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Tijdreeks 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: Tue, 10 Aug 2010 14:25:52 +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/10/t1281450479c9whjyk4gr98cwg.htm/, Retrieved Tue, 10 Aug 2010 16:27:59 +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/10/t1281450479c9whjyk4gr98cwg.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:

Platini Olivier

Dataseries X:

» Textbox « » Textfile « » CSV «

94 93 92 90 110 109 94 84 85 85 86 88 93 94 90 91 104 103 88 79 82 88 93 89 94 96 94 92 113 122 107 98 103 110 113 110 123 124 118 117 139 146 134 121 123 122 127 122 139 136 127 123 140 146 138 120 122 115 115 102 119 114 108 102 121 109 102 95 98 92 94 90 113 111 103 90 108 99 95 91 85 72 90 90 114 115 104 93 101 90 79 75 71 61 84 87 107 99 93 74 87 71 67 61 63 52 80 84 102 93 87 72 83 72 66 64 64 47 77 79

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	2 seconds
R Server	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.857753	9.3962	0
2	0.746861	8.1815	0
3	0.641302	7.0251	0
4	0.619446	6.7857	0
5	0.53063	5.8128	0
6	0.531218	5.8192	0
7	0.497964	5.4549	0
8	0.536681	5.879	0
9	0.501285	5.4913	0
10	0.54939	6.0183	0
11	0.602262	6.5975	0
12	0.68089	7.4588	0
13	0.531458	5.8218	0
14	0.411487	4.5076	8e-06
15	0.307421	3.3676	0.00051
16	0.27166	2.9759	0.001767
17	0.178566	1.9561	0.026389
18	0.177323	1.9425	0.027211
19	0.148652	1.6284	0.053031
20	0.170173	1.8641	0.032372
21	0.118868	1.3021	0.097681
22	0.140661	1.5409	0.062992
23	0.169668	1.8586	0.032766
24	0.224097	2.4549	0.007764
25	0.097084	1.0635	0.144846
26	-0.000857	-0.0094	0.496262
27	-0.078145	-0.856	0.196842
28	-0.100156	-1.0972	0.137385
29	-0.160333	-1.7564	0.040789
30	-0.135632	-1.4858	0.069981
31	-0.128009	-1.4023	0.081708
32	-0.103565	-1.1345	0.129423
33	-0.147944	-1.6206	0.05386
34	-0.128306	-1.4055	0.081225
35	-0.104332	-1.1429	0.127677
36	-0.057979	-0.6351	0.263276
37	-0.151283	-1.6572	0.050043
38	-0.208909	-2.2885	0.011929
39	-0.260506	-2.8537	0.002546
40	-0.266692	-2.9215	0.002082
41	-0.298949	-3.2748	0.000691
42	-0.253075	-2.7723	0.003227
43	-0.232833	-2.5506	0.006007
44	-0.21117	-2.3133	0.011206
45	-0.260279	-2.8512	0.002564
46	-0.254284	-2.7855	0.003106
47	-0.244868	-2.6824	0.00417
48	-0.218001	-2.3881	0.009248

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.857753	9.3962	0
2	0.042083	0.461	0.322817
3	-0.032062	-0.3512	0.363019
4	0.258222	2.8287	0.00274
5	-0.226387	-2.4799	0.007264
6	0.309441	3.3898	0.000474
7	-0.068055	-0.7455	0.228712
8	0.225166	2.4666	0.007527
9	-0.097105	-1.0637	0.144792
10	0.27263	2.9865	0.001711
11	0.291509	3.1933	0.000898
12	0.00151	0.0165	0.493413
13	-0.683793	-7.4906	0
14	-0.101828	-1.1155	0.133439
15	0.12572	1.3772	0.085508
16	-0.114152	-1.2505	0.10678
17	-0.013658	-0.1496	0.440661
18	-0.022505	-0.2465	0.402847
19	-0.01106	-0.1212	0.451884
20	-0.021254	-0.2328	0.408147
21	-0.035849	-0.3927	0.347618
22	-0.063147	-0.6917	0.245218
23	-0.012001	-0.1315	0.447814
24	0.050446	0.5526	0.290779
25	-0.005533	-0.0606	0.475884
26	-0.025735	-0.2819	0.389249
27	0.014176	0.1553	0.438428
28	0.000177	0.0019	0.499227
29	0.144694	1.585	0.057794
30	-0.031581	-0.346	0.364993
31	0.047273	0.5179	0.302757
32	-0.1122	-1.2291	0.110722
33	-0.019158	-0.2099	0.417063
34	0.080247	0.8791	0.190561
35	-0.11985	-1.3129	0.095862
36	0.028334	0.3104	0.378404
37	-0.00897	-0.0983	0.460945
38	0.127851	1.4005	0.081966
39	-0.187389	-2.0527	0.021136
40	-0.001856	-0.0203	0.491907
41	0.050801	0.5565	0.289454
42	-0.080504	-0.8819	0.189803
43	-0.073616	-0.8064	0.210798
44	-0.053356	-0.5845	0.279995
45	-0.045263	-0.4958	0.310459
46	-0.100253	-1.0982	0.137153
47	0.030807	0.3375	0.368176
48	-0.089467	-0.9801	0.164513

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/10/t1281450479c9whjyk4gr98cwg/16y1n1281450348.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/10/t1281450479c9whjyk4gr98cwg/16y1n1281450348.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/10/t1281450479c9whjyk4gr98cwg/26y1n1281450348.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/10/t1281450479c9whjyk4gr98cwg/26y1n1281450348.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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