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Tijdreeks 1 - stap 20bis

*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 14:19:34 +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/t1281709178y2hysjo5y6mam6i.htm/, Retrieved Fri, 13 Aug 2010 16:19:39 +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/t1281709178y2hysjo5y6mam6i.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	0.072562	0.7916	0.215096
2	-0.409123	-4.463	9e-06
3	-0.24352	-2.6565	0.00449
4	-0.142513	-1.5546	0.061344
5	0.046689	0.5093	0.305739
6	0.452881	4.9403	1e-06
7	0.083274	0.9084	0.182749
8	-0.128872	-1.4058	0.08119
9	-0.248267	-2.7083	0.00388
10	-0.3779	-4.1224	3.5e-05
11	0.034244	0.3736	0.354698
12	0.862157	9.405	0
13	0.114829	1.2526	0.106398
14	-0.356082	-3.8844	8.5e-05
15	-0.232135	-2.5323	0.006317
16	-0.132845	-1.4492	0.074961
17	0.020732	0.2262	0.410732
18	0.394154	4.2997	1.8e-05
19	0.091826	1.0017	0.159261
20	-0.096852	-1.0565	0.146434
21	-0.233293	-2.5449	0.006105
22	-0.334613	-3.6502	0.000195
23	-0.004581	-0.05	0.480114
24	0.746274	8.1409	0
25	0.143369	1.564	0.06024
26	-0.316196	-3.4493	0.000389
27	-0.203751	-2.2227	0.014064
28	-0.133725	-1.4588	0.073632
29	-0.000731	-0.008	0.496826
30	0.337011	3.6764	0.000178
31	0.106131	1.1577	0.124642
32	-0.085879	-0.9368	0.175373
33	-0.205416	-2.2408	0.013446
34	-0.292913	-3.1953	0.000894
35	-0.031622	-0.345	0.36537
36	0.617415	6.7352	0
37	0.176639	1.9269	0.028188
38	-0.279249	-3.0462	0.001427
39	-0.197266	-2.1519	0.016712
40	-0.111095	-1.2119	0.113975
41	-0.013283	-0.1449	0.442516
42	0.274549	2.995	0.00167
43	0.092962	1.0141	0.156296
44	-0.072358	-0.7893	0.215743
45	-0.165033	-1.8003	0.037173
46	-0.248112	-2.7066	0.003899
47	-0.037635	-0.4106	0.341069
48	0.482253	5.2608	0
49	0.1784	1.9461	0.026999
50	-0.238139	-2.5978	0.005284
51	-0.152462	-1.6632	0.049456
52	-0.087443	-0.9539	0.171036
53	-0.030344	-0.331	0.370608
54	0.21339	2.3278	0.010806
55	0.084896	0.9261	0.178133
56	-0.065084	-0.71	0.239551
57	-0.118385	-1.2914	0.099529
58	-0.193673	-2.1127	0.018357
59	-0.051565	-0.5625	0.287413
60	0.381522	4.1619	3e-05

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.072562	0.7916	0.215096
2	-0.416582	-4.5444	7e-06
3	-0.208291	-2.2722	0.012435
4	-0.36261	-3.9556	6.5e-05
5	-0.218799	-2.3868	0.009285
6	0.246811	2.6924	0.004059
7	-0.064929	-0.7083	0.240073
8	0.216511	2.3619	0.009904
9	-0.136515	-1.4892	0.069539
10	-0.397105	-4.3319	1.6e-05
11	-0.184535	-2.013	0.023183
12	0.714341	7.7925	0
13	0.009014	0.0983	0.460917
14	0.20091	2.1917	0.015175
15	0.043051	0.4696	0.319737
16	0.150491	1.6417	0.05165
17	0.060625	0.6613	0.254835
18	-0.122099	-1.3319	0.092712
19	-0.083865	-0.9149	0.181057
20	-0.036883	-0.4023	0.344074
21	-0.025375	-0.2768	0.391204
22	0.029371	0.3204	0.374616
23	-0.061982	-0.6761	0.250132
24	0.083942	0.9157	0.180837
25	0.013461	0.1468	0.441753
26	-0.004849	-0.0529	0.478951
27	0.06983	0.7618	0.223856
28	-0.097975	-1.0688	0.143666
29	0.047338	0.5164	0.303268
30	-0.104421	-1.1391	0.128475
31	0.041364	0.4512	0.326324
32	-0.11355	-1.2387	0.10895
33	0.037512	0.4092	0.34156
34	-0.010166	-0.1109	0.455942
35	0.025938	0.2829	0.388855
36	-0.106989	-1.1671	0.122749
37	0.070932	0.7738	0.220299
38	-0.089444	-0.9757	0.165592
39	-0.03809	-0.4155	0.339258
40	-0.00101	-0.011	0.495613
41	-0.030794	-0.3359	0.368762
42	-0.004491	-0.049	0.480505
43	-0.14151	-1.5437	0.062659
44	-0.005039	-0.055	0.478126
45	-0.009783	-0.1067	0.457594
46	0.017568	0.1916	0.424174
47	0.041288	0.4504	0.326622
48	-0.110203	-1.2022	0.115842
49	-0.027499	-0.3	0.38236
50	-0.020931	-0.2283	0.409889
51	0.063956	0.6977	0.243368
52	0.019706	0.215	0.415081
53	-0.063587	-0.6936	0.244628
54	0.038945	0.4248	0.335861
55	0.018706	0.2041	0.41933
56	0.006701	0.0731	0.470926
57	0.006311	0.0688	0.472613
58	0.010085	0.11	0.456292
59	-0.001594	-0.0174	0.49308
60	0.081423	0.8882	0.188107

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/13/t1281709178y2hysjo5y6mam6i/1o8931281709170.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/13/t1281709178y2hysjo5y6mam6i/1o8931281709170.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/13/t1281709178y2hysjo5y6mam6i/2o8931281709170.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/13/t1281709178y2hysjo5y6mam6i/2o8931281709170.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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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