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Tijdreeks A - Stap 21

*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 12:05:20 +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/t128170114743xn73xn85xgzig.htm/, Retrieved Fri, 13 Aug 2010 14:05:50 +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/t128170114743xn73xn85xgzig.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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.069593	0.7592	0.224626
2	-0.176362	-1.9239	0.028379
3	-0.047435	-0.5175	0.302898
4	0.124491	1.358	0.08851
5	-0.104303	-1.1378	0.128742
6	-0.560019	-6.1091	0
7	-0.172045	-1.8768	0.031498
8	0.160673	1.7527	0.041111
9	-0.015203	-0.1659	0.434278
10	-0.187559	-2.046	0.021478
11	0.003568	0.0389	0.484508
12	0.821248	8.9588	0
13	0.103524	1.1293	0.130519
14	-0.154985	-1.6907	0.046757
15	-0.104331	-1.1381	0.12868
16	0.097045	1.0586	0.145956
17	-0.037497	-0.409	0.341623
18	-0.485811	-5.2996	0
19	-0.168928	-1.8428	0.033925
20	0.168863	1.8421	0.033977
21	0.064602	0.7047	0.24118
22	-0.157993	-1.7235	0.043697
23	-0.059473	-0.6488	0.258868
24	0.655781	7.1537	0
25	0.139665	1.5236	0.065136
26	-0.120021	-1.3093	0.096482
27	-0.135446	-1.4775	0.071087
28	0.06467	0.7055	0.24095
29	0.006489	0.0708	0.471843
30	-0.422921	-4.6135	5e-06
31	-0.178365	-1.9457	0.027022
32	0.156751	1.7099	0.044941
33	0.126501	1.38	0.085092
34	-0.118158	-1.2889	0.099958
35	-0.106021	-1.1566	0.124886
36	0.524552	5.7222	0
37	0.148751	1.6227	0.053651
38	-0.082053	-0.8951	0.186273
39	-0.133761	-1.4592	0.073578
40	0.023009	0.251	0.401123
41	0.036444	0.3976	0.345834
42	-0.355585	-3.879	8.6e-05
43	-0.192828	-2.1035	0.018764
44	0.123851	1.3511	0.089621
45	0.145789	1.5904	0.057202
46	-0.081142	-0.8852	0.18893
47	-0.109142	-1.1906	0.118089
48	0.41012	4.4739	9e-06

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.069593	0.7592	0.224626
2	-0.182087	-1.9863	0.024647
3	-0.021052	-0.2296	0.40938
4	0.101763	1.1101	0.134596
5	-0.141021	-1.5384	0.063307
6	-0.538284	-5.872	0
7	-0.210862	-2.3002	0.011588
8	-0.029452	-0.3213	0.374279
9	-0.178656	-1.9489	0.02683
10	-0.242236	-2.6425	0.004669
11	-0.243522	-2.6565	0.004489
12	0.685353	7.4763	0
13	-0.121495	-1.3254	0.093796
14	-0.003823	-0.0417	0.483404
15	-0.149683	-1.6328	0.052573
16	-0.072967	-0.796	0.213817
17	-0.04597	-0.5015	0.308483
18	0.107536	1.1731	0.121553
19	0.08249	0.8999	0.185005
20	-0.068584	-0.7482	0.227919
21	0.110372	1.204	0.115486
22	-0.015494	-0.169	0.433034
23	-0.05054	-0.5513	0.291221
24	-0.046765	-0.5101	0.305449
25	0.074901	0.8171	0.20776
26	0.028493	0.3108	0.378241
27	0.061236	0.668	0.252711
28	0.020081	0.2191	0.413492
29	-0.05079	-0.5541	0.29029
30	-0.047519	-0.5184	0.30258
31	-0.005278	-0.0576	0.477091
32	0.029088	0.3173	0.375783
33	0.028826	0.3145	0.376862
34	0.040956	0.4468	0.327923
35	-0.02007	-0.2189	0.413537
36	0.024189	0.2639	0.396167
37	-0.059084	-0.6445	0.260236
38	0.02366	0.2581	0.398389
39	0.068618	0.7485	0.227806
40	-0.033895	-0.3698	0.356111
41	-0.003572	-0.039	0.484491
42	0.020842	0.2274	0.410269
43	-0.026512	-0.2892	0.38646
44	-0.058314	-0.6361	0.262955
45	-0.025416	-0.2773	0.391031
46	-0.027926	-0.3046	0.380588
47	0.050357	0.5493	0.291903
48	0.019748	0.2154	0.414903

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/13/t128170114743xn73xn85xgzig/1m0ug1281701118.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/13/t128170114743xn73xn85xgzig/1m0ug1281701118.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/13/t128170114743xn73xn85xgzig/2m0ug1281701118.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/13/t128170114743xn73xn85xgzig/2m0ug1281701118.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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