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Tijdsreeks 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: Sat, 07 Aug 2010 12:46:50 +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/t1281185215u7q6jsoig1iyhuj.htm/, Retrieved Sat, 07 Aug 2010 14:46:57 +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/t1281185215u7q6jsoig1iyhuj.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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.078204	-0.7125	0.239084
2	0.106591	0.9711	0.167162
3	-0.238096	-2.1692	0.016466
4	-0.000435	-0.004	0.498424
5	-0.125958	-1.1475	0.12723
6	-0.138124	-1.2584	0.105893
7	-0.096652	-0.8805	0.190554
8	0.04593	0.4184	0.338353
9	-0.113828	-1.037	0.151368
10	0.175593	1.5997	0.05673
11	-0.116552	-1.0618	0.145694
12	0.656417	5.9802	0
13	-0.102205	-0.9311	0.177242
14	0.065227	0.5942	0.276982
15	-0.193398	-1.7619	0.04088
16	-0.035169	-0.3204	0.374732
17	-0.107954	-0.9835	0.164109
18	-0.141485	-1.289	0.100491
19	-0.075784	-0.6904	0.245926
20	0.057175	0.5209	0.301916
21	0.010803	0.0984	0.460917
22	0.180004	1.6399	0.052404
23	-0.178378	-1.6251	0.053967
24	0.434947	3.9626	7.8e-05
25	-0.09773	-0.8904	0.187924
26	-0.020016	-0.1824	0.427876
27	-0.15079	-1.3738	0.086607
28	-0.008131	-0.0741	0.470564
29	-0.033376	-0.3041	0.380919
30	-0.122835	-1.1191	0.133167
31	-0.117966	-1.0747	0.142807
32	0.03064	0.2791	0.390415
33	-0.019552	-0.1781	0.429529
34	0.169735	1.5464	0.062911
35	-0.149799	-1.3647	0.088013
36	0.305879	2.7867	0.003299
37	-0.108486	-0.9884	0.162926
38	-0.03342	-0.3045	0.380766
39	-0.160525	-1.4625	0.073697
40	-0.029293	-0.2669	0.395116
41	0.003291	0.03	0.488076
42	0.001501	0.0137	0.494562
43	-0.054983	-0.5009	0.308876
44	0.040168	0.366	0.357666
45	-0.016013	-0.1459	0.442185
46	0.1708	1.5561	0.061749
47	-0.159651	-1.4545	0.074791
48	0.156859	1.429	0.078371

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.078204	-0.7125	0.239084
2	0.101094	0.921	0.179858
3	-0.226381	-2.0624	0.021147
4	-0.041258	-0.3759	0.353982
5	-0.08989	-0.8189	0.207584
6	-0.216692	-1.9742	0.025845
7	-0.129404	-1.1789	0.120898
8	-0.001484	-0.0135	0.494622
9	-0.220461	-2.0085	0.023921
10	0.075447	0.6874	0.246888
11	-0.143582	-1.3081	0.097227
12	0.599701	5.4635	0
13	-0.042305	-0.3854	0.350457
14	-0.028073	-0.2558	0.399386
15	0.136802	1.2463	0.108076
16	-0.057164	-0.5208	0.301949
17	-0.000342	-0.0031	0.498762
18	-0.04175	-0.3804	0.352324
19	-0.050969	-0.4644	0.321806
20	-0.02569	-0.2341	0.407761
21	0.097678	0.8899	0.188048
22	-0.054779	-0.4991	0.309527
23	-0.126335	-1.151	0.126525
24	0.060551	0.5516	0.291335
25	-0.021935	-0.1998	0.421047
26	-0.165157	-1.5047	0.068105
27	0.049667	0.4525	0.32605
28	0.053349	0.486	0.314111
29	-0.020725	-0.1888	0.42535
30	0.003447	0.0314	0.48751
31	-0.152802	-1.3921	0.083807
32	-0.047033	-0.4285	0.334703
33	-0.129588	-1.1806	0.120566
34	-0.066361	-0.6046	0.273555
35	0.020834	0.1898	0.424962
36	-0.064169	-0.5846	0.280198
37	-0.100177	-0.9127	0.182034
38	0.017038	0.1552	0.438512
39	-0.157976	-1.4392	0.076923
40	-0.122934	-1.12	0.132977
41	0.018066	0.1646	0.434834
42	0.069287	0.6312	0.26481
43	0.034051	0.3102	0.378587
44	0.048483	0.4417	0.329927
45	0.084017	0.7654	0.223092
46	0.024176	0.2203	0.413106
47	0.012794	0.1166	0.453744
48	-0.104819	-0.9549	0.171189

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/07/t1281185215u7q6jsoig1iyhuj/1wzpg1281185208.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/07/t1281185215u7q6jsoig1iyhuj/1wzpg1281185208.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/07/t1281185215u7q6jsoig1iyhuj/268o11281185208.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/07/t1281185215u7q6jsoig1iyhuj/268o11281185208.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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