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tijdreeks 1 - stap 21

*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 14:13:28 +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/t1281795200zn9on5smmr78800.htm/, Retrieved Sat, 14 Aug 2010 16:13:22 +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/t1281795200zn9on5smmr78800.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:
Vanhille Olivier
 
Dataseries X:
» Textbox « » Textfile « » CSV «
568 567 566 564 584 583 568 558 559 559 560 562 563 552 552 555 575 567 548 541 544 546 551 550 546 532 523 528 555 543 525 517 519 521 520 516 509 494 484 482 508 500 480 467 471 482 481 477 471 455 441 434 459 448 432 414 415 423 425 427 415 399 386 377 397 379 361 350 348 363 367 365 354 327 312 307 335 317 298 286 288 303 310 301 293 264 255 251 279 253 233 226 232 245 250 242 230 196 188 181 212 186 166 155 157 173 182 182 168 131 114 106 134 103 83 74 83 96 95 100
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time4 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.1407431.53530.06368
2-0.283613-3.09390.001231
3-0.515243-5.62060
4-0.083756-0.91370.18137
50.2336092.54840.006048
60.2725732.97340.001783
70.2041072.22650.01393
8-0.119425-1.30280.097584
9-0.489707-5.34210
10-0.265953-2.90120.002215
110.1365651.48970.069468
120.8443399.21070
130.1017211.10960.134695
14-0.253236-2.76250.003324
15-0.447522-4.88192e-06
16-0.069512-0.75830.224889
170.2097792.28840.011939
180.2489582.71580.003798
190.1809251.97370.025369
20-0.109181-1.1910.118006
21-0.431408-4.70613e-06
22-0.244933-2.67190.0043
230.132131.44140.076054
240.7093017.73760
250.0726510.79250.214814
26-0.240799-2.62680.004876
27-0.378405-4.12793.4e-05
28-0.065136-0.71050.239378
290.1934732.11050.018453
300.2167912.36490.009826
310.1533461.67280.048496
32-0.108499-1.18360.119468
33-0.382624-4.17392.9e-05
34-0.197262-2.15190.016714
350.1351241.4740.071557
360.5878416.41260
370.0375510.40960.341406
38-0.231577-2.52620.006422
39-0.301878-3.29310.000653
40-0.04808-0.52450.300455
410.175571.91520.028931
420.1730661.88790.030736
430.1216311.32680.093552
44-0.087753-0.95730.170186
45-0.326625-3.56310.000264
46-0.162327-1.77080.039579
470.1218821.32960.093101
480.4764085.1970


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.1407431.53530.06368
2-0.309553-3.37680.000496
3-0.473224-5.16230
4-0.088285-0.96310.168731
5-0.017923-0.19550.42266
6-0.020492-0.22350.41175
70.2547182.77860.003173
80.0639180.69730.243501
9-0.39959-4.3591.4e-05
10-0.155767-1.69920.045945
11-0.104105-1.13570.129192
120.702877.66740
13-0.146066-1.59340.056862
140.1458741.59130.057098
150.2143832.33860.010511
16-0.097343-1.06190.145219
17-0.047805-0.52150.301496
180.0033120.03610.485618
19-0.076536-0.83490.202719
200.0586320.63960.261832
210.0622260.67880.24929
22-0.024131-0.26320.396413
230.079650.86890.193331
240.0057070.06230.47523
25-0.036489-0.3980.345655
26-0.0547-0.59670.275917
270.038070.41530.339336
28-0.07878-0.85940.195928
290.0276710.30190.381647
30-0.005032-0.05490.478157
31-0.041071-0.4480.327473
32-0.014183-0.15470.438653
33-0.02149-0.23440.407529
340.0558770.60950.271663
35-0.009238-0.10080.45995
36-0.030171-0.32910.371319
370.0014510.01580.4937
38-0.038619-0.42130.337156
390.0246010.26840.394439
400.0125210.13660.445793
41-0.039961-0.43590.33184
42-0.000751-0.00820.49674
43-0.006301-0.06870.472657
440.0437650.47740.316969
450.0006210.00680.497305
46-0.025921-0.28280.388923
47-0.002747-0.030.488072
48-0.047403-0.51710.303022
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Aug/14/t1281795200zn9on5smmr78800/1vf0p1281795204.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Aug/14/t1281795200zn9on5smmr78800/1vf0p1281795204.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Aug/14/t1281795200zn9on5smmr78800/2vf0p1281795204.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Aug/14/t1281795200zn9on5smmr78800/2vf0p1281795204.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')
 




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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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