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Tijdreeks 1 - 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 14:11:01 +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/t1281708674celts8qx2mwuqlm.htm/, Retrieved Fri, 13 Aug 2010 16:11:15 +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/t1281708674celts8qx2mwuqlm.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:

Reuben Vermoet

Dataseries X:

» Textbox « » Textfile « » CSV «

210 209 208 206 226 225 210 200 201 201 202 204 197 196 187 196 221 218 200 191 194 192 199 196 182 178 169 177 207 213 191 182 188 189 194 195 171 165 156 170 201 208 189 175 184 187 193 199 179 188 171 182 212 216 192 182 183 183 187 190 167 167 158 171 201 208 181 169 173 180 181 192 169 168 156 161 195 208 176 164 170 175 170 175 148 151 143 139 166 186 149 142 138 137 130 138 118 113 99 93 125 146 109 97 97 94 92 103 78 72 57 40 70 89 53 46 43 38 29 34

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	0.91654	10.0402	0
2	0.822888	9.0143	0
3	0.772194	8.459	0
4	0.746794	8.1807	0
5	0.732074	8.0195	0
6	0.715378	7.8366	0
7	0.674046	7.3838	0
8	0.616613	6.7547	0
9	0.55621	6.093	0
10	0.526976	5.7727	0
11	0.540354	5.9193	0
12	0.552162	6.0486	0
13	0.493346	5.4043	0
14	0.417725	4.5759	6e-06
15	0.37833	4.1444	3.2e-05
16	0.360521	3.9493	6.6e-05
17	0.350372	3.8381	1e-04
18	0.343725	3.7653	0.00013
19	0.319369	3.4985	0.000329
20	0.277215	3.0367	0.001467
21	0.227935	2.4969	0.006942
22	0.203675	2.2311	0.013765
23	0.216477	2.3714	0.009657
24	0.23201	2.5415	0.006155
25	0.187105	2.0496	0.02129
26	0.1248	1.3671	0.087072
27	0.097492	1.068	0.143839
28	0.088485	0.9693	0.167172
29	0.088484	0.9693	0.167174
30	0.09026	0.9888	0.162387
31	0.080703	0.8841	0.189218
32	0.052619	0.5764	0.282708
33	0.018398	0.2015	0.42031
34	0.005194	0.0569	0.477359
35	0.022663	0.2483	0.402177
36	0.04104	0.4496	0.326914
37	0.016637	0.1822	0.427849
38	-0.026407	-0.2893	0.386435
39	-0.038787	-0.4249	0.335839
40	-0.037273	-0.4083	0.34189
41	-0.033811	-0.3704	0.355878
42	-0.025078	-0.2747	0.392005
43	-0.024522	-0.2686	0.394338
44	-0.036924	-0.4045	0.343288
45	-0.060575	-0.6636	0.254121
46	-0.071746	-0.7859	0.216725
47	-0.054834	-0.6007	0.274594
48	-0.035402	-0.3878	0.34942
49	-0.048365	-0.5298	0.298609
50	-0.085761	-0.9395	0.174689
51	-0.098075	-1.0744	0.14241
52	-0.101391	-1.1107	0.134463
53	-0.104044	-1.1397	0.128332
54	-0.099373	-1.0886	0.139261
55	-0.098608	-1.0802	0.141111
56	-0.107964	-1.1827	0.119637
57	-0.126013	-1.3804	0.085014
58	-0.139432	-1.5274	0.064647
59	-0.131166	-1.4369	0.076681
60	-0.119051	-1.3041	0.097341

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.91654	10.0402	0
2	-0.107271	-1.1751	0.121142
3	0.223878	2.4525	0.007813
4	0.097367	1.0666	0.144146
5	0.103718	1.1362	0.129075
6	0.03968	0.4347	0.332292
7	-0.108577	-1.1894	0.118314
8	-0.081816	-0.8962	0.185957
9	-0.099768	-1.0929	0.138314
10	0.107364	1.1761	0.120939
11	0.196186	2.1491	0.016817
12	0.035135	0.3849	0.3505
13	-0.335311	-3.6732	0.00018
14	-0.043097	-0.4721	0.318856
15	0.110151	1.2066	0.114971
16	0.018082	0.1981	0.421661
17	-0.018097	-0.1982	0.421597
18	-0.007363	-0.0807	0.467926
19	-0.021262	-0.2329	0.408113
20	0.009514	0.1042	0.458584
21	-0.029326	-0.3212	0.374291
22	0.012386	0.1357	0.44615
23	0.032241	0.3532	0.362287
24	0.025719	0.2817	0.389317
25	-0.185032	-2.0269	0.022443
26	-0.019021	-0.2084	0.417649
27	0.087749	0.9612	0.169181
28	0.003871	0.0424	0.483124
29	0.018044	0.1977	0.42182
30	-0.049593	-0.5433	0.293977
31	0.024835	0.2721	0.393022
32	0.007595	0.0832	0.466916
33	0.018562	0.2033	0.419607
34	-0.008285	-0.0908	0.463917
35	-0.023887	-0.2617	0.397013
36	-0.003902	-0.0427	0.482988
37	-0.030272	-0.3316	0.370381
38	-0.011654	-0.1277	0.449316
39	0.056705	0.6212	0.267833
40	-0.021078	-0.2309	0.408893
41	-0.018157	-0.1989	0.421339
42	0.000455	0.005	0.498015
43	0.01153	0.1263	0.449853
44	0.0485	0.5313	0.298098
45	-0.039502	-0.4327	0.332995
46	-0.0371	-0.4064	0.342584
47	-0.004457	-0.0488	0.480573
48	0.011435	0.1253	0.450262
49	0.001107	0.0121	0.495172
50	-0.087429	-0.9577	0.170061
51	0.023053	0.2525	0.400532
52	-0.049399	-0.5411	0.294707
53	0.006938	0.076	0.469773
54	0.00354	0.0388	0.484567
55	-0.012513	-0.1371	0.445599
56	0.036822	0.4034	0.343698
57	-0.004806	-0.0526	0.479052
58	-0.039914	-0.4372	0.331365
59	-0.029189	-0.3197	0.374858
60	-0.007757	-0.085	0.466213

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/13/t1281708674celts8qx2mwuqlm/1lyw11281708657.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/13/t1281708674celts8qx2mwuqlm/1lyw11281708657.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/13/t1281708674celts8qx2mwuqlm/2lyw11281708657.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/13/t1281708674celts8qx2mwuqlm/2lyw11281708657.ps (open in new window)

Parameters (Session):

par1 = 0.01 ; par2 = 0.99 ; par3 = 0.01 ;

Parameters (R input):

par1 = 60 ; 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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