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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: Tue, 03 Aug 2010 13:41:10 +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/03/t1280842855bd9q8zrvm3a1upp.htm/, Retrieved Tue, 03 Aug 2010 15:40:57 +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/03/t1280842855bd9q8zrvm3a1upp.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:

Lisa Bruggeman

Dataseries X:

» Textbox « » Textfile « » CSV «

95 94 93 91 111 110 95 85 86 86 87 89 93 96 99 92 109 110 97 88 93 93 89 89 91 97 99 85 101 105 88 80 87 84 87 87 85 96 102 93 111 117 101 88 98 89 93 93 95 105 109 94 113 125 106 95 109 100 94 94 94 103 103 80 106 117 99 95 116 118 100 100 105 121 131 108 136 149 131 137 164 169 154 160 166 186 197 166 191 207 187 191 222 230 210 224 234 251 258 227 254 281 261 264 286 293 276 292 299 319 329 293 318 346 327 329 353 355 332 346

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	3 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.188734	-2.0588	0.020846
2	-0.561982	-6.1305	0
3	0.322027	3.5129	0.000314
4	0.277453	3.0267	0.001516
5	-0.126388	-1.3787	0.085281
6	-0.125732	-1.3716	0.086388
7	-0.052404	-0.5717	0.284314
8	0.21241	2.3171	0.011103
9	0.278325	3.0362	0.001472
10	-0.469875	-5.1257	1e-06
11	-0.197744	-2.1571	0.016503
12	0.840346	9.1671	0
13	-0.147297	-1.6068	0.055372
14	-0.515776	-5.6264	0
15	0.279388	3.0478	0.00142
16	0.274366	2.993	0.00168
17	-0.123205	-1.344	0.090752
18	-0.122917	-1.3409	0.091259
19	-0.064715	-0.706	0.240799
20	0.171783	1.8739	0.031697
21	0.245137	2.6741	0.004273
22	-0.393906	-4.297	1.8e-05
23	-0.192535	-2.1003	0.018907
24	0.690783	7.5356	0
25	-0.119328	-1.3017	0.097765
26	-0.475269	-5.1846	0
27	0.253274	2.7629	0.00332
28	0.252101	2.7501	0.003444
29	-0.142758	-1.5573	0.061027
30	-0.104281	-1.1376	0.128792
31	-0.045254	-0.4937	0.311228
32	0.115989	1.2653	0.104119
33	0.19219	2.0965	0.019076
34	-0.310136	-3.3832	0.000485
35	-0.170911	-1.8644	0.032364
36	0.538326	5.8724	0
37	-0.08267	-0.9018	0.184488
38	-0.413167	-4.5071	8e-06
39	0.199064	2.1715	0.015938
40	0.216737	2.3643	0.009841
41	-0.142922	-1.5591	0.060815
42	-0.098879	-1.0786	0.141465
43	-0.028906	-0.3153	0.376533
44	0.092209	1.0059	0.158256
45	0.146332	1.5963	0.056538
46	-0.259233	-2.8279	0.00275
47	-0.153757	-1.6773	0.048055
48	0.412195	4.4965	8e-06

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.188734	-2.0588	0.020846
2	-0.619676	-6.7599	0
3	0.056025	0.6112	0.271128
4	0.061914	0.6754	0.250366
5	0.312546	3.4095	0.000445
6	0.116343	1.2692	0.103431
7	-0.160625	-1.7522	0.041157
8	0.028112	0.3067	0.379819
9	0.39927	4.3555	1.4e-05
10	-0.198289	-2.1631	0.016268
11	-0.234466	-2.5577	0.005896
12	0.625874	6.8275	0
13	0.007237	0.0789	0.468603
14	0.325133	3.5468	0.000279
15	-0.131282	-1.4321	0.077366
16	-0.040901	-0.4462	0.328138
17	0.052382	0.5714	0.284397
18	-0.015144	-0.1652	0.434535
19	-0.156168	-1.7036	0.045534
20	-0.04465	-0.4871	0.313551
21	-0.181342	-1.9782	0.025108
22	0.081601	0.8902	0.187587
23	0.036105	0.3939	0.347195
24	-0.04263	-0.465	0.321376
25	-0.025227	-0.2752	0.391823
26	-0.098368	-1.0731	0.142707
27	0.069593	0.7592	0.224628
28	0.010957	0.1195	0.452529
29	-0.074092	-0.8083	0.210279
30	-0.01825	-0.1991	0.42127
31	0.025362	0.2767	0.391259
32	-0.041194	-0.4494	0.326991
33	-0.008138	-0.0888	0.464705
34	-0.051998	-0.5672	0.285813
35	0.050514	0.551	0.291318
36	-0.042222	-0.4606	0.322966
37	0.063885	0.6969	0.243611
38	-0.023181	-0.2529	0.400401
39	-0.062503	-0.6818	0.248338
40	-0.035381	-0.386	0.350106
41	-0.039789	-0.4341	0.332518
42	-0.068539	-0.7477	0.228067
43	0.006684	0.0729	0.470997
44	-0.011438	-0.1248	0.450455
45	0.041234	0.4498	0.326832
46	0.010303	0.1124	0.45535
47	-0.062199	-0.6785	0.249383
48	-0.062783	-0.6849	0.247376

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/03/t1280842855bd9q8zrvm3a1upp/1hma21280842867.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/03/t1280842855bd9q8zrvm3a1upp/1hma21280842867.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/03/t1280842855bd9q8zrvm3a1upp/2hma21280842867.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/03/t1280842855bd9q8zrvm3a1upp/2hma21280842867.ps (open in new window)

Parameters (Session):

Parameters (R input):

par1 = 48 ; 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')

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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