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Autocorrelation_Differnetieren_Reeks_A_Jeroen_Kinne

*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 13:10:07 +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/t1281964209co094qimjgen4dv.htm/, Retrieved Mon, 16 Aug 2010 15:10:10 +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/t1281964209co094qimjgen4dv.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:
Jeroen_Kinne
 
Dataseries X:
» Textbox « » Textfile « » CSV «
36 35 34 32 52 51 36 26 27 27 28 30 28 29 25 28 55 53 42 32 37 41 37 38 39 32 36 39 83 83 66 53 72 77 69 72 81 71 63 66 114 116 109 97 111 120 110 106 115 110 103 112 163 166 156 140 166 176 163 162 171 167 163 168 222 216 197 178 204 220 196 195 213 218 216 225 280 272 252 230 248 259 240 237 252 250 255 255 313 291 271 247 268 283 259 259 267 270 279 269 334 326 301 276 301 313 291 287 289 298 320 312 385 380 351 322 350 363 344 345
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'Sir Ronald Aylmer Fisher' @ 193.190.124.24


Autocorrelation Function
Time lag kACF(k)T-STATP-value
1-0.049265-0.53740.295992
2-0.399967-4.36311.4e-05
3-0.233299-2.5450.006104
40.3591643.9187.5e-05
50.0685160.74740.228141
6-0.397811-4.33961.5e-05
70.0506820.55290.290693
80.3235283.52930.000297
9-0.198353-2.16380.01624
10-0.353124-3.85219.5e-05
11-0.054062-0.58970.27824
120.8502849.27550
13-0.027476-0.29970.382455
14-0.379392-4.13873.3e-05
15-0.232212-2.53310.006303
160.3409893.71980.000153
170.0986251.07590.142081
18-0.36068-3.93467e-05
190.0199430.21760.414074
200.2891763.15450.001018
21-0.168522-1.83840.034252
22-0.304538-3.32210.000594
23-0.052384-0.57140.284388
240.7270797.93150
25-0.011471-0.12510.450314
26-0.348571-3.80250.000114
27-0.228985-2.49790.006929
280.3064653.34310.000554
290.1080311.17850.120479
30-0.308486-3.36520.000515
31-0.013855-0.15110.440061
320.2582162.81680.00284
33-0.126811-1.38330.084575
34-0.260124-2.83760.002672
35-0.029072-0.31710.375847
360.6032836.5810
37-0.008622-0.09410.462613
38-0.324914-3.54440.000282
39-0.202367-2.20760.014596
400.2603472.84010.002653
410.1131571.23440.109744
42-0.258315-2.81790.002831
43-0.026459-0.28860.386683
440.2156012.35190.010159
45-0.094936-1.03560.151237
46-0.200147-2.18330.015487
47-0.021962-0.23960.405537
480.4926625.37430


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.049265-0.53740.295992
2-0.403373-4.40031.2e-05
3-0.336211-3.66760.000184
40.1676451.82880.034968
5-0.102102-1.11380.133804
6-0.383337-4.18172.8e-05
70.1555461.69680.046174
80.0908780.99140.161759
9-0.53829-5.87210
10-0.157217-1.7150.044471
11-0.268324-2.92710.00205
120.6294746.86670
130.0810030.88360.189337
140.064990.7090.23987
150.0501640.54720.292624
16-0.058917-0.64270.260826
170.0100580.10970.456408
180.0566960.61850.268721
19-0.014015-0.15290.439372
20-0.000424-0.00460.49816
21-0.04725-0.51540.303602
220.0171310.18690.426039
239.4e-050.0010.499593
24-0.01264-0.13790.445283
250.0325010.35450.361779
260.0082690.09020.464137
27-0.042496-0.46360.3219
28-0.019058-0.20790.417832
29-0.082907-0.90440.183802
300.0008240.0090.49642
31-0.039939-0.43570.331929
32-0.022264-0.24290.404261
330.03250.35450.361783
34-0.012562-0.1370.445619
350.1007641.09920.136948
36-0.057347-0.62560.266394
37-0.030711-0.3350.369101
38-0.021476-0.23430.407588
39-0.01405-0.15330.439225
40-0.064092-0.69920.242908
410.0193150.21070.416741
42-0.040086-0.43730.331346
430.021160.23080.408921
44-0.023452-0.25580.399261
45-0.019565-0.21340.41568
460.0746470.81430.20855
47-0.045557-0.4970.310065
48-0.018319-0.19980.420975
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Aug/16/t1281964209co094qimjgen4dv/11eq21281964203.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Aug/16/t1281964209co094qimjgen4dv/11eq21281964203.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Aug/16/t1281964209co094qimjgen4dv/21eq21281964203.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Aug/16/t1281964209co094qimjgen4dv/21eq21281964203.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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Creative Commons License

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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