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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: Thu, 19 Aug 2010 09:35:18 +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/t1282210489yzjg65wzp956jft.htm/, Retrieved Thu, 19 Aug 2010 11:34:51 +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/t1282210489yzjg65wzp956jft.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:

Quaglia Laura

Dataseries X:

» Textbox « » Textfile « » CSV «

239 238 237 235 255 254 239 229 230 230 231 233 239 236 231 235 253 257 236 226 226 221 217 219 225 226 225 229 242 252 233 232 225 218 209 211 220 225 215 222 238 246 226 230 222 214 208 203 208 212 199 200 223 225 203 207 195 198 193 189 184 188 180 186 215 212 191 190 180 190 189 181 174 179 165 185 211 209 183 178 170 182 195 188 175 176 162 193 211 207 179 176 167 175 190 173 159 159 147 181 196 199 171 170 156 164 178 155 138 142 113 148 156 158 141 139 119 120 125 102

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	0.887638	9.7236	0
2	0.790245	8.6567	0
3	0.723012	7.9202	0
4	0.687826	7.5348	0
5	0.679112	7.4393	0
6	0.671039	7.3509	0
7	0.631816	6.9212	0
8	0.597717	6.5477	0
9	0.576356	6.3137	0
10	0.558028	6.1129	0
11	0.59927	6.5647	0
12	0.625572	6.8528	0
13	0.544638	5.9662	0
14	0.480197	5.2603	0
15	0.435289	4.7684	3e-06
16	0.40815	4.4711	9e-06
17	0.398918	4.3699	1.3e-05
18	0.38549	4.2228	2.4e-05
19	0.361653	3.9617	6.3e-05
20	0.351098	3.8461	9.7e-05
21	0.3429	3.7563	0.000134
22	0.334143	3.6604	0.000188
23	0.370612	4.0598	4.4e-05
24	0.391004	4.2832	1.9e-05
25	0.330909	3.6249	0.000213
26	0.285974	3.1327	0.001088
27	0.25332	2.775	0.003203
28	0.228097	2.4987	0.006909
29	0.211504	2.3169	0.011102
30	0.190247	2.0841	0.019639
31	0.167403	1.8338	0.03458
32	0.169776	1.8598	0.032681
33	0.166886	1.8281	0.035006
34	0.159272	1.7447	0.041796
35	0.192409	2.1077	0.018567
36	0.205942	2.256	0.012941
37	0.162678	1.782	0.038635
38	0.129144	1.4147	0.079873
39	0.108577	1.1894	0.118314
40	0.081281	0.8904	0.18752
41	0.057134	0.6259	0.266295
42	0.028542	0.3127	0.377541
43	0.006757	0.074	0.470561
44	0.013614	0.1491	0.440848
45	0.004669	0.0511	0.479649
46	-0.005734	-0.0628	0.475012
47	0.012866	0.1409	0.444076
48	0.01059	0.116	0.453919

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.887638	9.7236	0
2	0.011049	0.121	0.451932
3	0.091965	1.0074	0.157878
4	0.129884	1.4228	0.078694
5	0.145599	1.595	0.056676
6	0.064952	0.7115	0.239073
7	-0.083171	-0.9111	0.182037
8	0.040876	0.4478	0.327564
9	0.052941	0.5799	0.281522
10	0.002917	0.032	0.487282
11	0.290123	3.1781	0.000943
12	0.034815	0.3814	0.351797
13	-0.437149	-4.7887	2e-06
14	0.047933	0.5251	0.300249
15	0.053226	0.5831	0.280473
16	-0.06676	-0.7313	0.233003
17	-0.050944	-0.5581	0.288919
18	0.023029	0.2523	0.400633
19	0.077978	0.8542	0.197347
20	0.017682	0.1937	0.423372
21	0.059767	0.6547	0.256953
22	0.026683	0.2923	0.38528
23	0.016784	0.1839	0.427215
24	0.068534	0.7508	0.227135
25	-0.173253	-1.8979	0.030056
26	-0.017349	-0.1901	0.424794
27	0.02243	0.2457	0.403164
28	-0.086698	-0.9497	0.17208
29	-0.059672	-0.6537	0.257285
30	-0.002787	-0.0305	0.48785
31	0.01988	0.2178	0.413989
32	0.05176	0.567	0.285887
33	0.010001	0.1096	0.456474
34	0.01298	0.1422	0.443584
35	0.033286	0.3646	0.358017
36	0.029179	0.3196	0.3749
37	-0.047304	-0.5182	0.302641
38	-0.058517	-0.641	0.261366
39	0.044899	0.4918	0.311866
40	-0.101672	-1.1138	0.133803
41	-0.087435	-0.9578	0.170044
42	0.023903	0.2618	0.396944
43	-0.019658	-0.2153	0.414933
44	-0.003038	-0.0333	0.486751
45	-0.034077	-0.3733	0.354792
46	0.020768	0.2275	0.410209
47	-0.017115	-0.1875	0.425798
48	-0.049517	-0.5424	0.294265

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282210489yzjg65wzp956jft/1b5jo1282210514.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282210489yzjg65wzp956jft/1b5jo1282210514.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282210489yzjg65wzp956jft/2b5jo1282210514.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282210489yzjg65wzp956jft/2b5jo1282210514.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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