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Tijdsreeks B - 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: Sat, 07 Aug 2010 12:35:18 +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/07/t1281184498wreicfmb0rqf1hx.htm/, Retrieved Sat, 07 Aug 2010 14:34:59 +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/07/t1281184498wreicfmb0rqf1hx.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 «

166 165 164 162 160 159 160 162 163 163 164 166 163 166 170 171 176 172 169 180 172 170 161 167 158 163 165 169 168 165 156 157 146 150 146 159 146 151 156 152 152 143 127 126 122 122 114 127 125 123 124 123 127 117 104 110 106 107 100 115 117 123 130 129 125 112 90 96 99 108 101 113 113 120 131 135 137 120 102 114 121 134 122 131

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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.942565	8.6387	0
2	0.891431	8.1701	0
3	0.832154	7.6268	0
4	0.794831	7.2847	0
5	0.756972	6.9378	0
6	0.72947	6.6857	0
7	0.717925	6.5799	0
8	0.717645	6.5773	0
9	0.71166	6.5225	0
10	0.715917	6.5615	0
11	0.699902	6.4147	0
12	0.692604	6.3478	0
13	0.621509	5.6962	0
14	0.55618	5.0975	1e-06
15	0.482911	4.4259	1.4e-05
16	0.425965	3.904	9.5e-05
17	0.368539	3.3777	0.000555
18	0.322105	2.9521	0.002045
19	0.294625	2.7003	0.004188
20	0.270507	2.4792	0.007583
21	0.245292	2.2481	0.013593
22	0.219838	2.0149	0.023559
23	0.179756	1.6475	0.051596
24	0.152523	1.3979	0.082912
25	0.08628	0.7908	0.215652
26	0.023728	0.2175	0.414184
27	-0.037268	-0.3416	0.366767
28	-0.086309	-0.791	0.215575
29	-0.133901	-1.2272	0.111583
30	-0.178277	-1.6339	0.053008
31	-0.203812	-1.868	0.032627
32	-0.216809	-1.9871	0.025086
33	-0.227961	-2.0893	0.019853
34	-0.239491	-2.195	0.015463
35	-0.266163	-2.4394	0.008408
36	-0.285055	-2.6126	0.005322
37	-0.327171	-2.9986	0.001784
38	-0.363997	-3.3361	0.000633
39	-0.399208	-3.6588	0.000221
40	-0.416795	-3.82	0.000127
41	-0.431143	-3.9515	8.1e-05
42	-0.441098	-4.0427	5.8e-05
43	-0.439795	-4.0308	6.1e-05
44	-0.430852	-3.9488	8.1e-05
45	-0.423638	-3.8827	0.000103
46	-0.414001	-3.7944	0.000139
47	-0.417705	-3.8283	0.000124
48	-0.413484	-3.7896	0.000141

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.942565	8.6387	0
2	0.026913	0.2467	0.402886
3	-0.097151	-0.8904	0.187897
4	0.158946	1.4568	0.074455
5	-0.004491	-0.0412	0.483631
6	0.048492	0.4444	0.328933
7	0.172785	1.5836	0.058521
8	0.105489	0.9668	0.168203
9	-0.034152	-0.313	0.377524
10	0.147617	1.3529	0.089854
11	-0.125415	-1.1494	0.126817
12	0.064937	0.5952	0.27667
13	-0.525873	-4.8197	3e-06
14	-0.052373	-0.48	0.316234
15	-0.093648	-0.8583	0.196585
16	-0.11421	-1.0468	0.149108
17	-0.104916	-0.9616	0.169513
18	-0.040262	-0.369	0.356525
19	0.042309	0.3878	0.349585
20	-0.14252	-1.3062	0.097522
21	0.05628	0.5158	0.303671
22	-0.108267	-0.9923	0.161956
23	0.012623	0.1157	0.454086
24	0.053439	0.4898	0.312784
25	-0.070215	-0.6435	0.260815
26	-0.037797	-0.3464	0.364949
27	0.094582	0.8669	0.194245
28	-0.040167	-0.3681	0.35685
29	-0.050081	-0.459	0.323709
30	-0.018103	-0.1659	0.434311
31	-0.018174	-0.1666	0.434056
32	0.149065	1.3662	0.087761
33	0.002267	0.0208	0.491736
34	0.051754	0.4743	0.318248
35	-0.025542	-0.2341	0.40774
36	-0.003026	-0.0277	0.488969
37	-0.030989	-0.284	0.388548
38	0.034938	0.3202	0.374801
39	-0.020374	-0.1867	0.426161
40	0.087828	0.805	0.211558
41	0.030698	0.2814	0.389566
42	0.017848	0.1636	0.435229
43	-0.019318	-0.1771	0.429946
44	-0.0321	-0.2942	0.384665
45	-0.02847	-0.2609	0.39739
46	-0.001363	-0.0125	0.495031
47	0.008692	0.0797	0.468347
48	-0.035997	-0.3299	0.371141

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/07/t1281184498wreicfmb0rqf1hx/1shzb1281184513.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/07/t1281184498wreicfmb0rqf1hx/1shzb1281184513.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/07/t1281184498wreicfmb0rqf1hx/2shzb1281184513.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/07/t1281184498wreicfmb0rqf1hx/2shzb1281184513.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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