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TIJDREEKS A - STAP 20

*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 19:35:13 +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/t1281900978el5dvj89nzcsni9.htm/, Retrieved Sun, 15 Aug 2010 21:36:20 +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/t1281900978el5dvj89nzcsni9.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:

De Cock Nicola

Dataseries X:

» Textbox « » Textfile « » CSV «

252 251 250 248 268 267 252 242 243 243 244 246 236 241 240 239 253 249 232 229 221 222 224 224 215 225 225 221 238 234 228 227 216 219 225 227 205 215 214 209 222 216 206 199 189 198 203 211 199 211 210 203 214 202 193 193 176 192 200 195 180 197 194 194 212 202 195 198 170 187 190 189 176 188 195 194 211 203 194 194 163 183 181 184 171 178 179 186 205 204 195 186 156 167 164 165 153 160 154 169 186 188 187 169 131 146 145 137 119 118 113 123 142 141 138 124 83 100 96 98

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	4 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.918196	10.0583	0
2	0.848018	9.2896	0
3	0.784935	8.5985	0
4	0.716782	7.852	0
5	0.687227	7.5282	0
6	0.666741	7.3038	0
7	0.635293	6.9593	0
8	0.612024	6.7044	0
9	0.591653	6.4812	0
10	0.569571	6.2393	0
11	0.557964	6.1122	0
12	0.558172	6.1145	0
13	0.497167	5.4462	0
14	0.451611	4.9471	1e-06
15	0.405507	4.4421	1e-05
16	0.352764	3.8643	9.1e-05
17	0.338791	3.7113	0.000157
18	0.332521	3.6426	2e-04
19	0.317007	3.4726	0.000359
20	0.309993	3.3958	0.000464
21	0.30254	3.3142	0.000608
22	0.292026	3.199	0.000882
23	0.295662	3.2388	0.000776
24	0.305972	3.3518	0.000537
25	0.266036	2.9143	0.002127
26	0.236206	2.5875	0.00543
27	0.200058	2.1915	0.015172
28	0.159435	1.7465	0.04164
29	0.154024	1.6873	0.047076
30	0.147159	1.6121	0.054789
31	0.13563	1.4858	0.069984
32	0.133268	1.4599	0.073468
33	0.124961	1.3689	0.086798
34	0.116595	1.2772	0.101992
35	0.119256	1.3064	0.096959
36	0.127215	1.3936	0.083011
37	0.100436	1.1002	0.136719
38	0.08338	0.9134	0.181438
39	0.058671	0.6427	0.260818
40	0.022994	0.2519	0.400781
41	0.023663	0.2592	0.397957
42	0.01441	0.1579	0.437419
43	0.005256	0.0576	0.477093
44	0.01207	0.1322	0.447517
45	0.008983	0.0984	0.460888
46	0.008932	0.0978	0.461109
47	0.01723	0.1887	0.425308
48	0.022458	0.246	0.403046
49	0.001638	0.0179	0.492859
50	-0.011024	-0.1208	0.452042
51	-0.034452	-0.3774	0.353269
52	-0.064832	-0.7102	0.239479
53	-0.062143	-0.6807	0.248674
54	-0.071471	-0.7829	0.217607
55	-0.081255	-0.8901	0.187595
56	-0.07716	-0.8452	0.199827
57	-0.082534	-0.9041	0.183872
58	-0.086152	-0.9437	0.173599
59	-0.079273	-0.8684	0.193457
60	-0.077794	-0.8522	0.197904

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.918196	10.0583	0
2	0.031442	0.3444	0.365562
3	0.012123	0.1328	0.447288
4	-0.061465	-0.6733	0.251021
5	0.205705	2.2534	0.013026
6	0.06914	0.7574	0.225152
7	-0.055819	-0.6115	0.271025
8	0.021446	0.2349	0.407332
9	0.060423	0.6619	0.254652
10	0.022384	0.2452	0.403356
11	0.039608	0.4339	0.332577
12	0.093872	1.0283	0.152935
13	-0.369996	-4.0531	4.5e-05
14	0.046031	0.5042	0.307508
15	-0.02122	-0.2325	0.408292
16	-0.00939	-0.1029	0.459122
17	0.069536	0.7617	0.223858
18	0.043632	0.478	0.316773
19	-0.018186	-0.1992	0.421215
20	0.002679	0.0293	0.488319
21	0.080395	0.8807	0.190125
22	0.012799	0.1402	0.444366
23	0.055963	0.613	0.270505
24	0.024068	0.2637	0.396251
25	-0.193575	-2.1205	0.018011
26	-0.016568	-0.1815	0.428143
27	-0.015781	-0.1729	0.431521
28	0.017055	0.1868	0.426056
29	0.004152	0.0455	0.481898
30	-0.04025	-0.4409	0.330033
31	-0.008852	-0.097	0.461456
32	0.0081	0.0887	0.464721
33	0.045596	0.4995	0.309179
34	0.017851	0.1955	0.422649
35	0.003333	0.0365	0.485469
36	0.017097	0.1873	0.425874
37	-0.07103	-0.7781	0.219024
38	0.010937	0.1198	0.45242
39	-0.000137	-0.0015	0.499402
40	-0.047995	-0.5258	0.300013
41	0.033776	0.37	0.356019
42	-0.079829	-0.8745	0.1918
43	0.006791	0.0744	0.470412
44	0.042883	0.4698	0.319689
45	0.035902	0.3933	0.347404
46	0.004845	0.0531	0.478881
47	-0.013446	-0.1473	0.441575
48	-0.010701	-0.1172	0.45344
49	-0.053758	-0.5889	0.278522
50	0.024618	0.2697	0.393937
51	-0.028264	-0.3096	0.378693
52	-0.024935	-0.2731	0.392605
53	0.005498	0.0602	0.476036
54	-0.035564	-0.3896	0.348766
55	-0.028577	-0.313	0.377397
56	0.00336	0.0368	0.485349
57	0.04391	0.481	0.315693
58	-0.04195	-0.4595	0.323337
59	0.010341	0.1133	0.454999
60	-0.009134	-0.1001	0.460232

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/15/t1281900978el5dvj89nzcsni9/1qodx1281900908.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/15/t1281900978el5dvj89nzcsni9/1qodx1281900908.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/15/t1281900978el5dvj89nzcsni9/2qodx1281900908.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/15/t1281900978el5dvj89nzcsni9/2qodx1281900908.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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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