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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: Wed, 04 Aug 2010 14:03:59 +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/04/t1280930854txko20pn3blvk55.htm/, Retrieved Wed, 04 Aug 2010 16:07:36 +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/04/t1280930854txko20pn3blvk55.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:

Cols Julien

Dataseries X:

» Textbox « » Textfile « » CSV «

356 355 354 352 372 371 356 346 347 347 348 350 353 351 348 351 370 370 351 335 330 328 332 334 343 334 336 343 365 364 351 326 320 312 315 316 319 311 315 322 336 339 317 295 291 283 285 289 296 283 285 289 306 306 283 258 255 248 244 249 258 252 246 249 267 284 261 235 229 218 218 229 237 231 229 233 245 256 224 194 192 178 170 187 192 182 178 186 204 224 194 173 178 168 152 163 172 170 156 155 178 194 164 135 139 135 109 121 131 135 119 121 151 169 135 105 112 105 82 81

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	0.248619	2.7121	0.003838
2	-0.396948	-4.3302	1.6e-05
3	-0.202127	-2.2049	0.01469
4	0.079509	0.8673	0.19375
5	-0.078475	-0.8561	0.196843
6	-0.142725	-1.5569	0.06107
7	-0.106877	-1.1659	0.122995
8	0.043595	0.4756	0.317627
9	-0.183602	-2.0029	0.023733
10	-0.360169	-3.929	7.2e-05
11	0.190632	2.0796	0.019857
12	0.821916	8.966	0
13	0.259887	2.835	0.002693
14	-0.305578	-3.3335	0.000572
15	-0.189846	-2.071	0.020262
16	0.010256	0.1119	0.455555
17	-0.062127	-0.6777	0.249631
18	-0.076679	-0.8365	0.202285
19	-0.088671	-0.9673	0.16768
20	0.011003	0.12	0.45233
21	-0.165965	-1.8105	0.036373
22	-0.282397	-3.0806	0.001283
23	0.149591	1.6318	0.052678
24	0.683976	7.4613	0
25	0.269091	2.9354	0.001999
26	-0.216327	-2.3598	0.009955
27	-0.167473	-1.8269	0.035109
28	-0.039016	-0.4256	0.335577
29	-0.068317	-0.7452	0.228795
30	-0.056476	-0.6161	0.269509
31	-0.069315	-0.7561	0.22553
32	-0.021272	-0.2321	0.408447
33	-0.15836	-1.7275	0.043336
34	-0.260878	-2.8458	0.002609
35	0.13237	1.444	0.075686
36	0.56126	6.1226	0
37	0.259301	2.8286	0.002744
38	-0.180508	-1.9691	0.025633
39	-0.122924	-1.3409	0.091247
40	-0.03023	-0.3298	0.371075
41	-0.061754	-0.6737	0.250918
42	-0.063248	-0.69	0.245784
43	-0.025569	-0.2789	0.390394
44	0.004084	0.0445	0.482271
45	-0.137765	-1.5028	0.067765
46	-0.226806	-2.4742	0.007382
47	0.105263	1.1483	0.126578
48	0.451315	4.9233	1e-06

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.248619	2.7121	0.003838
2	-0.488985	-5.3342	0
3	0.093002	1.0145	0.156195
4	-0.095188	-1.0384	0.150599
5	-0.216471	-2.3614	0.009915
6	-0.020207	-0.2204	0.412958
7	-0.260173	-2.8382	0.002668
8	0.04623	0.5043	0.30749
9	-0.53935	-5.8836	0
10	-0.42737	-4.6621	4e-06
11	0.185646	2.0252	0.022545
12	0.511715	5.5821	0
13	-0.021651	-0.2362	0.406849
14	0.225883	2.4641	0.007582
15	-0.058386	-0.6369	0.262701
16	-0.226237	-2.468	0.007505
17	0.016357	0.1784	0.429342
18	0.002392	0.0261	0.489612
19	-0.002755	-0.0301	0.488037
20	0.100536	1.0967	0.13749
21	-0.022509	-0.2455	0.403231
22	0.130057	1.4188	0.079292
23	-0.070284	-0.7667	0.222386
24	0.100645	1.0979	0.137231
25	0.038008	0.4146	0.339584
26	-0.001052	-0.0115	0.495431
27	0.144323	1.5744	0.059028
28	-0.039877	-0.435	0.332171
29	0.039877	0.435	0.332171
30	-0.06875	-0.75	0.227374
31	0.013334	0.1455	0.442298
32	-0.029481	-0.3216	0.374161
33	-0.019547	-0.2132	0.415756
34	-0.058664	-0.6399	0.261718
35	0.061058	0.6661	0.253331
36	-0.138149	-1.507	0.067227
37	0.028932	0.3156	0.376426
38	-0.20398	-2.2252	0.013978
39	0.093839	1.0237	0.154035
40	-0.02088	-0.2278	0.410107
41	0.024538	0.2677	0.394703
42	-0.020819	-0.2271	0.410363
43	0.076179	0.831	0.203815
44	-0.00179	-0.0195	0.492226
45	0.06213	0.6778	0.249622
46	0.115248	1.2572	0.105571
47	-0.055959	-0.6104	0.271368
48	0.013537	0.1477	0.441428

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/04/t1280930854txko20pn3blvk55/16rd61280930638.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/04/t1280930854txko20pn3blvk55/16rd61280930638.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/04/t1280930854txko20pn3blvk55/2h1vr1280930638.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/04/t1280930854txko20pn3blvk55/2h1vr1280930638.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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