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Tijdreeks B - 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: Thu, 19 Aug 2010 12:34:11 +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/t12822212591jmcckva3c8werp.htm/, Retrieved Thu, 19 Aug 2010 14:35:46 +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/t12822212591jmcckva3c8werp.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	-0.026339	-0.24	0.405478
2	-0.126925	-1.1563	0.125429
3	-0.35982	-3.2781	0.000764
4	-0.193166	-1.7598	0.041061
5	0.183829	1.6748	0.048872
6	0.199537	1.8179	0.036346
7	0.192766	1.7562	0.041373
8	-0.10267	-0.9354	0.176157
9	-0.335578	-3.0573	0.001503
10	-0.174911	-1.5935	0.057423
11	-0.098495	-0.8973	0.186068
12	0.720518	6.5642	0
13	0.123474	1.1249	0.131938
14	-0.143674	-1.3089	0.097085
15	-0.280301	-2.5537	0.006244
16	-0.23518	-2.1426	0.017537
17	0.087709	0.7991	0.213265
18	0.15204	1.3851	0.08486
19	0.143973	1.3117	0.096626
20	-0.010354	-0.0943	0.462539
21	-0.226113	-2.06	0.021266
22	-0.205869	-1.8756	0.032116
23	-0.090691	-0.8262	0.205521
24	0.41985	3.825	0.000126
25	0.218556	1.9911	0.024877
26	-0.118976	-1.0839	0.140769
27	-0.162817	-1.4833	0.070887
28	-0.266079	-2.4241	0.008759
29	0.051424	0.4685	0.320331
30	0.122002	1.1115	0.134783
31	0.119077	1.0848	0.140567
32	0.046098	0.42	0.337796
33	-0.120315	-1.0961	0.138098
34	-0.161717	-1.4733	0.072225
35	-0.075662	-0.6893	0.246274
36	0.22797	2.0769	0.020452
37	0.230151	2.0968	0.019529
38	-0.068408	-0.6232	0.267424
39	-0.031944	-0.291	0.385878
40	-0.253219	-2.3069	0.011775
41	0.056435	0.5141	0.304258
42	0.034953	0.3184	0.375476
43	0.118605	1.0805	0.141516
44	0.007691	0.0701	0.472154
45	-0.03276	-0.2985	0.383051
46	-0.103962	-0.9471	0.173159
47	-0.046668	-0.4252	0.335907
48	0.105032	0.9569	0.170702

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.026339	-0.24	0.405478
2	-0.127707	-1.1635	0.123986
3	-0.373297	-3.4009	0.000518
4	-0.293674	-2.6755	0.004494
5	0.032467	0.2958	0.384064
6	0.030966	0.2821	0.38928
7	0.114521	1.0433	0.149911
8	0.015552	0.1417	0.443837
9	-0.215482	-1.9631	0.02649
10	-0.173307	-1.5789	0.059081
11	-0.30345	-2.7646	0.003511
12	0.579763	5.2819	1e-06
13	0.153272	1.3964	0.083163
14	-0.172537	-1.5719	0.05989
15	0.055237	0.5032	0.308065
16	0.07272	0.6625	0.25474
17	-0.168383	-1.534	0.064411
18	-0.176287	-1.606	0.056031
19	-0.12684	-1.1556	0.125587
20	-0.04817	-0.4389	0.330955
21	0.059879	0.5455	0.293429
22	-0.071795	-0.6541	0.257433
23	0.072919	0.6643	0.254163
24	-0.125321	-1.1417	0.128426
25	-0.056111	-0.5112	0.305286
26	-0.040665	-0.3705	0.355985
27	0.028774	0.2621	0.39693
28	-0.205689	-1.8739	0.032231
29	0.005188	0.0473	0.481208
30	0.073883	0.6731	0.251375
31	-0.017279	-0.1574	0.43765
32	-0.062749	-0.5717	0.284547
33	0.004793	0.0437	0.482637
34	0.091092	0.8299	0.204492
35	-0.022293	-0.2031	0.419778
36	-0.061516	-0.5604	0.288346
37	-0.009628	-0.0877	0.465159
38	0.014157	0.129	0.448843
39	0.078472	0.7149	0.238334
40	0.003333	0.0304	0.487924
41	0.107525	0.9796	0.165066
42	-0.118769	-1.082	0.141185
43	0.032982	0.3005	0.38228
44	-0.09973	-0.9086	0.183099
45	-0.035441	-0.3229	0.373796
46	-0.049796	-0.4537	0.325627
47	0.062433	0.5688	0.285516
48	0.029988	0.2732	0.392689

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/19/t12822212591jmcckva3c8werp/13puj1282221248.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t12822212591jmcckva3c8werp/13puj1282221248.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t12822212591jmcckva3c8werp/2wgt41282221248.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t12822212591jmcckva3c8werp/2wgt41282221248.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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