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tijdreeks 2 - 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: Fri, 06 Aug 2010 07:24:09 +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/06/t1281079467nyz5ry8ew0gvmv2.htm/, Retrieved Fri, 06 Aug 2010 09:24:30 +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/06/t1281079467nyz5ry8ew0gvmv2.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:

Van de Walle Mathias

Dataseries X:

» Textbox « » Textfile « » CSV «

239 238 237 235 233 232 233 235 236 236 237 239 238 237 244 230 237 244 239 240 230 228 231 228 225 227 238 214 222 233 228 218 203 209 207 203 195 199 207 182 181 189 186 174 153 158 153 147 143 156 168 142 146 150 145 133 111 115 109 105 96 112 127 107 116 125 120 107 86 87 79 83 75 89 104 86 98 98 85 74 49 54 47 56

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	6 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.958941	8.7888	0
2	0.917371	8.4078	0
3	0.882681	8.0899	0
4	0.843929	7.7347	0
5	0.810464	7.428	0
6	0.778073	7.1312	0
7	0.764106	7.0031	0
8	0.746273	6.8397	0
9	0.719876	6.5978	0
10	0.696428	6.3829	0
11	0.671728	6.1565	0
12	0.643331	5.8962	0
13	0.596116	5.4635	0
14	0.550346	5.044	1e-06
15	0.509794	4.6723	6e-06
16	0.470714	4.3142	2.2e-05
17	0.432942	3.968	7.6e-05
18	0.395614	3.6259	0.000246
19	0.372429	3.4134	0.000495
20	0.342233	3.1366	0.001178
21	0.308273	2.8254	0.002949
22	0.278568	2.5531	0.006242
23	0.246881	2.2627	0.013117
24	0.211391	1.9374	0.028027
25	0.163779	1.5011	0.068545
26	0.120008	1.0999	0.137261
27	0.077637	0.7116	0.239357
28	0.038524	0.3531	0.362458
29	0.002092	0.0192	0.492375
30	-0.034777	-0.3187	0.375358
31	-0.061078	-0.5598	0.288556
32	-0.08953	-0.8206	0.207111
33	-0.117058	-1.0729	0.143205
34	-0.139899	-1.2822	0.10165
35	-0.16326	-1.4963	0.069162
36	-0.189837	-1.7399	0.042771
37	-0.22382	-2.0513	0.021675
38	-0.253629	-2.3246	0.011255
39	-0.282988	-2.5936	0.005601
40	-0.308795	-2.8302	0.00291
41	-0.328837	-3.0138	0.001705
42	-0.348114	-3.1905	0.000999
43	-0.362131	-3.319	0.000669
44	-0.378726	-3.4711	0.000411
45	-0.389657	-3.5713	0.000295
46	-0.395406	-3.624	0.000248
47	-0.400892	-3.6742	0.000209
48	-0.405922	-3.7203	0.000179

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.958941	8.7888	0
2	-0.027301	-0.2502	0.401516
3	0.063952	0.5861	0.279681
4	-0.070532	-0.6464	0.259879
5	0.053423	0.4896	0.312836
6	-0.015592	-0.1429	0.443354
7	0.227965	2.0893	0.019852
8	-0.076114	-0.6976	0.243679
9	-0.070563	-0.6467	0.259789
10	-0.011923	-0.1093	0.456624
11	-0.002436	-0.0223	0.491122
12	-0.056321	-0.5162	0.303538
13	-0.227934	-2.0891	0.019865
14	-0.028745	-0.2634	0.396425
15	-0.032786	-0.3005	0.382274
16	0.037927	0.3476	0.364504
17	-0.048228	-0.442	0.329807
18	-0.041251	-0.3781	0.353164
19	0.076824	0.7041	0.241659
20	-0.081897	-0.7506	0.227495
21	0.006898	0.0632	0.474869
22	-0.005304	-0.0486	0.480671
23	-0.016584	-0.152	0.439779
24	-0.075896	-0.6956	0.2443
25	-0.098988	-0.9072	0.183437
26	-0.026708	-0.2448	0.403611
27	-0.076855	-0.7044	0.241571
28	0.045125	0.4136	0.340119
29	-0.0531	-0.4867	0.313879
30	-0.051107	-0.4684	0.320355
31	0.014137	0.1296	0.448609
32	0.00224	0.0205	0.491833
33	0.025017	0.2293	0.409602
34	0.018397	0.1686	0.433252
35	0.001134	0.0104	0.495866
36	-0.069057	-0.6329	0.264252
37	-0.025122	-0.2302	0.409231
38	-0.014442	-0.1324	0.447506
39	-0.046966	-0.4304	0.333985
40	0.022191	0.2034	0.419665
41	-0.000822	-0.0075	0.497005
42	-0.033065	-0.303	0.381304
43	-0.027644	-0.2534	0.400303
44	-0.020622	-0.189	0.425273
45	0.045892	0.4206	0.337559
46	0.04725	0.4331	0.333042
47	0.028287	0.2593	0.398037
48	-0.015944	-0.1461	0.442085

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/06/t1281079467nyz5ry8ew0gvmv2/1boyr1281079442.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/06/t1281079467nyz5ry8ew0gvmv2/1boyr1281079442.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/06/t1281079467nyz5ry8ew0gvmv2/2boyr1281079442.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/06/t1281079467nyz5ry8ew0gvmv2/2boyr1281079442.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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