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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: Mon, 16 Aug 2010 19:12:43 +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/t1281985990u1mhtozbjag885r.htm/, Retrieved Mon, 16 Aug 2010 21:13:10 +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/t1281985990u1mhtozbjag885r.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 «

76 75 74 72 70 69 70 72 73 73 74 76 74 67 66 58 55 58 64 68 66 76 75 88 85 83 77 66 65 65 63 62 57 68 69 79 74 76 82 75 75 76 78 77 67 74 68 87 76 88 95 96 96 105 108 113 101 107 102 116 105 121 134 140 131 141 131 128 123 129 125 144 135 141 156 159 146 154 145 133 126 127 122 148

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.257414	-2.3452	0.010703
2	0.231509	2.1091	0.018973
3	-0.129923	-1.1837	0.119964
4	0.108095	0.9848	0.163795
5	-0.349165	-3.181	0.001032
6	0.06651	0.6059	0.273107
7	-0.291941	-2.6597	0.004692
8	0.069917	0.637	0.262946
9	-0.071336	-0.6499	0.258774
10	0.209795	1.9113	0.029707
11	-0.312855	-2.8502	0.002754
12	0.654172	5.9598	0
13	-0.212432	-1.9353	0.028177
14	0.198946	1.8125	0.036764
15	-0.132719	-1.2091	0.115023
16	0.172815	1.5744	0.059597
17	-0.242369	-2.2081	0.014998
18	0.032938	0.3001	0.382432
19	-0.168654	-1.5365	0.064108
20	0.070566	0.6429	0.261035
21	-0.060081	-0.5474	0.292798
22	0.154377	1.4064	0.081663
23	-0.271331	-2.4719	0.007741
24	0.372452	3.3932	0.00053
25	-0.214388	-1.9532	0.027084
26	0.113481	1.0339	0.152102
27	-0.130418	-1.1882	0.119079
28	0.153369	1.3973	0.083029
29	-0.075241	-0.6855	0.247475
30	0.066389	0.6048	0.273469
31	-0.075951	-0.6919	0.245451
32	0.000209	0.0019	0.499243
33	-0.051857	-0.4724	0.318927
34	0.039707	0.3617	0.359231
35	-0.196052	-1.7861	0.038866
36	0.21925	1.9975	0.024525
37	-0.123361	-1.1239	0.132153
38	0.079505	0.7243	0.235451
39	-0.040949	-0.3731	0.355026
40	0.10691	0.974	0.166445
41	0.004684	0.0427	0.483031
42	0.036099	0.3289	0.371539
43	-0.044828	-0.4084	0.342015
44	-0.049323	-0.4494	0.327173
45	-0.05177	-0.4716	0.319208
46	-0.053066	-0.4835	0.315024
47	-0.128386	-1.1697	0.122744
48	0.066444	0.6053	0.273303

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.257414	-2.3452	0.010703
2	0.176974	1.6123	0.055346
3	-0.03905	-0.3558	0.36146
4	0.035831	0.3264	0.372459
5	-0.320932	-2.9238	0.002228
6	-0.111427	-1.0152	0.156492
7	-0.223042	-2.032	0.022676
8	-0.08023	-0.7309	0.233441
9	0.014789	0.1347	0.446576
10	0.112652	1.0263	0.153865
11	-0.336678	-3.0673	0.001458
12	0.501353	4.5675	8e-06
13	-0.00446	-0.0406	0.483843
14	-0.026918	-0.2452	0.403441
15	0.030321	0.2762	0.391528
16	0.026905	0.2451	0.403485
17	0.132459	1.2068	0.115477
18	-0.124969	-1.1385	0.129089
19	0.083612	0.7617	0.224188
20	0.109817	1.0005	0.159993
21	0.004889	0.0445	0.482292
22	-0.039147	-0.3566	0.361131
23	-0.000815	-0.0074	0.497046
24	-0.072181	-0.6576	0.256307
25	-0.09515	-0.8669	0.19426
26	-0.102425	-0.9331	0.176729
27	0.038138	0.3475	0.364565
28	-0.03876	-0.3531	0.362448
29	0.064284	0.5857	0.279849
30	0.058557	0.5335	0.297564
31	-0.031676	-0.2886	0.386811
32	-0.155958	-1.4208	0.079553
33	-0.059602	-0.543	0.294293
34	-0.046419	-0.4229	0.336733
35	0.030655	0.2793	0.390364
36	0.003755	0.0342	0.486395
37	0.066249	0.6036	0.273892
38	0.012523	0.1141	0.454719
39	0.039989	0.3643	0.358273
40	0.026251	0.2392	0.405785
41	0.037776	0.3442	0.365798
42	0.001432	0.013	0.494813
43	-0.087887	-0.8007	0.212798
44	0.009238	0.0842	0.466567
45	-0.057675	-0.5254	0.300337
46	-0.05686	-0.518	0.302911
47	0.036919	0.3363	0.368729
48	-0.110877	-1.0101	0.157683

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/16/t1281985990u1mhtozbjag885r/1chp71281985959.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/16/t1281985990u1mhtozbjag885r/1chp71281985959.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/16/t1281985990u1mhtozbjag885r/2chp71281985959.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/16/t1281985990u1mhtozbjag885r/2chp71281985959.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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