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Tijdreeks B - 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 12:02:22 +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/t1281787353d5o5mbd6wv49f71.htm/, Retrieved Sat, 14 Aug 2010 14:02:34 +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/t1281787353d5o5mbd6wv49f71.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 «

335 334 333 331 329 328 329 331 332 332 333 335 335 333 325 322 322 315 321 324 329 332 322 324 324 323 309 306 305 300 301 302 308 311 301 301 308 302 290 286 286 275 284 289 292 293 285 280 281 280 265 260 254 238 247 246 247 237 222 216 212 209 185 186 178 158 166 162 164 147 132 124 117 120 89 81 71 52 63 62 74 67 53 42

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	0.958317	8.7831	0
2	0.91836	8.4169	0
3	0.880952	8.0741	0
4	0.843982	7.7352	0
5	0.802845	7.3582	0
6	0.759194	6.9581	0
7	0.71111	6.5174	0
8	0.665314	6.0977	0
9	0.621262	5.694	0
10	0.577308	5.2911	0
11	0.541512	4.963	2e-06
12	0.503312	4.6129	7e-06
13	0.46092	4.2244	3e-05
14	0.419617	3.8458	0.000117
15	0.382616	3.5067	0.000365
16	0.35006	3.2084	0.000945
17	0.316301	2.899	0.002388
18	0.283153	2.5951	0.005578
19	0.246034	2.2549	0.013369
20	0.21274	1.9498	0.027268
21	0.181009	1.659	0.050425
22	0.146938	1.3467	0.090848
23	0.121073	1.1096	0.135159
24	0.094768	0.8686	0.19378
25	0.065501	0.6003	0.274954
26	0.037261	0.3415	0.366787
27	0.014826	0.1359	0.446119
28	-0.004442	-0.0407	0.48381
29	-0.024096	-0.2208	0.412876
30	-0.042834	-0.3926	0.34781
31	-0.064845	-0.5943	0.276949
32	-0.083404	-0.7644	0.223383
33	-0.100856	-0.9244	0.178973
34	-0.118106	-1.0825	0.141072
35	-0.129443	-1.1864	0.119412
36	-0.141371	-1.2957	0.099316
37	-0.157215	-1.4409	0.076665
38	-0.171198	-1.5691	0.060197
39	-0.18153	-1.6637	0.049945
40	-0.191496	-1.7551	0.041445
41	-0.202602	-1.8569	0.033417
42	-0.213614	-1.9578	0.026787
43	-0.228469	-2.094	0.019639
44	-0.241642	-2.2147	0.014745
45	-0.255426	-2.341	0.0108
46	-0.26897	-2.4651	0.007866
47	-0.277767	-2.5458	0.006365
48	-0.284581	-2.6082	0.005385

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.958317	8.7831	0
2	-0.000138	-0.0013	0.499499
3	0.010826	0.0992	0.460599
4	-0.013308	-0.122	0.451607
5	-0.069954	-0.6411	0.26159
6	-0.055434	-0.5081	0.306371
7	-0.084005	-0.7699	0.221754
8	-0.005334	-0.0489	0.480563
9	-0.006458	-0.0592	0.476473
10	-0.021068	-0.1931	0.423677
11	0.081967	0.7512	0.227303
12	-0.046875	-0.4296	0.334286
13	-0.07289	-0.668	0.252969
14	-0.022629	-0.2074	0.418101
15	0.008875	0.0813	0.467684
16	0.027903	0.2557	0.39939
17	-0.038712	-0.3548	0.361816
18	-0.00499	-0.0457	0.481817
19	-0.072969	-0.6688	0.252736
20	0.003711	0.034	0.486476
21	-0.007679	-0.0704	0.472028
22	-0.064724	-0.5932	0.277319
23	0.076102	0.6975	0.243713
24	-0.025546	-0.2341	0.407726
25	-0.046407	-0.4253	0.335841
26	-0.012643	-0.1159	0.454014
27	0.022008	0.2017	0.420318
28	0.018128	0.1661	0.434221
29	-0.040122	-0.3677	0.357
30	0.008829	0.0809	0.467848
31	-0.059409	-0.5445	0.293773
32	-0.007178	-0.0658	0.473852
33	-0.001873	-0.0172	0.493174
34	-0.030887	-0.2831	0.388903
35	0.055042	0.5045	0.307627
36	-0.028124	-0.2578	0.398611
37	-0.046823	-0.4291	0.334461
38	0.002143	0.0196	0.49219
39	-0.006446	-0.0591	0.476515
40	-0.008066	-0.0739	0.470623
41	-0.053407	-0.4895	0.312887
42	0.005054	0.0463	0.481581
43	-0.061202	-0.5609	0.28817
44	-0.029024	-0.266	0.395443
45	-0.018761	-0.1719	0.431946
46	-0.032913	-0.3017	0.381831
47	0.039456	0.3616	0.35927
48	0.004024	0.0369	0.485334

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/14/t1281787353d5o5mbd6wv49f71/1nmuo1281787339.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/14/t1281787353d5o5mbd6wv49f71/1nmuo1281787339.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/14/t1281787353d5o5mbd6wv49f71/2nmuo1281787339.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/14/t1281787353d5o5mbd6wv49f71/2nmuo1281787339.ps (open in new window)

Parameters (Session):

par1 = 12 ;

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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