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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: Wed, 04 Aug 2010 15:06:28 +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/t1280934417ey2iimtfv0f9z90.htm/, Retrieved Wed, 04 Aug 2010 17:06:59 +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/t1280934417ey2iimtfv0f9z90.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:

Bogaerts Yannik

Dataseries X:

» Textbox « » Textfile « » CSV «

83 82 81 79 77 76 77 79 80 80 81 83 83 76 77 72 64 70 69 78 84 91 96 101 99 98 98 97 92 106 100 107 111 115 117 120 117 108 111 118 113 129 122 135 146 151 147 151 156 144 151 159 148 170 163 179 184 192 197 199 205 194 200 211 211 230 229 236 239 250 254 254 264 258 264 277 274 284 279 290 287 297 302 294

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	-0.356104	-3.2443	0.000849
2	0.273872	2.4951	0.007287
3	0.102821	0.9367	0.175804
4	-0.161437	-1.4708	0.072569
5	0.075751	0.6901	0.24602
6	-0.153424	-1.3978	0.082955
7	0.143518	1.3075	0.097324
8	-0.232615	-2.1192	0.01853
9	0.107093	0.9757	0.166033
10	0.344126	3.1351	0.001188
11	-0.345566	-3.1483	0.001141
12	0.708555	6.4552	0
13	-0.300778	-2.7402	0.003758
14	0.161039	1.4671	0.073059
15	0.016983	0.1547	0.438709
16	-0.11492	-1.047	0.149077
17	-0.016624	-0.1514	0.439995
18	-0.198933	-1.8124	0.036773
19	0.168072	1.5312	0.064761
20	-0.20426	-1.8609	0.03315
21	0.084813	0.7727	0.220951
22	0.328084	2.989	0.001841
23	-0.320236	-2.9175	0.002269
24	0.504803	4.599	8e-06
25	-0.212968	-1.9402	0.027874
26	0.105836	0.9642	0.168869
27	-0.083691	-0.7625	0.223973
28	-0.096942	-0.8832	0.189844
29	-0.036762	-0.3349	0.369266
30	-0.168748	-1.5374	0.064004
31	0.154273	1.4055	0.081803
32	-0.132312	-1.2054	0.115733
33	0.021369	0.1947	0.423059
34	0.229919	2.0947	0.019625
35	-0.197221	-1.7968	0.038005
36	0.264688	2.4114	0.009048
37	-0.119531	-1.089	0.139657
38	0.027198	0.2478	0.402456
39	-0.116795	-1.0641	0.145194
40	-0.086113	-0.7845	0.217482
41	-0.010701	-0.0975	0.461288
42	-0.144804	-1.3192	0.095361
43	0.075605	0.6888	0.246438
44	-0.066717	-0.6078	0.272484
45	-0.006972	-0.0635	0.474752
46	0.132321	1.2055	0.115717
47	-0.093023	-0.8475	0.199583
48	0.094015	0.8565	0.197089
49	-0.10138	-0.9236	0.179181
50	-0.006596	-0.0601	0.476113
51	-0.077224	-0.7035	0.241842
52	-0.05399	-0.4919	0.312055
53	-0.013277	-0.121	0.452008
54	-0.101145	-0.9215	0.179738
55	0.012325	0.1123	0.455436
56	-0.027199	-0.2478	0.402452
57	-0.020673	-0.1883	0.425536
58	0.04284	0.3903	0.34866
59	-0.064462	-0.5873	0.279307
60	0.01701	0.155	0.438612

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.356104	-3.2443	0.000849
2	0.168419	1.5344	0.06437
3	0.287472	2.619	0.005241
4	-0.119593	-1.0895	0.139534
5	-0.148	-1.3483	0.090608
6	-0.151786	-1.3828	0.085212
7	0.181614	1.6546	0.050893
8	-0.107475	-0.9791	0.165177
9	-0.074562	-0.6793	0.249421
10	0.545672	4.9713	2e-06
11	-0.076081	-0.6931	0.245081
12	0.444981	4.054	5.6e-05
13	-0.080443	-0.7329	0.232851
14	-0.105813	-0.964	0.168923
15	-0.071888	-0.6549	0.257163
16	-0.045942	-0.4186	0.338313
17	-0.147897	-1.3474	0.090758
18	-0.036727	-0.3346	0.369387
19	0.00228	0.0208	0.49174
20	0.045198	0.4118	0.340785
21	0.018359	0.1673	0.433788
22	0.003716	0.0339	0.486538
23	0.003245	0.0296	0.488242
24	0.011505	0.1048	0.458387
25	0.040849	0.3722	0.355364
26	0.021548	0.1963	0.422424
27	-0.071808	-0.6542	0.257395
28	-0.094332	-0.8594	0.196295
29	-0.018061	-0.1645	0.434852
30	0.132565	1.2077	0.115292
31	-0.048198	-0.4391	0.330862
32	-0.028795	-0.2623	0.396856
33	-0.053052	-0.4833	0.315069
34	-0.160014	-1.4578	0.074335
35	0.086693	0.7898	0.215945
36	-0.156406	-1.4249	0.078964
37	0.093464	0.8515	0.198473
38	0.04332	0.3947	0.347052
39	0.03279	0.2987	0.382947
40	-0.102018	-0.9294	0.177681
41	0.020987	0.1912	0.424416
42	-0.011318	-0.1031	0.459063
43	-0.060021	-0.5468	0.292987
44	-0.084329	-0.7683	0.222252
45	0.000461	0.0042	0.498329
46	-0.004788	-0.0436	0.482657
47	-0.009185	-0.0837	0.466755
48	-0.070342	-0.6408	0.261694
49	-0.060771	-0.5536	0.290655
50	0.046712	0.4256	0.335763
51	0.054634	0.4977	0.309991
52	0.078329	0.7136	0.238736
53	-0.009131	-0.0832	0.466952
54	-0.087113	-0.7936	0.214836
55	-0.03842	-0.35	0.363605
56	-0.100658	-0.917	0.180889
57	-0.0767	-0.6988	0.243323
58	0.045549	0.415	0.339618
59	-0.083565	-0.7613	0.224315
60	0.050556	0.4606	0.32315

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/04/t1280934417ey2iimtfv0f9z90/1q7up1280934386.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/04/t1280934417ey2iimtfv0f9z90/1q7up1280934386.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/04/t1280934417ey2iimtfv0f9z90/20gbs1280934386.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/04/t1280934417ey2iimtfv0f9z90/20gbs1280934386.ps (open in new window)

Parameters (Session):

Parameters (R input):

par1 = 60 ; 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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