473404
49-0.021652-0.23620.406843
500.0119350.13020.448314
510.041070.4480.327475
52-0.05453-0.59490.276536
530.0386320.42140.337104
54-0.026378-0.28770.38702
550.0210650.22980.409324
560.118871.29670.098618
57-0.009673-0.10550.458069
580.0278010.30330.381106
590.0107910.11770.453246
60-0.070125-0.7650.222901
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Aug/02/t1280751496t1g5la0r045gav6/1x9uc1280751482.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Aug/02/t1280751496t1g5la0r045gav6/1x9uc1280751482.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Aug/02/t1280751496t1g5la0r045gav6/281tx1280751482.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Aug/02/t1280751496t1g5la0r045gav6/281tx1280751482.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 60 ; 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')
 




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