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Tijdreeks 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: Wed, 11 Aug 2010 11:36:31 +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/11/t1281526571nvdpn0ysvaorer1.htm/, Retrieved Wed, 11 Aug 2010 13:36:12 +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/11/t1281526571nvdpn0ysvaorer1.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 «

335 334 333 331 329 328 329 331 332 332 333 335 335 333 325 322 322 315 321 324 329 332 322 324 324 323 309 306 305 300 301 302 308 311 301 301 308 302 290 286 286 275 284 289 292 293 285 280 281 280 265 260 254 238 247 246 247 237 222 216 212 209 185 186 178 158 166 162 164 147 132 124 117 120 89 81 71 52 63 62 74 67 53 42

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	0.037475	0.3414	0.366826
2	0.05781	0.5267	0.299914
3	0.074411	0.6779	0.249855
4	-0.094458	-0.8606	0.195981
5	0.194449	1.7715	0.040073
6	-0.08049	-0.7333	0.23272
7	0.236235	2.1522	0.017143
8	-0.034981	-0.3187	0.375381
9	0.121437	1.1063	0.135887
10	-0.012364	-0.1126	0.455294
11	-0.013553	-0.1235	0.451015
12	0.661767	6.029	0
13	0.042899	0.3908	0.348463
14	0.014824	0.1351	0.44645
15	0.004732	0.0431	0.48286
16	-0.070681	-0.6439	0.260696
17	0.053937	0.4914	0.312225
18	-0.054629	-0.4977	0.310008
19	0.106414	0.9695	0.167561
20	-0.113267	-1.0319	0.152556
21	0.066627	0.607	0.272753
22	-0.078437	-0.7146	0.238432
23	0.01304	0.1188	0.452862
24	0.420082	3.8271	0.000125
25	-0.006828	-0.0622	0.475275
26	-0.039733	-0.362	0.359142
27	-0.070202	-0.6396	0.262107
28	-0.081384	-0.7414	0.230259
29	-0.103818	-0.9458	0.173491
30	-0.064268	-0.5855	0.279898
31	0.065628	0.5979	0.275768
32	-0.114275	-1.0411	0.150427
33	0.013695	0.1248	0.450503
34	-0.105247	-0.9588	0.17021
35	0.019895	0.1813	0.428304
36	0.253282	2.3075	0.011758

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.037475	0.3414	0.366826
2	0.056484	0.5146	0.304101
3	0.070574	0.643	0.261011
4	-0.103547	-0.9434	0.174118
5	0.19726	1.7971	0.037976
6	-0.099092	-0.9028	0.184631
7	0.259862	2.3675	0.010118
8	-0.125193	-1.1406	0.128667
9	0.220335	2.0073	0.023983
10	-0.203337	-1.8525	0.033755
11	0.200798	1.8294	0.035469
12	0.567524	5.1704	1e-06
13	0.051026	0.4649	0.321622
14	-0.22148	-2.0178	0.023422
15	-0.007313	-0.0666	0.47352
16	0.023336	0.2126	0.416079
17	-0.108988	-0.9929	0.161815
18	-0.011801	-0.1075	0.45732
19	-0.153621	-1.3996	0.082687
20	-0.211961	-1.9311	0.028445
21	-0.064097	-0.5839	0.280419
22	0.033777	0.3077	0.37953
23	0.126744	1.1547	0.125766
24	-0.022175	-0.202	0.420196
25	-0.109107	-0.994	0.161553
26	-0.027239	-0.2482	0.402314
27	0.071824	0.6543	0.25735
28	0.014355	0.1308	0.448133
29	-0.133467	-1.2159	0.113727
30	-0.099001	-0.9019	0.18485
31	0.057449	0.5234	0.301049
32	0.088268	0.8042	0.2118
33	-0.022698	-0.2068	0.418339
34	0.004922	0.0448	0.482172
35	-0.010368	-0.0945	0.462486
36	-0.010006	-0.0912	0.463793

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/11/t1281526571nvdpn0ysvaorer1/10iq51281526587.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/11/t1281526571nvdpn0ysvaorer1/10iq51281526587.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/11/t1281526571nvdpn0ysvaorer1/20iq51281526587.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/11/t1281526571nvdpn0ysvaorer1/20iq51281526587.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; 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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