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Tijdreeks 2 - Stap 17

*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 14:32:26 +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/t1280759723rqggqr2wt5u9kia.htm/, Retrieved Mon, 02 Aug 2010 16:35:23 +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/t1280759723rqggqr2wt5u9kia.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:

Van Puyenbroeck Cassandra

Dataseries X:

» Textbox « » Textfile « » CSV «

408 407 406 404 402 401 402 404 405 405 406 408 405 400 402 404 410 402 400 392 390 397 394 397 400 395 391 392 395 386 385 372 367 364 364 368 370 357 350 353 353 348 337 322 315 316 317 326 329 310 301 299 300 295 274 258 250 247 248 256 253 237 225 214 221 221 207 194 191 185 180 185 189 179 162 148 152 151 134 122 119 115 113 109

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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.965011	8.8445	0
2	0.928177	8.5069	0
3	0.891719	8.1727	0
4	0.85652	7.8501	0
5	0.82124	7.5268	0
6	0.786754	7.2107	0
7	0.753844	6.9091	0
8	0.718883	6.5887	0
9	0.681423	6.2453	0
10	0.647123	5.931	0
11	0.617178	5.6565	0
12	0.587332	5.383	0
13	0.55235	5.0624	1e-06
14	0.51394	4.7103	5e-06
15	0.475722	4.3601	1.8e-05
16	0.439052	4.024	6.2e-05
17	0.401981	3.6842	0.000203
18	0.367432	3.3676	0.000573
19	0.334561	3.0663	0.001458
20	0.301174	2.7603	0.003544
21	0.264697	2.426	0.008704
22	0.229685	2.1051	0.019135
23	0.198226	1.8168	0.03641
24	0.168898	1.548	0.062694
25	0.136918	1.2549	0.106503
26	0.101109	0.9267	0.178374
27	0.06473	0.5933	0.2773
28	0.029289	0.2684	0.39451
29	-0.004537	-0.0416	0.483466
30	-0.034489	-0.3161	0.376357
31	-0.060198	-0.5517	0.291302
32	-0.083894	-0.7689	0.222053
33	-0.108343	-0.993	0.161787
34	-0.131937	-1.2092	0.114985
35	-0.153251	-1.4046	0.081919
36	-0.1709	-1.5663	0.060516
37	-0.191138	-1.7518	0.041728
38	-0.213577	-1.9575	0.026806
39	-0.236	-2.163	0.016693
40	-0.258799	-2.3719	0.009991
41	-0.279849	-2.5649	0.00605
42	-0.297246	-2.7243	0.003919
43	-0.310992	-2.8503	0.002747
44	-0.322098	-2.9521	0.002046
45	-0.332979	-3.0518	0.001522
46	-0.344849	-3.1606	0.001095
47	-0.355086	-3.2544	0.000819
48	-0.363311	-3.3298	0.000646

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.965011	8.8445	0
2	-0.044639	-0.4091	0.341745
3	-0.012933	-0.1185	0.452965
4	-0.00123	-0.0113	0.495516
5	-0.021056	-0.193	0.423721
6	-0.007533	-0.069	0.472561
7	0.003376	0.0309	0.487695
8	-0.049879	-0.4572	0.324372
9	-0.054645	-0.5008	0.3089
10	0.026366	0.2416	0.404821
11	0.03925	0.3597	0.359976
12	-0.020847	-0.1911	0.424466
13	-0.092672	-0.8494	0.199049
14	-0.069878	-0.6404	0.261813
15	-0.020071	-0.184	0.427247
16	0.000652	0.006	0.497623
17	-0.032204	-0.2952	0.384302
18	0.002701	0.0248	0.490155
19	-0.008351	-0.0765	0.469585
20	-0.026302	-0.2411	0.405049
21	-0.058286	-0.5342	0.297308
22	-0.006749	-0.0619	0.475414
23	0.009868	0.0904	0.464075
24	-0.002652	-0.0243	0.490332
25	-0.05964	-0.5466	0.293048
26	-0.0794	-0.7277	0.234407
27	-0.036526	-0.3348	0.369319
28	-0.012757	-0.1169	0.453601
29	-0.005735	-0.0526	0.479102
30	0.012471	0.1143	0.454636
31	0.014669	0.1344	0.446688
32	0.001004	0.0092	0.496341
33	-0.020022	-0.1835	0.427422
34	-0.008653	-0.0793	0.468491
35	-0.008214	-0.0753	0.470085
36	0.013072	0.1198	0.452463
37	-0.063658	-0.5834	0.280582
38	-0.053671	-0.4919	0.312037
39	-0.021721	-0.1991	0.421343
40	-0.028261	-0.259	0.398127
41	0.002149	0.0197	0.492168
42	0.013704	0.1256	0.450175
43	-0.000406	-0.0037	0.49852
44	0.001493	0.0137	0.494556
45	-0.00769	-0.0705	0.471989
46	-0.031504	-0.2887	0.386745
47	-0.010778	-0.0988	0.460772
48	-0.010023	-0.0919	0.463515

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/02/t1280759723rqggqr2wt5u9kia/1qtwk1280759542.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/02/t1280759723rqggqr2wt5u9kia/1qtwk1280759542.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/02/t1280759723rqggqr2wt5u9kia/2qtwk1280759542.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/02/t1280759723rqggqr2wt5u9kia/2qtwk1280759542.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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