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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: Fri, 13 Aug 2010 11:59:40 +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/13/t1281700789ams6z9o0fq64kw3.htm/, Retrieved Fri, 13 Aug 2010 13:59:49 +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/13/t1281700789ams6z9o0fq64kw3.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:

Jacobs Jeff

Dataseries X:

» Textbox « » Textfile « » CSV «

130 129 128 126 146 145 130 120 121 121 122 124 123 125 120 124 146 149 138 133 135 149 146 141 139 141 138 139 166 179 167 154 151 162 148 143 145 143 148 139 169 186 174 161 151 158 144 135 139 137 149 136 169 185 177 164 145 147 142 126 130 136 139 120 151 166 156 150 141 141 130 110 110 123 133 108 136 148 146 142 132 128 116 90 94 112 130 106 124 139 140 129 113 110 102 78 79 94 121 99 126 137 141 119 96 96 88 64 66 92 120 101 135 146 149 134 101 100 91 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	2 seconds
R Server	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.798111	8.7429	0
2	0.589938	6.4625	0
3	0.451039	4.9409	1e-06
4	0.329357	3.6079	0.000226
5	0.193332	2.1178	0.018126
6	0.106851	1.1705	0.12206
7	0.213246	2.336	0.010575
8	0.370026	4.0534	4.5e-05
9	0.440805	4.8288	2e-06
10	0.533451	5.8437	0
11	0.666974	7.3063	0
12	0.776136	8.5021	0
13	0.596015	6.529	0
14	0.400403	4.3862	1.2e-05
15	0.265613	2.9096	0.002157
16	0.167126	1.8308	0.034808
17	0.055051	0.603	0.273807
18	-0.024758	-0.2712	0.393349
19	0.061425	0.6729	0.251161
20	0.196814	2.156	0.01654
21	0.249318	2.7311	0.003632
22	0.298495	3.2698	0.000702
23	0.378797	4.1495	3.1e-05
24	0.466149	5.1064	1e-06
25	0.322846	3.5366	0.000289
26	0.151362	1.6581	0.049956
27	0.028453	0.3117	0.377908
28	-0.044754	-0.4903	0.312423
29	-0.126349	-1.3841	0.08445
30	-0.200697	-2.1985	0.014915
31	-0.128674	-1.4096	0.080629
32	-0.008027	-0.0879	0.465039
33	0.041608	0.4558	0.324682
34	0.067886	0.7437	0.229268
35	0.119049	1.3041	0.097344
36	0.190961	2.0919	0.019279
37	0.075557	0.8277	0.204746
38	-0.069506	-0.7614	0.223957
39	-0.175576	-1.9233	0.028403
40	-0.231795	-2.5392	0.006195
41	-0.286983	-3.1437	0.001051
42	-0.351466	-3.8501	9.5e-05
43	-0.290524	-3.1825	0.00093
44	-0.173291	-1.8983	0.030029
45	-0.12449	-1.3637	0.087604
46	-0.104997	-1.1502	0.126177
47	-0.066508	-0.7286	0.233845
48	-0.001774	-0.0194	0.492262

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.798111	8.7429	0
2	-0.129587	-1.4196	0.079164
3	0.063355	0.694	0.244505
4	-0.060181	-0.6592	0.2555
5	-0.112703	-1.2346	0.109697
6	0.03962	0.434	0.332527
7	0.44412	4.8651	2e-06
8	0.236971	2.5959	0.005306
9	-0.005499	-0.0602	0.476034
10	0.237413	2.6007	0.005236
11	0.279515	3.0619	0.001357
12	0.325072	3.561	0.000265
13	-0.51957	-5.6916	0
14	-0.011937	-0.1308	0.448091
15	-0.169231	-1.8538	0.033109
16	0.090913	0.9959	0.16065
17	-0.14	-1.5336	0.063877
18	-0.155938	-1.7082	0.045091
19	-0.200828	-2.2	0.014863
20	-0.070478	-0.772	0.220801
21	0.043448	0.476	0.317487
22	-0.176299	-1.9313	0.027905
23	-0.0177	-0.1939	0.423294
24	0.08364	0.9162	0.180693
25	-0.006528	-0.0715	0.471555
26	0.006957	0.0762	0.469689
27	-0.071682	-0.7852	0.21693
28	0.070185	0.7688	0.22175
29	0.034546	0.3784	0.352887
30	0.042438	0.4649	0.321429
31	-0.041132	-0.4506	0.326554
32	-0.073632	-0.8066	0.210747
33	0.093593	1.0253	0.153651
34	-0.056336	-0.6171	0.269161
35	0.035115	0.3847	0.350584
36	-0.116587	-1.2772	0.102007
37	-0.021469	-0.2352	0.407234
38	0.005057	0.0554	0.477958
39	-0.027706	-0.3035	0.381016
40	-0.071713	-0.7856	0.216832
41	-0.071805	-0.7866	0.216539
42	0.018119	0.1985	0.421501
43	-0.042413	-0.4646	0.321526
44	0.040242	0.4408	0.330066
45	-0.080987	-0.8872	0.188381
46	0.007347	0.0805	0.467993
47	0.066454	0.728	0.234026
48	0.03697	0.405	0.343104

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/13/t1281700789ams6z9o0fq64kw3/1tgr51281700776.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/13/t1281700789ams6z9o0fq64kw3/1tgr51281700776.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/13/t1281700789ams6z9o0fq64kw3/2tgr51281700776.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/13/t1281700789ams6z9o0fq64kw3/2tgr51281700776.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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