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Tijdreeks B - Stap 17

*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 12:27:29 +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/t1282220857sri81yg4oyb6rpx.htm/, Retrieved Thu, 19 Aug 2010 14:28:56 +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/t1282220857sri81yg4oyb6rpx.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 «

93 92 91 89 87 86 87 89 90 90 91 93 93 87 89 92 98 92 92 87 92 98 101 102 102 90 87 92 105 90 88 83 98 109 118 118 115 107 101 111 128 115 111 105 120 132 135 142 139 127 113 130 143 139 137 134 139 157 152 153 147 132 117 123 139 134 134 128 118 144 140 151 144 135 122 124 146 146 147 148 132 161 159 173

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	0.881355	8.0777	0
2	0.781633	7.1638	0
3	0.697433	6.3921	0
4	0.70222	6.436	0
5	0.715853	6.5609	0
6	0.700034	6.4159	0
7	0.653334	5.9879	0
8	0.576146	5.2805	0
9	0.540921	4.9576	2e-06
10	0.559812	5.1308	1e-06
11	0.590008	5.4075	0
12	0.62465	5.725	0
13	0.536668	4.9186	2e-06
14	0.438095	4.0152	6.4e-05
15	0.356865	3.2707	0.000778
16	0.351225	3.219	0.000914
17	0.372598	3.4149	0.000492
18	0.368858	3.3806	0.00055
19	0.34009	3.117	0.001251
20	0.278851	2.5557	0.006199
21	0.239804	2.1978	0.015356
22	0.245553	2.2505	0.013514
23	0.266108	2.4389	0.008419
24	0.282116	2.5856	0.005723
25	0.223693	2.0502	0.021733
26	0.124415	1.1403	0.128704
27	0.034355	0.3149	0.376822
28	-0.007713	-0.0707	0.471907
29	0.003271	0.03	0.488076
30	-0.006475	-0.0593	0.476408
31	-0.040359	-0.3699	0.356195
32	-0.102023	-0.9351	0.17622
33	-0.149125	-1.3667	0.087676
34	-0.152295	-1.3958	0.083226
35	-0.143141	-1.3119	0.096563
36	-0.137562	-1.2608	0.10544
37	-0.174042	-1.5951	0.05722
38	-0.243563	-2.2323	0.014129
39	-0.303201	-2.7789	0.003364
40	-0.339436	-3.111	0.001274
41	-0.309866	-2.84	0.002829
42	-0.303574	-2.7823	0.003332
43	-0.310453	-2.8453	0.002786
44	-0.355753	-3.2605	0.000804
45	-0.375105	-3.4379	0.000457
46	-0.371602	-3.4058	0.000507
47	-0.357789	-3.2792	0.000758
48	-0.343048	-3.1441	0.001152

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.881355	8.0777	0
2	0.021714	0.199	0.421366
3	0.01953	0.179	0.429186
4	0.3594	3.294	0.000724
5	0.121024	1.1092	0.135254
6	-0.060853	-0.5577	0.289258
7	-0.007809	-0.0716	0.471558
8	-0.142311	-1.3043	0.097846
9	0.059026	0.541	0.294976
10	0.204981	1.8787	0.031878
11	0.035898	0.329	0.371485
12	0.192314	1.7626	0.040804
13	-0.404349	-3.7059	0.000188
14	-0.197415	-1.8093	0.036988
15	-0.001409	-0.0129	0.494864
16	-0.051549	-0.4725	0.318914
17	0.112361	1.0298	0.153028
18	0.08295	0.7602	0.224617
19	0.049035	0.4494	0.327146
20	0.032242	0.2955	0.38417
21	-0.126325	-1.1578	0.125116
22	-0.030867	-0.2829	0.388975
23	-0.005138	-0.0471	0.481276
24	-0.047085	-0.4315	0.333591
25	0.017369	0.1592	0.436952
26	-0.183521	-1.682	0.048142
27	-0.117418	-1.0762	0.14247
28	-0.133599	-1.2245	0.112102
29	-0.039509	-0.3621	0.359091
30	0.000201	0.0018	0.499267
31	-0.020896	-0.1915	0.424292
32	0.056475	0.5176	0.303049
33	0.017718	0.1624	0.435694
34	-0.023522	-0.2156	0.414918
35	-0.053943	-0.4944	0.311159
36	-0.085117	-0.7801	0.218759
37	0.038924	0.3567	0.361088
38	0.026542	0.2433	0.4042
39	0.018197	0.1668	0.433971
40	-0.027366	-0.2508	0.401285
41	0.039821	0.365	0.358026
42	-0.112297	-1.0292	0.153165
43	-0.03434	-0.3147	0.376875
44	-0.068099	-0.6241	0.267114
45	0.106323	0.9745	0.166312
46	0.008921	0.0818	0.467515
47	-0.039849	-0.3652	0.357932
48	0.048486	0.4444	0.328956

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282220857sri81yg4oyb6rpx/1294d1282220846.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282220857sri81yg4oyb6rpx/1294d1282220846.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282220857sri81yg4oyb6rpx/2294d1282220846.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282220857sri81yg4oyb6rpx/2294d1282220846.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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