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Tijdreeks 1 - 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: Wed, 18 Aug 2010 22:15:33 +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/19/t1282169714jra5j7e70onh0qy.htm/, Retrieved Thu, 19 Aug 2010 00:15:15 +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/19/t1282169714jra5j7e70onh0qy.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:

Mathias Goossenaerts

Dataseries X:

» Textbox « » Textfile « » CSV «

36 35 34 32 52 51 36 26 27 27 28 30 28 29 25 28 55 53 42 32 37 41 37 38 39 32 36 39 83 83 66 53 72 77 69 72 81 71 63 66 114 116 109 97 111 120 110 106 115 110 103 112 163 166 156 140 166 176 163 162 171 167 163 168 222 216 197 178 204 220 196 195 213 218 216 225 280 272 252 230 248 259 240 237 252 250 255 255 313 291 271 247 268 283 259 259 267 270 279 269 334 326 301 276 301 313 291 287 289 298 320 312 385 380 351 322 350 363 344 345

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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.96656	10.5881	0
2	0.934124	10.2328	0
3	0.911221	9.9819	0
4	0.896509	9.8208	0
5	0.875362	9.5891	0
6	0.847749	9.2866	0
7	0.826959	9.0589	0
8	0.802282	8.7886	0
9	0.776045	8.5011	0
10	0.754481	8.2649	0
11	0.746359	8.176	0
12	0.740726	8.1143	0
13	0.707775	7.7533	0
14	0.674736	7.3914	0
15	0.649936	7.1197	0
16	0.633674	6.9416	0
17	0.611881	6.7028	0
18	0.583116	6.3877	0
19	0.560938	6.1448	0
20	0.535517	5.8663	0
21	0.509046	5.5763	0
22	0.486485	5.3292	0
23	0.473738	5.1895	0
24	0.462578	5.0673	1e-06
25	0.429041	4.6999	4e-06
26	0.394651	4.3232	1.6e-05
27	0.368064	4.0319	4.9e-05
28	0.350311	3.8375	1e-04
29	0.329299	3.6073	0.000226
30	0.301389	3.3015	0.000633
31	0.278519	3.051	0.001404
32	0.251454	2.7545	0.003397
33	0.22482	2.4628	0.007603
34	0.20218	2.2148	0.014332
35	0.187105	2.0496	0.02129
36	0.172483	1.8895	0.030621
37	0.141096	1.5456	0.062413
38	0.108153	1.1848	0.119228
39	0.081773	0.8958	0.186081
40	0.062918	0.6892	0.246003
41	0.042301	0.4634	0.321966
42	0.015103	0.1654	0.434435
43	-0.007619	-0.0835	0.466812
44	-0.032207	-0.3528	0.362426
45	-0.055804	-0.6113	0.271079
46	-0.07481	-0.8195	0.207063
47	-0.089132	-0.9764	0.165417
48	-0.102947	-1.1277	0.130843

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.96656	10.5881	0
2	-0.001724	-0.0189	0.492482
3	0.128405	1.4066	0.081065
4	0.118646	1.2997	0.098097
5	-0.082527	-0.904	0.183892
6	-0.080935	-0.8866	0.188534
7	0.081956	0.8978	0.18555
8	-0.112947	-1.2373	0.109201
9	-0.030498	-0.3341	0.369447
10	0.080108	0.8775	0.190975
11	0.172908	1.8941	0.030309
12	0.055096	0.6035	0.273644
13	-0.36173	-3.9626	6.3e-05
14	-0.002396	-0.0262	0.489554
15	0.018472	0.2023	0.419993
16	0.014199	0.1555	0.43833
17	-0.010266	-0.1125	0.455324
18	-0.051049	-0.5592	0.288527
19	0.037448	0.4102	0.341187
20	-0.047134	-0.5163	0.303287
21	-0.006288	-0.0689	0.472601
22	0.053439	0.5854	0.27969
23	0.000223	0.0024	0.499029
24	-0.006605	-0.0724	0.471221
25	-0.183761	-2.013	0.023176
26	-0.025119	-0.2752	0.39183
27	0.010133	0.111	0.455898
28	0.000342	0.0038	0.498507
29	0.031948	0.35	0.363485
30	-0.028155	-0.3084	0.379149
31	-0.001732	-0.019	0.492447
32	-0.062472	-0.6844	0.247537
33	-0.008013	-0.0878	0.465101
34	0.031397	0.3439	0.365749
35	-0.036154	-0.396	0.346386
36	-0.029297	-0.3209	0.37441
37	-0.064033	-0.7014	0.24219
38	-0.040505	-0.4437	0.329026
39	-0.001898	-0.0208	0.491724
40	-0.022581	-0.2474	0.402524
41	0.016307	0.1786	0.429264
42	-0.034966	-0.383	0.351185
43	-0.004679	-0.0513	0.479602
44	0.00056	0.0061	0.497557
45	-0.019335	-0.2118	0.416312
46	0.026941	0.2951	0.384203
47	-0.05136	-0.5626	0.28737
48	-0.025852	-0.2832	0.388759

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282169714jra5j7e70onh0qy/1wo441282169729.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282169714jra5j7e70onh0qy/1wo441282169729.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282169714jra5j7e70onh0qy/26flo1282169729.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282169714jra5j7e70onh0qy/26flo1282169729.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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