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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: Mon, 16 Aug 2010 10:54:49 +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/t1281956092dyklmk5opd7z1af.htm/, Retrieved Mon, 16 Aug 2010 12:54:54 +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/t1281956092dyklmk5opd7z1af.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 Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.2073072.26150.012773
2-0.483908-5.27880
3-0.192968-2.1050.018696
40.2504572.73220.003625
50.0116550.12710.449522
6-0.421099-4.59375e-06
7-0.031417-0.34270.366208
80.2427192.64780.0046
9-0.157464-1.71770.044224
10-0.454033-4.95291e-06
110.1888842.06050.020766
120.8692379.48230
130.1912632.08640.019538
14-0.422269-4.60645e-06
15-0.178727-1.94970.026783
160.2321512.53250.006314
170.0168350.18360.427302
18-0.384947-4.19932.6e-05
19-0.066964-0.73050.233263
200.2163112.35970.009959
21-0.128041-1.39680.082543
22-0.405262-4.42091.1e-05
230.1653761.8040.036878
240.7370548.04030
250.1785031.94720.026931
26-0.370869-4.04574.7e-05
27-0.171073-1.86620.032239
280.2132712.32650.010841
290.0292710.31930.375027
30-0.334092-3.64450.000199
31-0.089532-0.97670.165356
320.1775381.93670.027576
33-0.113918-1.24270.108212
34-0.359503-3.92177.4e-05
350.1603751.74950.041393
360.615016.7090
370.1475961.61010.055015
38-0.314522-3.4310.000414
39-0.156908-1.71170.044782
400.1830451.99680.024066
410.0275320.30030.382223
42-0.256484-2.79790.003001
43-0.069377-0.75680.225328
440.1404811.53250.064031
45-0.103926-1.13370.1296
46-0.297343-3.24360.000766
470.1592691.73740.04245
480.4749495.18110


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.2073072.26150.012773
2-0.550545-6.00570
30.1150181.25470.106024
40.0251570.27440.392116
5-0.226159-2.46710.007522
6-0.307587-3.35540.000532
70.2077072.26580.012635
8-0.302538-3.30030.000637
9-0.350534-3.82390.000105
10-0.372008-4.05814.4e-05
110.3065723.34430.000552
120.6179416.74090
13-0.071562-0.78060.21828
140.3087853.36840.00051
150.0416040.45380.325382
16-0.046612-0.50850.30603
170.0235330.25670.398923
180.1004411.09570.137714
19-0.151823-1.65620.050158
200.0483290.52720.299515
21-0.004671-0.0510.479724
22-0.009385-0.10240.459313
23-0.045359-0.49480.310822
24-0.008064-0.0880.465025
25-0.046124-0.50310.307894
26-0.06954-0.75860.224799
27-0.034678-0.37830.352945
28-0.028188-0.30750.379501
29-0.017333-0.18910.425176
300.0594680.64870.258884
31-0.012489-0.13620.445931
32-0.03443-0.37560.353948
33-0.022375-0.24410.403795
34-0.044871-0.48950.312698
350.0538670.58760.278949
36-0.111046-1.21140.114076
37-0.030832-0.33630.368603
380.0359440.39210.347841
39-0.079616-0.86850.193433
40-0.079115-0.8630.194926
410.0089010.09710.461408
420.0992171.08230.140647
430.0120260.13120.447924
440.0740460.80770.210425
450.1268511.38380.084508
460.0590090.64370.260502
470.0315430.34410.365693
48-0.06644-0.72480.235008
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Aug/16/t1281956092dyklmk5opd7z1af/1lonw1281956087.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Aug/16/t1281956092dyklmk5opd7z1af/1lonw1281956087.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Aug/16/t1281956092dyklmk5opd7z1af/2lonw1281956087.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Aug/16/t1281956092dyklmk5opd7z1af/2lonw1281956087.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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