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Tijdreeks 2 - 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: Sat, 14 Aug 2010 10:53:28 +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/14/t12817831868t4b3j2a6sqnsz9.htm/, Retrieved Sat, 14 Aug 2010 12:53:08 +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/14/t12817831868t4b3j2a6sqnsz9.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 «

172 171 170 168 166 165 166 168 169 169 170 172 173 172 165 152 148 145 141 149 146 144 149 150 149 156 150 137 130 126 125 123 117 111 114 121 122 131 125 116 106 98 99 96 95 83 85 98 102 110 101 90 88 83 88 85 86 80 79 97 105 116 99 87 82 81 85 84 78 77 79 85 96 108 98 86 80 74 75 82 71 66 71 75

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.955037	8.7531	0
2	0.896139	8.2133	0
3	0.837993	7.6803	0
4	0.79337	7.2714	0
5	0.767128	7.0308	0
6	0.736076	6.7462	0
7	0.698723	6.4039	0
8	0.663061	6.0771	0
9	0.643473	5.8975	0
10	0.639336	5.8596	0
11	0.639757	5.8635	0
12	0.624073	5.7197	0
13	0.575087	5.2708	1e-06
14	0.509859	4.6729	6e-06
15	0.447497	4.1014	4.7e-05
16	0.401888	3.6834	0.000203
17	0.371469	3.4046	0.000509
18	0.33957	3.1122	0.001269
19	0.302245	2.7701	0.003448
20	0.262295	2.404	0.009209
21	0.23812	2.1824	0.015936
22	0.231193	2.1189	0.018525
23	0.228695	2.096	0.019545
24	0.210164	1.9262	0.028732
25	0.171149	1.5686	0.06025
26	0.111416	1.0211	0.15506
27	0.055707	0.5106	0.305499
28	0.014841	0.136	0.446067
29	-0.016193	-0.1484	0.441186
30	-0.045005	-0.4125	0.34052
31	-0.08059	-0.7386	0.231099
32	-0.110355	-1.0114	0.157361
33	-0.126993	-1.1639	0.123878
34	-0.127247	-1.1662	0.123409
35	-0.123908	-1.1356	0.129669
36	-0.138474	-1.2691	0.10395
37	-0.168236	-1.5419	0.063427
38	-0.214219	-1.9633	0.026457
39	-0.25713	-2.3566	0.010384
40	-0.286978	-2.6302	0.005074
41	-0.308875	-2.8309	0.002903
42	-0.32547	-2.983	0.001868
43	-0.345948	-3.1707	0.001062
44	-0.35695	-3.2715	0.000777
45	-0.357536	-3.2769	0.000764
46	-0.342214	-3.1364	0.001179
47	-0.322439	-2.9552	0.002027
48	-0.320166	-2.9344	0.002154

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.955037	8.7531	0
2	-0.181522	-1.6637	0.049952
3	0.001795	0.0165	0.493456
4	0.120902	1.1081	0.135493
5	0.146087	1.3389	0.092107
6	-0.130563	-1.1966	0.117408
7	-0.050825	-0.4658	0.321276
8	0.069986	0.6414	0.261495
9	0.180151	1.6511	0.051225
10	0.072738	0.6667	0.253409
11	-0.003011	-0.0276	0.489026
12	-0.150094	-1.3756	0.086297
13	-0.291319	-2.67	0.004553
14	-0.12754	-1.1689	0.122871
15	-0.003223	-0.0295	0.488253
16	0.065204	0.5976	0.275856
17	0.053442	0.4898	0.312774
18	-0.02111	-0.1935	0.423526
19	-0.015582	-0.1428	0.443391
20	-0.058611	-0.5372	0.296282
21	0.060588	0.5553	0.290085
22	0.036775	0.337	0.368461
23	-0.014621	-0.134	0.446861
24	-0.104554	-0.9583	0.170341
25	-0.014276	-0.1308	0.448105
26	-0.157308	-1.4417	0.076546
27	-0.013768	-0.1262	0.449942
28	-0.005685	-0.0521	0.479285
29	-0.010303	-0.0944	0.462498
30	-0.011816	-0.1083	0.457011
31	-0.022071	-0.2023	0.420093
32	0.079926	0.7325	0.232941
33	-7.7e-05	-7e-04	0.499721
34	-0.003619	-0.0332	0.486811
35	-0.038481	-0.3527	0.362605
36	-0.11396	-1.0445	0.149634
37	0.013934	0.1277	0.449343
38	-0.065948	-0.6044	0.273595
39	-0.015778	-0.1446	0.442683
40	-0.013076	-0.1198	0.452446
41	-0.004147	-0.038	0.484885
42	0.033753	0.3094	0.378911
43	-0.009366	-0.0858	0.465899
44	0.065673	0.6019	0.274431
45	-0.018569	-0.1702	0.432635
46	0.023551	0.2159	0.414813
47	0.006777	0.0621	0.475312
48	-0.082403	-0.7552	0.226111

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/14/t12817831868t4b3j2a6sqnsz9/1bj0e1281783206.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/14/t12817831868t4b3j2a6sqnsz9/1bj0e1281783206.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/14/t12817831868t4b3j2a6sqnsz9/2bj0e1281783206.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/14/t12817831868t4b3j2a6sqnsz9/2bj0e1281783206.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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