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TIJDREEKS B - STAP 18

*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 17:45:51 +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/t1280857530i8rtddngv4ut43c.htm/, Retrieved Tue, 03 Aug 2010 19:45:33 +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/t1280857530i8rtddngv4ut43c.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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.080827	0.7364	0.231792
2	-0.281439	-2.564	0.006074
3	-0.405359	-3.693	0.000198
4	-0.20508	-1.8684	0.03262
5	0.221222	2.0154	0.023548
6	0.153862	1.4018	0.082359
7	0.30734	2.8	0.003177
8	-0.155765	-1.4191	0.079809
9	-0.373917	-3.4065	0.000508
10	-0.268413	-2.4454	0.008293
11	0.086872	0.7914	0.215472
12	0.662189	6.0328	0
13	-0.014225	-0.1296	0.4486
14	-0.156484	-1.4256	0.078861
15	-0.22424	-2.0429	0.022117
16	-0.125769	-1.1458	0.127583
17	0.161866	1.4747	0.072042
18	0.073814	0.6725	0.251575
19	0.248772	2.2664	0.013014
20	-0.096733	-0.8813	0.190356
21	-0.242994	-2.2138	0.014794
22	-0.228137	-2.0784	0.020379
23	0.052427	0.4776	0.317085
24	0.417536	3.8039	0.000136
25	-0.037073	-0.3378	0.368202
26	-0.040316	-0.3673	0.357167
27	-0.137679	-1.2543	0.106624
28	-0.09265	-0.8441	0.200524
29	0.045798	0.4172	0.338789
30	0.051251	0.4669	0.32089
31	0.228382	2.0807	0.020274
32	-0.05	-0.4555	0.324962
33	-0.174339	-1.5883	0.05801
34	-0.178878	-1.6297	0.053482
35	0.052925	0.4822	0.315479
36	0.242662	2.2108	0.014902
37	-0.006815	-0.0621	0.475322
38	0.059945	0.5461	0.293223
39	-0.138615	-1.2628	0.105091
40	-0.095296	-0.8682	0.193896
41	-0.009716	-0.0885	0.46484
42	0.06754	0.6153	0.270013
43	0.186925	1.703	0.046158
44	-0.053634	-0.4886	0.313195
45	-0.114011	-1.0387	0.150983
46	-0.131664	-1.1995	0.116871
47	0.012058	0.1099	0.456394
48	0.130826	1.1919	0.118351

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.080827	0.7364	0.231792
2	-0.289866	-2.6408	0.00494
3	-0.387463	-3.53	0.00034
4	-0.319687	-2.9125	0.002302
5	-0.033441	-0.3047	0.380694
6	-0.195887	-1.7846	0.038989
7	0.242446	2.2088	0.014973
8	-0.135685	-1.2362	0.109944
9	-0.234338	-2.1349	0.017858
10	-0.333024	-3.034	0.001611
11	-0.191092	-1.7409	0.042701
12	0.357014	3.2526	0.000827
13	-0.318068	-2.8977	0.002403
14	-0.02559	-0.2331	0.408116
15	0.090219	0.8219	0.206734
16	0.027322	0.2489	0.402021
17	0.047048	0.4286	0.334651
18	-0.064479	-0.5874	0.279255
19	-0.031164	-0.2839	0.38859
20	0.098234	0.895	0.186699
21	0.072603	0.6614	0.255079
22	-0.12823	-1.1682	0.123029
23	-0.03246	-0.2957	0.384091
24	-0.004206	-0.0383	0.484764
25	0.029393	0.2678	0.394765
26	0.018748	0.1708	0.432397
27	-0.070239	-0.6399	0.261998
28	-0.001175	-0.0107	0.495742
29	-0.056591	-0.5156	0.303763
30	0.067341	0.6135	0.270611
31	-0.040613	-0.37	0.35616
32	-0.070452	-0.6418	0.261372
33	-0.056639	-0.516	0.303612
34	0.02429	0.2213	0.412703
35	0.004712	0.0429	0.482929
36	-0.087256	-0.7949	0.214457
37	0.038645	0.3521	0.362837
38	0.092975	0.847	0.199704
39	-0.057207	-0.5212	0.301816
40	0.025665	0.2338	0.40785
41	0.009208	0.0839	0.466672
42	0.024607	0.2242	0.411583
43	-0.00156	-0.0142	0.494346
44	-0.039641	-0.3611	0.359455
45	-0.030957	-0.282	0.389309
46	0.041966	0.3823	0.351598
47	-0.099459	-0.9061	0.183748
48	-0.034579	-0.315	0.376766

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/03/t1280857530i8rtddngv4ut43c/1h1hk1280857549.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/03/t1280857530i8rtddngv4ut43c/1h1hk1280857549.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/03/t1280857530i8rtddngv4ut43c/2h1hk1280857549.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/03/t1280857530i8rtddngv4ut43c/2h1hk1280857549.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

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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