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tijdreeks 1 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: Mon, 16 Aug 2010 10:42:23 +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/16/t12819556194klwrzx4josi4b1.htm/, Retrieved Mon, 16 Aug 2010 12:46:59 +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/16/t12819556194klwrzx4josi4b1.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:

Magali De Reu

Dataseries X:

» Textbox « » Textfile « » CSV «

333 332 331 329 349 348 333 323 324 324 325 327 329 333 329 333 355 358 338 326 320 322 322 324 326 330 331 333 364 363 341 327 313 321 312 312 312 314 312 319 356 351 329 313 298 303 278 275 276 276 273 287 320 313 281 266 258 259 237 231 237 236 229 243 271 262 227 208 212 222 200 193 204 203 190 209 240 234 210 195 202 204 180 169 178 181 163 174 194 187 160 143 151 154 141 127 134 138 120 129 151 152 124 99 104 109 96 87 94 89 63 76 100 104 80 55 60 71 62 61

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	5 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.967698	10.6006	0
2	0.930073	10.1884	0
3	0.90513	9.9152	0
4	0.882453	9.6668	0
5	0.850298	9.3146	0
6	0.821704	9.0013	0
7	0.808295	8.8544	0
8	0.795348	8.7126	0
9	0.771672	8.4532	0
10	0.748856	8.2033	0
11	0.740807	8.1151	0
12	0.728325	7.9784	0
13	0.692957	7.591	0
14	0.653589	7.1597	0
15	0.62644	6.8623	0
16	0.601724	6.5916	0
17	0.567802	6.22	0
18	0.53695	5.882	0
19	0.521629	5.7142	0
20	0.508385	5.5691	0
21	0.48613	5.3253	0
22	0.464612	5.0896	1e-06
23	0.455439	4.9891	1e-06
24	0.440856	4.8293	2e-06
25	0.406594	4.454	1e-05
26	0.369561	4.0483	4.6e-05
27	0.343073	3.7582	0.000133
28	0.319419	3.4991	0.000328
29	0.285648	3.1291	0.001101
30	0.253636	2.7784	0.003171
31	0.235959	2.5848	0.00547
32	0.222527	2.4377	0.008124
33	0.202181	2.2148	0.014331
34	0.18135	1.9866	0.024623
35	0.172681	1.8916	0.030476
36	0.159152	1.7434	0.041911
37	0.128777	1.4107	0.080462
38	0.096102	1.0527	0.147288
39	0.074925	0.8208	0.206705
40	0.056028	0.6138	0.27027
41	0.027416	0.3003	0.382223
42	0.000715	0.0078	0.496884
43	-0.013968	-0.153	0.439324
44	-0.0248	-0.2717	0.393171
45	-0.043437	-0.4758	0.317531
46	-0.063876	-0.6997	0.242728
47	-0.072931	-0.7989	0.212957
48	-0.085753	-0.9394	0.174711

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.967698	10.6006	0
2	-0.100154	-1.0971	0.13739
3	0.188764	2.0678	0.020404
4	-0.014536	-0.1592	0.436877
5	-0.130492	-1.4295	0.077734
6	0.077623	0.8503	0.198421
7	0.171945	1.8836	0.031022
8	-0.026555	-0.2909	0.385815
9	-0.09388	-1.0284	0.152913
10	0.025052	0.2744	0.392114
11	0.150126	1.6445	0.05134
12	-0.100281	-1.0985	0.137086
13	-0.269602	-2.9533	0.001892
14	-0.056633	-0.6204	0.268091
15	0.047253	0.5176	0.302834
16	0.012833	0.1406	0.444218
17	-0.044404	-0.4864	0.313777
18	0.004765	0.0522	0.479229
19	0.078241	0.8571	0.196553
20	0.01672	0.1832	0.42749
21	-6.4e-05	-7e-04	0.499719
22	-0.003713	-0.0407	0.48381
23	0.03705	0.4059	0.342781
24	-0.084398	-0.9245	0.178532
25	-0.138927	-1.5219	0.065336
26	-0.026893	-0.2946	0.384406
27	-0.009145	-0.1002	0.460184
28	0.014124	0.1547	0.438652
29	-0.06122	-0.6706	0.251872
30	-0.028685	-0.3142	0.376947
31	0.034906	0.3824	0.351428
32	0.041305	0.4525	0.325872
33	0.024968	0.2735	0.392465
34	-0.037791	-0.414	0.339812
35	0.037098	0.4064	0.34259
36	-0.060101	-0.6584	0.255779
37	-0.071341	-0.7815	0.218022
38	-0.008562	-0.0938	0.462715
39	0.009611	0.1053	0.458164
40	-0.011543	-0.1264	0.449796
41	-0.039438	-0.432	0.333251
42	-0.007979	-0.0874	0.465247
43	-0.011355	-0.1244	0.450608
44	0.007955	0.0871	0.465351
45	-0.013356	-0.1463	0.441962
46	-0.062708	-0.6869	0.246724
47	0.025008	0.2739	0.392297
48	-0.044073	-0.4828	0.315058

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/16/t12819556194klwrzx4josi4b1/1k87q1281955336.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/16/t12819556194klwrzx4josi4b1/1k87q1281955336.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/16/t12819556194klwrzx4josi4b1/2k87q1281955336.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/16/t12819556194klwrzx4josi4b1/2k87q1281955336.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

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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