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Tijdreeks 2 - stap 18

*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 11:02:44 +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/t1281783736djxjnmo231b5cte.htm/, Retrieved Sat, 14 Aug 2010 13:02:16 +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/t1281783736djxjnmo231b5cte.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	2 seconds
R Server	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.29926	2.7264	0.003905
2	-0.094869	-0.8643	0.194957
3	-0.296188	-2.6984	0.004219
4	-0.350559	-3.1937	0.000993
5	0.030147	0.2747	0.392133
6	0.105737	0.9633	0.169094
7	-0.036507	-0.3326	0.370141
8	-0.393555	-3.5855	0.000284
9	-0.290976	-2.6509	0.004806
10	-0.04349	-0.3962	0.346481
11	0.223856	2.0394	0.022294
12	0.692291	6.3071	0
13	0.334242	3.0451	0.001558
14	-0.024979	-0.2276	0.410269
15	-0.257214	-2.3433	0.010752
16	-0.292437	-2.6642	0.004635
17	0.069442	0.6326	0.264351
18	0.129914	1.1836	0.119981
19	-0.069059	-0.6292	0.265486
20	-0.333891	-3.0419	0.001573
21	-0.303743	-2.7672	0.003484
22	-0.016192	-0.1475	0.44154
23	0.25369	2.3112	0.01165
24	0.430637	3.9233	9e-05
25	0.194986	1.7764	0.039665
26	-0.034854	-0.3175	0.375819
27	-0.148162	-1.3498	0.090372
28	-0.186013	-1.6947	0.046945
29	0.013576	0.1237	0.450932
30	0.109718	0.9996	0.16021
31	-0.086984	-0.7925	0.215175
32	-0.24833	-2.2624	0.013143
33	-0.225921	-2.0582	0.021352
34	-0.05028	-0.4581	0.324049
35	0.249887	2.2766	0.012693
36	0.313117	2.8526	0.002736
37	0.110197	1.0039	0.159162
38	-0.039652	-0.3612	0.359416
39	-0.089039	-0.8112	0.209791
40	-0.06283	-0.5724	0.284295
41	0.001676	0.0153	0.493927
42	0.058525	0.5332	0.297664
43	-0.123055	-1.1211	0.132743
44	-0.151713	-1.3822	0.085314
45	-0.13401	-1.2209	0.112792
46	-0.080146	-0.7302	0.233673
47	0.147178	1.3409	0.091813
48	0.219915	2.0035	0.024192

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.29926	2.7264	0.003905
2	-0.202567	-1.8455	0.034267
3	-0.230707	-2.1018	0.019299
4	-0.242081	-2.2055	0.015093
5	0.172349	1.5702	0.06009
6	-0.083462	-0.7604	0.224591
7	-0.211415	-1.9261	0.028758
8	-0.515232	-4.694	5e-06
9	-0.085393	-0.778	0.2194
10	-0.138177	-1.2588	0.105807
11	-0.079579	-0.725	0.235246
12	0.452027	4.1182	4.5e-05
13	0.14211	1.2947	0.09951
14	0.083723	0.7628	0.223887
15	-0.105825	-0.9641	0.168894
16	-0.041845	-0.3812	0.352003
17	0.15008	1.3673	0.087612
18	0.038469	0.3505	0.363436
19	-0.168476	-1.5349	0.064307
20	0.095584	0.8708	0.193185
21	0.11012	1.0032	0.159331
22	0.077753	0.7084	0.240353
23	-0.008213	-0.0748	0.470267
24	-0.178444	-1.6257	0.053902
25	-0.052732	-0.4804	0.316098
26	-0.032713	-0.298	0.383214
27	-0.045272	-0.4125	0.340536
28	-0.061204	-0.5576	0.289311
29	-0.116321	-1.0597	0.14617
30	0.022102	0.2014	0.420455
31	-0.109423	-0.9969	0.160857
32	-0.104193	-0.9492	0.172627
33	0.02542	0.2316	0.408716
34	-0.093475	-0.8516	0.198444
35	-0.039534	-0.3602	0.359815
36	-0.075578	-0.6885	0.246514
37	-0.030361	-0.2766	0.391386
38	0.125338	1.1419	0.128393
39	-0.024559	-0.2237	0.411752
40	-0.06066	-0.5526	0.290997
41	0.019997	0.1822	0.427943
42	0.080008	0.7289	0.234054
43	-0.031255	-0.2847	0.388273
44	0.064368	0.5864	0.279593
45	-0.046661	-0.4251	0.335931
46	0.032308	0.2943	0.384616
47	-0.126856	-1.1557	0.125558
48	0.006685	0.0609	0.47579

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/14/t1281783736djxjnmo231b5cte/1yzpt1281783760.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/14/t1281783736djxjnmo231b5cte/1yzpt1281783760.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/14/t1281783736djxjnmo231b5cte/2yzpt1281783760.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/14/t1281783736djxjnmo231b5cte/2yzpt1281783760.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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