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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: Wed, 18 Aug 2010 18:17:33 +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/t1282155446uafb5kkii0hf21y.htm/, Retrieved Wed, 18 Aug 2010 20:17:29 +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/t1282155446uafb5kkii0hf21y.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 «

259 258 257 255 253 252 253 255 256 256 257 259 267 263 266 257 249 249 251 252 252 252 256 257 259 260 261 253 243 233 241 239 233 228 228 227 225 230 222 207 190 184 192 187 173 167 163 156 153 157 152 128 115 114 136 132 126 124 123 119 105 107 108 92 74 73 100 97 99 102 99 103 92 99 97 87 69 66 95 91 93 99 91 91

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	0.1358	1.2372	0.109752
2	-0.263259	-2.3984	0.009354
3	-0.155012	-1.4122	0.08081
4	0.078808	0.718	0.237394
5	0.138512	1.2619	0.10526
6	-0.176376	-1.6069	0.055941
7	0.139727	1.273	0.10329
8	0.080766	0.7358	0.23196
9	-0.150481	-1.3709	0.087044
10	-0.246799	-2.2484	0.013599
11	0.101593	0.9256	0.178679
12	0.699952	6.3769	0
13	0.142798	1.3009	0.098438
14	-0.250312	-2.2804	0.012572
15	-0.198644	-1.8097	0.036979
16	0.034859	0.3176	0.375799
17	0.053329	0.4859	0.314175
18	-0.134629	-1.2265	0.111734
19	0.09577	0.8725	0.192724
20	0.059392	0.5411	0.294947
21	-0.168579	-1.5358	0.064192
22	-0.237211	-2.1611	0.016785
23	0.059034	0.5378	0.29607
24	0.402552	3.6674	0.000216
25	0.05068	0.4617	0.322745
26	-0.212253	-1.9337	0.028278
27	-0.244046	-2.2234	0.014455
28	-0.070543	-0.6427	0.261103
29	-0.002078	-0.0189	0.49247
30	-0.077997	-0.7106	0.239665
31	0.071332	0.6499	0.258786
32	0.056341	0.5133	0.304556
33	-0.141984	-1.2935	0.099707
34	-0.167639	-1.5273	0.065249
35	0.05659	0.5156	0.303766
36	0.22235	2.0257	0.023004
37	-0.040918	-0.3728	0.355132
38	-0.165586	-1.5086	0.067604
39	-0.181425	-1.6529	0.051069
40	-0.082442	-0.7511	0.227364
41	-0.02853	-0.2599	0.397786
42	-0.020915	-0.1905	0.424675
43	0.052498	0.4783	0.316853
44	0.049873	0.4544	0.325378
45	-0.047903	-0.4364	0.331834
46	-0.05762	-0.5249	0.30051
47	0.081271	0.7404	0.23057
48	0.121987	1.1114	0.134813

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.1358	1.2372	0.109752
2	-0.286993	-2.6146	0.005303
3	-0.077747	-0.7083	0.240368
4	0.045822	0.4175	0.338711
5	0.064079	0.5838	0.280474
6	-0.210475	-1.9175	0.029306
7	0.30705	2.7974	0.003201
8	-0.096426	-0.8785	0.191109
9	-0.129611	-1.1808	0.120526
10	-0.164206	-1.496	0.069225
11	0.217969	1.9858	0.025179
12	0.571497	5.2066	1e-06
13	0.054448	0.496	0.310588
14	-0.043043	-0.3921	0.347978
15	-0.090578	-0.8252	0.205811
16	-0.076415	-0.6962	0.244132
17	-0.135039	-1.2303	0.111037
18	0.019742	0.1799	0.428853
19	-0.050305	-0.4583	0.323969
20	-0.030516	-0.278	0.390845
21	-0.07522	-0.6853	0.247535
22	0.003892	0.0355	0.4859
23	-0.061094	-0.5566	0.289652
24	-0.194041	-1.7678	0.040385
25	-0.166001	-1.5123	0.067123
26	-0.009149	-0.0833	0.466887
27	-0.161655	-1.4727	0.0723
28	-0.136967	-1.2478	0.107802
29	-0.020174	-0.1838	0.427313
30	-0.020247	-0.1845	0.427053
31	-0.049738	-0.4531	0.325816
32	0.070283	0.6403	0.261867
33	-0.00028	-0.0026	0.498985
34	0.070451	0.6418	0.261373
35	0.052384	0.4772	0.317223
36	-0.002727	-0.0248	0.490118
37	-0.11944	-1.0881	0.13984
38	0.001997	0.0182	0.492764
39	0.008214	0.0748	0.470262
40	0.081929	0.7464	0.228763
41	-0.006447	-0.0587	0.476652
42	0.002789	0.0254	0.489894
43	-0.121375	-1.1058	0.136009
44	-0.022697	-0.2068	0.418345
45	0.022239	0.2026	0.419969
46	0.044928	0.4093	0.341681
47	-0.008756	-0.0798	0.468305
48	-0.021982	-0.2003	0.420882

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/18/t1282155446uafb5kkii0hf21y/1m8s91282155452.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/18/t1282155446uafb5kkii0hf21y/1m8s91282155452.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/18/t1282155446uafb5kkii0hf21y/2m8s91282155452.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/18/t1282155446uafb5kkii0hf21y/2m8s91282155452.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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