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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: Wed, 18 Aug 2010 17:57:58 +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/18/t1282154261qowhdbl7mv1bj8x.htm/, Retrieved Wed, 18 Aug 2010 19:57:44 +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/18/t1282154261qowhdbl7mv1bj8x.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:

Patrick Fieremans

Dataseries X:

» Textbox « » Textfile « » CSV «

136 135 134 132 152 151 136 126 127 127 128 130 125 118 111 104 126 131 122 116 115 115 113 122 114 106 93 89 114 122 115 116 120 120 120 121 118 112 99 96 120 135 128 134 134 132 130 125 124 114 101 101 123 143 133 136 137 135 141 136 133 124 110 104 130 160 142 142 137 135 139 135 134 120 103 101 127 159 141 140 135 127 130 128 126 110 101 102 129 169 146 145 138 123 124 137 132 112 105 106 137 175 151 142 140 122 127 135 128 117 107 108 134 171 154 146 148 122 124 135

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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.871606	9.058	0
2	0.755349	7.8498	0
3	0.646962	6.7234	0
4	0.557779	5.7966	0
5	0.506473	5.2634	0
6	0.443235	4.6062	6e-06
7	0.39728	4.1287	3.6e-05
8	0.348851	3.6254	0.000221
9	0.341145	3.5453	0.000291
10	0.309675	3.2182	0.000852
11	0.270993	2.8162	0.002889
12	0.215094	2.2353	0.013727
13	0.144084	1.4974	0.068608
14	0.079134	0.8224	0.206336
15	-0.019884	-0.2066	0.418342
16	-0.107564	-1.1178	0.133058
17	-0.153466	-1.5949	0.056832
18	-0.170171	-1.7685	0.039903
19	-0.164833	-1.713	0.044791
20	-0.158392	-1.6461	0.05133
21	-0.166041	-1.7255	0.043644
22	-0.173217	-1.8001	0.037316
23	-0.184887	-1.9214	0.028659
24	-0.187483	-1.9484	0.026982
25	-0.216974	-2.2549	0.01308
26	-0.245589	-2.5522	0.006051
27	-0.262307	-2.726	0.003741
28	-0.275535	-2.8634	0.002518
29	-0.276607	-2.8746	0.002437
30	-0.252887	-2.6281	0.004919
31	-0.245237	-2.5486	0.006111
32	-0.238585	-2.4794	0.007352
33	-0.200848	-2.0873	0.019608
34	-0.185465	-1.9274	0.028277
35	-0.18878	-1.9619	0.026176
36	-0.202529	-2.1047	0.018817
37	-0.213624	-2.22	0.014252
38	-0.237712	-2.4704	0.007531
39	-0.242668	-2.5219	0.006566
40	-0.243684	-2.5324	0.006382
41	-0.228222	-2.3718	0.009737
42	-0.209936	-2.1817	0.015649
43	-0.201397	-2.093	0.019347
44	-0.167448	-1.7402	0.042339
45	-0.156457	-1.6259	0.053438
46	-0.130009	-1.3511	0.089745
47	-0.1012	-1.0517	0.147641
48	-0.084679	-0.88	0.190404

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.871606	9.058	0
2	-0.01809	-0.188	0.425616
3	-0.031419	-0.3265	0.372334
4	0.016836	0.175	0.430716
5	0.106891	1.1108	0.134552
6	-0.071613	-0.7442	0.229178
7	0.036973	0.3842	0.35078
8	-0.022239	-0.2311	0.408831
9	0.154944	1.6102	0.055134
10	-0.108143	-1.1239	0.131784
11	-0.028781	-0.2991	0.382719
12	-0.097252	-1.0107	0.157216
13	-0.064162	-0.6668	0.253165
14	-0.082123	-0.8534	0.19765
15	-0.194074	-2.0169	0.023095
16	-0.087455	-0.9089	0.182724
17	0.108955	1.1323	0.13001
18	0.030277	0.3147	0.376816
19	0.03085	0.3206	0.374565
20	0.007556	0.0785	0.468778
21	-0.030309	-0.315	0.376692
22	0.011429	0.1188	0.452839
23	-0.055134	-0.573	0.283928
24	0.048067	0.4995	0.309211
25	-0.08827	-0.9173	0.180507
26	-0.006931	-0.072	0.471354
27	0.009558	0.0993	0.46053
28	-0.039003	-0.4053	0.343016
29	-0.045234	-0.4701	0.319622
30	0.096135	0.9991	0.159997
31	-0.154506	-1.6057	0.055633
32	-0.026422	-0.2746	0.392079
33	0.102666	1.0669	0.144191
34	-0.035319	-0.367	0.357152
35	-0.087536	-0.9097	0.182502
36	-0.031306	-0.3253	0.372776
37	0.015208	0.158	0.437359
38	-0.124429	-1.2931	0.099367
39	0.004071	0.0423	0.483168
40	-0.004685	-0.0487	0.48063
41	0.049069	0.5099	0.305569
42	-0.070832	-0.7361	0.231632
43	-0.02403	-0.2497	0.401637
44	0.041049	0.4266	0.335264
45	-0.019215	-0.1997	0.421048
46	0.0635	0.6599	0.255356
47	0.021896	0.2276	0.410213
48	-0.03166	-0.329	0.371388

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/18/t1282154261qowhdbl7mv1bj8x/1ugrb1282154276.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/18/t1282154261qowhdbl7mv1bj8x/1ugrb1282154276.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/18/t1282154261qowhdbl7mv1bj8x/2ugrb1282154276.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/18/t1282154261qowhdbl7mv1bj8x/2ugrb1282154276.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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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