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Tijdsreeks A - stap 20

*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 11:46:14 +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/t1281095154c1wqflr1wpivagp.htm/, Retrieved Fri, 06 Aug 2010 13:45:59 +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/06/t1281095154c1wqflr1wpivagp.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:

Gosselin Claudia

Dataseries X:

» Textbox « » Textfile « » CSV «

155 154 153 151 171 170 155 145 146 146 147 149 146 155 149 140 155 152 137 127 134 125 132 141 133 143 141 132 144 140 130 122 124 119 128 131 121 123 116 109 116 109 103 98 95 83 92 94 76 75 77 68 80 66 69 67 68 64 72 70 55 55 54 55 67 54 57 53 49 47 64 58 38 41 38 41 60 49 53 55 56 52 68 68 41 46 41 47 62 48 53 61 59 46 69 69 42 42 42 50 64 47 51 66 64 49 71 68 39 30 22 33 46 24 27 45 38 18 36 31

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	0.951771	10.4261	0
2	0.917465	10.0503	0
3	0.899863	9.8575	0
4	0.874458	9.5792	0
5	0.848288	9.2925	0
6	0.822371	9.0086	0
7	0.789839	8.6523	0
8	0.771839	8.4551	0
9	0.754575	8.266	0
10	0.718107	7.8665	0
11	0.702929	7.7002	0
12	0.700355	7.672	0
13	0.659106	7.2201	0
14	0.627401	6.8728	0
15	0.606217	6.6408	0
16	0.583399	6.3908	0
17	0.562065	6.1571	0
18	0.539316	5.9079	0
19	0.508482	5.5701	0
20	0.49214	5.3911	0
21	0.475673	5.2107	0
22	0.44522	4.8771	2e-06
23	0.427546	4.6835	4e-06
24	0.415329	4.5497	6e-06
25	0.376595	4.1254	3.4e-05
26	0.346421	3.7949	0.000117
27	0.318998	3.4944	0.000333
28	0.292155	3.2004	0.000878
29	0.269374	2.9508	0.001906
30	0.244917	2.6829	0.004164
31	0.209343	2.2932	0.011787
32	0.186322	2.0411	0.02172
33	0.166009	1.8185	0.035738
34	0.13418	1.4699	0.072107
35	0.112131	1.2283	0.110864
36	0.093408	1.0232	0.154128
37	0.059583	0.6527	0.257598
38	0.03638	0.3985	0.345476
39	0.01517	0.1662	0.434148
40	-0.006707	-0.0735	0.470776
41	-0.023757	-0.2602	0.397559
42	-0.041651	-0.4563	0.324513
43	-0.071322	-0.7813	0.218086
44	-0.089492	-0.9803	0.164447
45	-0.106133	-1.1626	0.123643
46	-0.128992	-1.413	0.080117
47	-0.144936	-1.5877	0.057494
48	-0.158706	-1.7385	0.042341
49	-0.180871	-1.9813	0.024919
50	-0.188854	-2.0688	0.020357
51	-0.201141	-2.2034	0.014738
52	-0.213132	-2.3347	0.010609
53	-0.221129	-2.4224	0.008458
54	-0.227976	-2.4974	0.006934
55	-0.247535	-2.7116	0.00384
56	-0.255835	-2.8025	0.002957
57	-0.263973	-2.8917	0.002275
58	-0.278615	-3.0521	0.001399
59	-0.286964	-3.1435	0.001052
60	-0.294522	-3.2263	0.000808

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.951771	10.4261	0
2	0.123187	1.3494	0.089867
3	0.183052	2.0052	0.023594
4	-0.036823	-0.4034	0.343694
5	-0.004251	-0.0466	0.481469
6	-0.031908	-0.3495	0.36365
7	-0.088823	-0.973	0.166253
8	0.118712	1.3004	0.097974
9	0.019337	0.2118	0.416301
10	-0.161627	-1.7705	0.039589
11	0.164261	1.7994	0.037235
12	0.133048	1.4575	0.0738
13	-0.345438	-3.7841	0.000121
14	0.011686	0.128	0.449175
15	0.041902	0.459	0.323526
16	0.022182	0.243	0.404212
17	-0.036202	-0.3966	0.346195
18	0.029169	0.3195	0.374939
19	-0.012369	-0.1355	0.446222
20	-0.024025	-0.2632	0.396433
21	-0.015978	-0.175	0.430677
22	0.026598	0.2914	0.385636
23	-0.016094	-0.1763	0.430177
24	-0.038963	-0.4268	0.33514
25	-0.149458	-1.6372	0.052101
26	0.01034	0.1133	0.455003
27	-0.054264	-0.5944	0.27667
28	0.003282	0.036	0.485688
29	0.00477	0.0523	0.479207
30	0.017532	0.1921	0.424013
31	-0.083405	-0.9137	0.181364
32	-0.033194	-0.3636	0.35839
33	0.023889	0.2617	0.397006
34	-0.029012	-0.3178	0.375588
35	-0.032346	-0.3543	0.361856
36	0.00053	0.0058	0.497691
37	-0.037821	-0.4143	0.339692
38	0.01294	0.1418	0.443755
39	0.004938	0.0541	0.478476
40	0.01294	0.1417	0.443758
41	-0.017378	-0.1904	0.42467
42	-0.019565	-0.2143	0.415328
43	-0.05377	-0.589	0.278478
44	-0.012248	-0.1342	0.446745
45	-0.018079	-0.198	0.421673
46	0.010697	0.1172	0.453457
47	-0.012329	-0.1351	0.446395
48	0.018139	0.1987	0.421417
49	0.005286	0.0579	0.476959
50	0.073894	0.8095	0.209924
51	-0.051604	-0.5653	0.286466
52	0.024647	0.27	0.393813
53	-0.02733	-0.2994	0.38258
54	0.014688	0.1609	0.43622
55	-0.075207	-0.8238	0.20583
56	0.026462	0.2899	0.386205
57	-3.1e-05	-3e-04	0.499867
58	-0.048235	-0.5284	0.299101
59	-0.015881	-0.174	0.431094
60	0.04697	0.5145	0.303913

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/06/t1281095154c1wqflr1wpivagp/17fem1281095172.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/06/t1281095154c1wqflr1wpivagp/17fem1281095172.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/06/t1281095154c1wqflr1wpivagp/27fem1281095172.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/06/t1281095154c1wqflr1wpivagp/27fem1281095172.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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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