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tijdreeks A-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: Tue, 17 Aug 2010 18:00:06 +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/t1282067974l9ithmxlql0v60b.htm/, Retrieved Tue, 17 Aug 2010 19:59:35 +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/t1282067974l9ithmxlql0v60b.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:

Gilian Keirsebelik

Dataseries X:

» Textbox « » Textfile « » CSV «

668 667 666 664 684 683 668 658 659 659 660 662 659 655 655 655 674 674 665 644 638 648 641 637 651 649 652 650 661 666 652 624 613 623 615 613 621 612 611 609 631 632 624 596 584 587 581 574 593 582 571 572 594 588 571 546 535 537 527 515 545 538 520 523 541 529 504 473 455 458 450 442 469 455 439 443 461 451 425 393 366 359 351 343 366 355 344 351 367 364 353 313 278 274 261 255 274 262 265 274 291 289 277 238 203 198 190 187 201 181 181 196 207 202 186 154 120 107 99 100

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	3 seconds
R Server	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.972186	10.6498	0
2	0.941604	10.3148	0
3	0.912059	9.9911	0
4	0.883991	9.6836	0
5	0.8584	9.4033	0
6	0.836576	9.1642	0
7	0.817122	8.9511	0
8	0.799065	8.7533	0
9	0.779793	8.5422	0
10	0.759233	8.317	0
11	0.738947	8.0948	0
12	0.718205	7.8675	0
13	0.689848	7.5569	0
14	0.659529	7.2248	0
15	0.629989	6.9012	0
16	0.60091	6.5826	0
17	0.574391	6.2921	0
18	0.552228	6.0494	0
19	0.531747	5.825	0
20	0.512796	5.6174	0
21	0.492391	5.3939	0
22	0.470978	5.1593	0
23	0.449945	4.9289	1e-06
24	0.428303	4.6918	4e-06
25	0.398723	4.3678	1.3e-05
26	0.367743	4.0284	4.9e-05
27	0.337747	3.6998	0.000163
28	0.308133	3.3754	0.000497
29	0.281499	3.0837	0.001269
30	0.258964	2.8368	0.002675
31	0.23811	2.6084	0.005127
32	0.218967	2.3987	0.008998
33	0.198675	2.1764	0.015743
34	0.177837	1.9481	0.026868
35	0.158929	1.741	0.042125
36	0.139574	1.529	0.064453
37	0.113181	1.2398	0.108728
38	0.086287	0.9452	0.173222
39	0.059942	0.6566	0.256337
40	0.034255	0.3752	0.354072
41	0.010303	0.1129	0.455165
42	-0.010072	-0.1103	0.456163
43	-0.027558	-0.3019	0.381631
44	-0.042705	-0.4678	0.320384
45	-0.059219	-0.6487	0.258882
46	-0.075614	-0.8283	0.204569
47	-0.089713	-0.9828	0.163851
48	-0.103358	-1.1322	0.129896

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.972186	10.6498	0
2	-0.064554	-0.7071	0.240422
3	0.005671	0.0621	0.475282
4	0.009584	0.105	0.45828
5	0.028265	0.3096	0.378691
6	0.051748	0.5669	0.28593
7	0.027115	0.297	0.383478
8	0.015324	0.1679	0.433483
9	-0.028656	-0.3139	0.377065
10	-0.024515	-0.2685	0.39437
11	0.002933	0.0321	0.487213
12	-0.015357	-0.1682	0.433344
13	-0.148802	-1.63	0.052857
14	-0.042534	-0.4659	0.321051
15	-0.009001	-0.0986	0.46081
16	-0.020029	-0.2194	0.413352
17	0.016798	0.184	0.427155
18	0.043184	0.4731	0.318518
19	-0.000693	-0.0076	0.496977
20	0.010459	0.1146	0.454489
21	-0.029304	-0.321	0.374382
22	-0.011676	-0.1279	0.44922
23	0.004496	0.0493	0.480399
24	-0.018305	-0.2005	0.420705
25	-0.142142	-1.5571	0.061041
26	-0.033129	-0.3629	0.358657
27	-0.01282	-0.1404	0.444276
28	-0.025778	-0.2824	0.389067
29	0.013817	0.1514	0.439974
30	0.019998	0.2191	0.413486
31	-0.00891	-0.0976	0.461207
32	0.007175	0.0786	0.46874
33	-0.020199	-0.2213	0.412631
34	0.000124	0.0014	0.499461
35	0.031244	0.3423	0.366377
36	-0.017421	-0.1908	0.424487
37	-0.112797	-1.2356	0.109505
38	-0.015655	-0.1715	0.432064
39	-0.021596	-0.2366	0.406697
40	-0.016106	-0.1764	0.430127
41	-0.016387	-0.1795	0.428922
42	0.000722	0.0079	0.49685
43	0.009015	0.0988	0.460748
44	0.011222	0.1229	0.451186
45	-0.023342	-0.2557	0.39931
46	0.013485	0.1477	0.441408
47	0.030751	0.3369	0.368403
48	0.001434	0.0157	0.493748

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/17/t1282067974l9ithmxlql0v60b/10gvr1282068001.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/17/t1282067974l9ithmxlql0v60b/10gvr1282068001.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/17/t1282067974l9ithmxlql0v60b/20gvr1282068001.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/17/t1282067974l9ithmxlql0v60b/20gvr1282068001.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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