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TIJDREEKS B - 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: Tue, 03 Aug 2010 17:41:16 +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/t12808573390vk8mj8kcle9w5w.htm/, Retrieved Tue, 03 Aug 2010 19:42:19 +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/t12808573390vk8mj8kcle9w5w.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 «

162 161 160 158 156 155 156 158 159 159 160 162 152 157 149 150 144 146 151 148 151 151 145 140 139 144 140 134 130 132 136 137 146 139 132 131 137 145 142 142 137 139 139 139 150 146 138 134 137 143 136 138 129 132 124 132 154 145 136 132 135 148 142 139 126 124 115 126 147 136 127 123 132 156 153 147 129 119 108 121 138 128 123 125

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.757811	6.9455	0
2	0.47903	4.3904	1.6e-05
3	0.326824	2.9954	0.001801
4	0.362594	3.3232	0.00066
5	0.465111	4.2628	2.6e-05
6	0.456529	4.1842	3.5e-05
7	0.393928	3.6104	0.000259
8	0.209365	1.9189	0.029199
9	0.11231	1.0293	0.153137
10	0.181465	1.6632	0.050005
11	0.366373	3.3579	0.000591
12	0.477845	4.3795	1.7e-05
13	0.312994	2.8686	0.002606
14	0.149213	1.3676	0.08755
15	0.077259	0.7081	0.240425
16	0.11284	1.0342	0.152007
17	0.183797	1.6845	0.047896
18	0.166534	1.5263	0.065345
19	0.119619	1.0963	0.138035
20	-0.026003	-0.2383	0.406106
21	-0.119535	-1.0956	0.138203
22	-0.106685	-0.9778	0.165494
23	0.021332	0.1955	0.422733
24	0.118271	1.084	0.140739
25	0.035204	0.3226	0.373883
26	-0.036477	-0.3343	0.369485
27	-0.072279	-0.6624	0.25475
28	-0.026779	-0.2454	0.40336
29	0.035707	0.3273	0.372143
30	0.063843	0.5851	0.280013
31	0.073023	0.6693	0.25258
32	-0.021264	-0.1949	0.422977
33	-0.09932	-0.9103	0.18264
34	-0.094229	-0.8636	0.195127
35	0.00833	0.0763	0.469661
36	0.08193	0.7509	0.227405
37	0.037196	0.3409	0.367014
38	-0.014501	-0.1329	0.447294
39	-0.0762	-0.6984	0.243433
40	-0.07415	-0.6796	0.249314
41	-0.037877	-0.3472	0.364673
42	-0.00173	-0.0159	0.493693
43	0.005059	0.0464	0.481564
44	-0.0709	-0.6498	0.258795
45	-0.138135	-1.266	0.104501
46	-0.150764	-1.3818	0.085352
47	-0.08981	-0.8231	0.206386
48	-0.038082	-0.349	0.363972

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.757811	6.9455	0
2	-0.223733	-2.0505	0.021714
3	0.128925	1.1816	0.120346
4	0.293772	2.6925	0.00428
5	0.169378	1.5524	0.062166
6	-0.077066	-0.7063	0.240972
7	0.102822	0.9424	0.17435
8	-0.301816	-2.7662	0.003486
9	0.074349	0.6814	0.24874
10	0.205962	1.8877	0.031261
11	0.24483	2.2439	0.013735
12	0.030866	0.2829	0.388978
13	-0.315014	-2.8872	0.002471
14	0.097669	0.8951	0.186633
15	0.001812	0.0166	0.493396
16	-0.148842	-1.3642	0.088081
17	0.003758	0.0344	0.486304
18	-0.083179	-0.7624	0.223993
19	0.064279	0.5891	0.278679
20	-0.048235	-0.4421	0.329782
21	-0.104353	-0.9564	0.170804
22	-0.096314	-0.8827	0.189949
23	0.13928	1.2765	0.102644
24	0.057588	0.5278	0.299513
25	-0.048325	-0.4429	0.329487
26	0.053098	0.4867	0.313885
27	0.00211	0.0193	0.492309
28	0.035273	0.3233	0.373642
29	0.005424	0.0497	0.480235
30	0.005316	0.0487	0.480629
31	0.025724	0.2358	0.407095
32	-0.008949	-0.082	0.467413
33	0.007061	0.0647	0.474278
34	0.028787	0.2638	0.396275
35	-0.006156	-0.0564	0.47757
36	-0.005624	-0.0515	0.479506
37	0.034097	0.3125	0.377716
38	-0.055504	-0.5087	0.306149
39	-0.100833	-0.9241	0.179028
40	-0.017592	-0.1612	0.436147
41	-0.015726	-0.1441	0.442869
42	-0.046251	-0.4239	0.336363
43	-0.067141	-0.6154	0.269991
44	0.030412	0.2787	0.39057
45	-0.013574	-0.1244	0.450646
46	-0.028385	-0.2601	0.397693
47	-0.04206	-0.3855	0.350426
48	0.014823	0.1359	0.44613

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/03/t12808573390vk8mj8kcle9w5w/1w1rw1280857272.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/03/t12808573390vk8mj8kcle9w5w/1w1rw1280857272.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/03/t12808573390vk8mj8kcle9w5w/2w1rw1280857272.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/03/t12808573390vk8mj8kcle9w5w/2w1rw1280857272.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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