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tijdreeks 2 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: Tue, 17 Aug 2010 16:11:19 +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/17/t1282061507n3k52od3lafxdqs.htm/, Retrieved Tue, 17 Aug 2010 18:11:50 +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/17/t1282061507n3k52od3lafxdqs.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 «

120 119 118 116 114 113 114 116 117 117 118 120 123 125 120 116 111 108 113 112 126 124 124 118 119 122 114 108 104 101 107 104 123 125 134 131 127 124 123 117 112 118 123 124 144 148 152 154 146 132 136 128 120 124 126 121 140 142 142 139 131 117 122 112 98 103 108 102 126 129 126 126 112 99 106 104 90 98 99 91 118 115 119 123

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.02409	-0.2195	0.413411
2	0.059185	0.5392	0.295595
3	0.223733	2.0383	0.022352
4	-0.312817	-2.8499	0.002757
5	-0.366456	-3.3386	0.000631
6	0.063707	0.5804	0.281608
7	-0.364446	-3.3203	0.000669
8	-0.268948	-2.4502	0.008189
9	0.209753	1.9109	0.029732
10	0.035976	0.3278	0.371962
11	-0.007849	-0.0715	0.471584
12	0.722674	6.5839	0
13	0.017335	0.1579	0.43745
14	0.061989	0.5648	0.286883
15	0.108428	0.9878	0.163055
16	-0.253367	-2.3083	0.011736
17	-0.355572	-3.2394	0.000862
18	0.0018	0.0164	0.493479
19	-0.300164	-2.7346	0.003817
20	-0.187423	-1.7075	0.045733
21	0.131829	1.201	0.11658
22	0.081178	0.7396	0.230825
23	0.017634	0.1607	0.436379
24	0.478955	4.3635	1.8e-05
25	0.031268	0.2849	0.38823
26	0.037764	0.344	0.36584
27	0.03234	0.2946	0.384506
28	-0.173187	-1.5778	0.059206
29	-0.279046	-2.5422	0.006436
30	-0.035201	-0.3207	0.374624
31	-0.198042	-1.8042	0.03741
32	-0.09409	-0.8572	0.196901
33	0.087795	0.7999	0.21304
34	0.095594	0.8709	0.193159
35	0.016653	0.1517	0.439888
36	0.307961	2.8057	0.003127
37	0.044507	0.4055	0.343086
38	0.068617	0.6251	0.2668
39	-0.033538	-0.3055	0.380357
40	-0.114954	-1.0473	0.149004
41	-0.12724	-1.1592	0.124847
42	-0.076485	-0.6968	0.243933
43	-0.054467	-0.4962	0.310527
44	-0.025647	-0.2337	0.407913
45	0.033118	0.3017	0.381811
46	0.082475	0.7514	0.227275
47	0.005572	0.0508	0.479817
48	0.177009	1.6126	0.055311

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.02409	-0.2195	0.413411
2	0.058639	0.5342	0.297307
3	0.227401	2.0717	0.020698
4	-0.320873	-2.9233	0.002231
5	-0.465341	-4.2395	2.9e-05
6	0.045211	0.4119	0.340739
7	-0.168458	-1.5347	0.064327
8	-0.360894	-3.2879	0.000741
9	-0.078532	-0.7155	0.238167
10	0.159395	1.4522	0.075114
11	-0.116713	-1.0633	0.145364
12	0.489288	4.4576	1.3e-05
13	0.069045	0.629	0.265527
14	0.044893	0.409	0.341798
15	-0.277734	-2.5303	0.006643
16	-0.018567	-0.1692	0.433042
17	-0.001526	-0.0139	0.494472
18	-0.052986	-0.4827	0.315281
19	-0.079178	-0.7214	0.236361
20	0.045281	0.4125	0.340506
21	-0.082467	-0.7513	0.227296
22	-0.008485	-0.0773	0.469283
23	-0.060375	-0.55	0.291884
24	-0.108512	-0.9886	0.162869
25	-0.14292	-1.3021	0.098248
26	-0.106832	-0.9733	0.16662
27	-0.02553	-0.2326	0.408325
28	-0.009928	-0.0904	0.464074
29	0.026425	0.2407	0.405172
30	-0.041967	-0.3823	0.351594
31	-0.012512	-0.114	0.45476
32	-0.011296	-0.1029	0.459141
33	-0.015242	-0.1389	0.44495
34	-0.124777	-1.1368	0.129452
35	-0.142944	-1.3023	0.09821
36	-0.088972	-0.8106	0.209965
37	0.015816	0.1441	0.442888
38	0.094019	0.8566	0.19708
39	-0.081561	-0.7431	0.229772
40	-0.125411	-1.1426	0.128255
41	0.137925	1.2566	0.106219
42	-0.029216	-0.2662	0.395385
43	0.0702	0.6396	0.262113
44	-0.098161	-0.8943	0.186877
45	-0.008381	-0.0764	0.469661
46	-0.107299	-0.9775	0.16557
47	-0.065405	-0.5959	0.276442
48	0.085337	0.7775	0.21955

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/17/t1282061507n3k52od3lafxdqs/1e3vv1282061477.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/17/t1282061507n3k52od3lafxdqs/1e3vv1282061477.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/17/t1282061507n3k52od3lafxdqs/27ucy1282061477.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/17/t1282061507n3k52od3lafxdqs/27ucy1282061477.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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