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TIJDREEKS 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: Thu, 12 Aug 2010 12:58:17 +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/12/t1281617869qfppv2c8693zn81.htm/, Retrieved Thu, 12 Aug 2010 14:58:06 +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/12/t1281617869qfppv2c8693zn81.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:

Schrauwen Nathalie

Dataseries X:

» Textbox « » Textfile « » CSV «

162 161 160 158 156 155 156 158 159 159 160 162 168 177 174 169 169 160 168 172 173 175 170 177 187 201 188 179 176 170 179 183 174 177 170 166 171 178 165 162 159 149 153 156 149 150 139 131 141 150 128 124 120 113 120 121 115 119 106 98 106 116 93 94 90 93 100 99 90 91 83 83 92 104 71 69 67 75 86 81 88 87 77 70

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	0.953341	8.7375	0
2	0.914099	8.3779	0
3	0.892072	8.176	0
4	0.872745	7.9988	0
5	0.856794	7.8526	0
6	0.841374	7.7113	0
7	0.800847	7.3399	0
8	0.755919	6.9281	0
9	0.715429	6.557	0
10	0.673579	6.1735	0
11	0.661348	6.0614	0
12	0.642309	5.8869	0
13	0.583494	5.3478	0
14	0.528367	4.8426	3e-06
15	0.487865	4.4714	1.2e-05
16	0.446559	4.0928	4.9e-05
17	0.415179	3.8052	0.000134
18	0.38325	3.5125	0.000359
19	0.331357	3.0369	0.001592
20	0.280796	2.5735	0.005911
21	0.236997	2.1721	0.016333
22	0.189525	1.737	0.043024
23	0.167344	1.5337	0.064427
24	0.135111	1.2383	0.109525
25	0.071586	0.6561	0.256776
26	0.015871	0.1455	0.442348
27	-0.021894	-0.2007	0.420725
28	-0.057446	-0.5265	0.299962
29	-0.084512	-0.7746	0.220386
30	-0.114383	-1.0483	0.148746
31	-0.160497	-1.471	0.072517
32	-0.199973	-1.8328	0.035189
33	-0.232441	-2.1304	0.018033
34	-0.264945	-2.4283	0.008653
35	-0.274781	-2.5184	0.006843
36	-0.292197	-2.678	0.004453
37	-0.331328	-3.0367	0.001593
38	-0.361737	-3.3154	0.000676
39	-0.378335	-3.4675	0.000415
40	-0.390172	-3.576	0.000291
41	-0.395015	-3.6204	0.000251
42	-0.40331	-3.6964	0.000194
43	-0.42251	-3.8724	0.000106
44	-0.434729	-3.9844	7.2e-05
45	-0.439598	-4.029	6.1e-05
46	-0.442572	-4.0562	5.6e-05
47	-0.430242	-3.9432	8.3e-05
48	-0.42566	-3.9012	9.6e-05

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.953341	8.7375	0
2	0.057487	0.5269	0.299835
3	0.17521	1.6058	0.056032
4	0.051062	0.468	0.3205
5	0.073296	0.6718	0.251786
6	0.027924	0.2559	0.399316
7	-0.265282	-2.4313	0.008585
8	-0.12059	-1.1052	0.136108
9	-0.099344	-0.9105	0.182582
10	-0.107033	-0.981	0.164712
11	0.300673	2.7557	0.00359
12	-0.033091	-0.3033	0.38121
13	-0.340019	-3.1163	0.001253
14	-0.027707	-0.2539	0.400081
15	0.029462	0.27	0.393901
16	-0.020527	-0.1881	0.425611
17	-0.013636	-0.125	0.450419
18	-0.047074	-0.4314	0.333626
19	-0.075176	-0.689	0.24636
20	-0.009739	-0.0893	0.464545
21	0.076194	0.6983	0.243449
22	-0.115631	-1.0598	0.146142
23	0.046501	0.4262	0.335531
24	-0.08635	-0.7914	0.215468
25	-0.198741	-1.8215	0.036046
26	-0.007178	-0.0658	0.47385
27	0.073743	0.6759	0.250492
28	0.051867	0.4754	0.317879
29	-0.032329	-0.2963	0.383867
30	-0.032476	-0.2976	0.383354
31	0.000214	0.002	0.499218
32	-0.012019	-0.1102	0.456274
33	0.054416	0.4987	0.309637
34	-0.090027	-0.8251	0.205824
35	0.000765	0.007	0.497213
36	0.018049	0.1654	0.434504
37	0.00429	0.0393	0.484366
38	0.022985	0.2107	0.41683
39	-0.017622	-0.1615	0.436041
40	0.048238	0.4421	0.329772
41	-0.046352	-0.4248	0.336024
42	-0.02038	-0.1868	0.426138
43	0.056837	0.5209	0.301898
44	-0.056086	-0.514	0.304288
45	0.08236	0.7548	0.226228
46	-0.017774	-0.1629	0.435493
47	-0.022725	-0.2083	0.417757
48	0.013534	0.124	0.450788

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/12/t1281617869qfppv2c8693zn81/1fx8q1281617895.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/12/t1281617869qfppv2c8693zn81/1fx8q1281617895.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/12/t1281617869qfppv2c8693zn81/2fx8q1281617895.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/12/t1281617869qfppv2c8693zn81/2fx8q1281617895.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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