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tijdreeks B - 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: Sun, 15 Aug 2010 12:49:35 +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/15/t1281876951l2zxa54uz7o1whg.htm/, Retrieved Sun, 15 Aug 2010 14:55:52 +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/15/t1281876951l2zxa54uz7o1whg.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 «

31 30 29 27 25 24 25 27 28 28 29 31 31 27 25 16 20 21 25 24 28 27 23 36 37 30 27 22 22 25 33 35 35 29 25 34 31 29 21 19 18 25 23 22 20 15 17 25 26 26 23 24 24 42 40 45 47 40 39 49 55 54 48 44 48 62 57 60 56 57 54 62 65 68 69 67 72 82 72 77 79 78 76 79

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	-0.055891	-0.5092	0.305986
2	-0.131441	-1.1975	0.117263
3	-0.231367	-2.1079	0.01903
4	-0.091486	-0.8335	0.203485
5	0.040898	0.3726	0.355198
6	0.373298	3.4009	0.000518
7	0.065783	0.5993	0.275297
8	-0.165005	-1.5033	0.068283
9	-0.164762	-1.501	0.068569
10	-0.158633	-1.4452	0.076081
11	0.042375	0.3861	0.350222
12	0.618982	5.6392	0
13	-0.079801	-0.727	0.23463
14	-0.092814	-0.8456	0.200111
15	-0.305485	-2.7831	0.003332
16	-0.060932	-0.5551	0.290155
17	-0.0098	-0.0893	0.464535
18	0.341061	3.1072	0.001293
19	-0.041216	-0.3755	0.354125
20	-0.109424	-0.9969	0.160855
21	-0.032103	-0.2925	0.385327
22	-0.215695	-1.9651	0.026375
23	0.153099	1.3948	0.083399
24	0.390028	3.5533	0.000315
25	-0.015565	-0.1418	0.443789
26	-0.122459	-1.1157	0.133895
27	-0.206232	-1.8789	0.031886
28	-0.087306	-0.7954	0.214325
29	0.047617	0.4338	0.332775
30	0.340191	3.0993	0.001324
31	-0.125228	-1.1409	0.128601
32	-0.055606	-0.5066	0.306892
33	-0.041375	-0.3769	0.353588
34	-0.135715	-1.2364	0.109894
35	0.094598	0.8618	0.195634
36	0.182785	1.6652	0.049817
37	0.034205	0.3116	0.378054
38	-0.177436	-1.6165	0.054888
39	-0.100668	-0.9171	0.180866
40	-0.111216	-1.0132	0.156948
41	0.078119	0.7117	0.239323
42	0.182482	1.6625	0.050093
43	-0.08941	-0.8146	0.208826
44	-0.007713	-0.0703	0.472075
45	-0.038963	-0.355	0.361756
46	-0.068503	-0.6241	0.26714
47	0.029065	0.2648	0.395912
48	0.066589	0.6067	0.272868

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.055891	-0.5092	0.305986
2	-0.134986	-1.2298	0.111126
3	-0.252628	-2.3015	0.011934
4	-0.161551	-1.4718	0.072428
5	-0.063483	-0.5784	0.282294
6	0.305107	2.7797	0.003365
7	0.11271	1.0268	0.153739
8	-0.069821	-0.6361	0.263232
9	-0.039476	-0.3596	0.360012
10	-0.148465	-1.3526	0.089931
11	-0.079481	-0.7241	0.235517
12	0.53321	4.8578	3e-06
13	-0.068847	-0.6272	0.266117
14	0.058868	0.5363	0.296587
15	-0.161913	-1.4751	0.071984
16	-0.048145	-0.4386	0.331038
17	-0.099528	-0.9067	0.183583
18	-0.049499	-0.451	0.326597
19	-0.140943	-1.2841	0.101348
20	0.032863	0.2994	0.382694
21	0.230784	2.1025	0.019268
22	-0.088181	-0.8034	0.212027
23	0.160193	1.4594	0.074111
24	0.034625	0.3155	0.376605
25	0.077035	0.7018	0.242377
26	-0.02772	-0.2525	0.400625
27	-0.012034	-0.1096	0.45648
28	-0.097878	-0.8917	0.187564
29	0.08127	0.7404	0.230572
30	0.039942	0.3639	0.358434
31	-0.088132	-0.8029	0.212157
32	-0.017962	-0.1636	0.435207
33	-0.02672	-0.2434	0.404137
34	0.07539	0.6868	0.247051
35	-0.145226	-1.3231	0.094723
36	-0.14197	-1.2934	0.099729
37	0.016889	0.1539	0.439044
38	-0.002958	-0.027	0.489282
39	0.031956	0.2911	0.385837
40	0.04801	0.4374	0.331481
41	-0.048823	-0.4448	0.328812
42	-0.072083	-0.6567	0.256593
43	0.079014	0.7198	0.23682
44	-0.064527	-0.5879	0.279108
45	0.033862	0.3085	0.379239
46	-0.024609	-0.2242	0.411575
47	-0.015956	-0.1454	0.442388
48	-0.091946	-0.8377	0.202312

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/15/t1281876951l2zxa54uz7o1whg/1x24r1281876572.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/15/t1281876951l2zxa54uz7o1whg/1x24r1281876572.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/15/t1281876951l2zxa54uz7o1whg/2x24r1281876572.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/15/t1281876951l2zxa54uz7o1whg/2x24r1281876572.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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