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tijdreeks A-Stap 21

*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 14:08:53 +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/t1282226980llm6ndbvoo28ga0.htm/, Retrieved Thu, 19 Aug 2010 16:09:44 +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/t1282226980llm6ndbvoo28ga0.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:

Gilian Keirsebelik

Dataseries X:

» Textbox « » Textfile « » CSV «

668 667 666 664 684 683 668 658 659 659 660 662 659 655 655 655 674 674 665 644 638 648 641 637 651 649 652 650 661 666 652 624 613 623 615 613 621 612 611 609 631 632 624 596 584 587 581 574 593 582 571 572 594 588 571 546 535 537 527 515 545 538 520 523 541 529 504 473 455 458 450 442 469 455 439 443 461 451 425 393 366 359 351 343 366 355 344 351 367 364 353 313 278 274 261 255 274 262 265 274 291 289 277 238 203 198 190 187 201 181 181 196 207 202 186 154 120 107 99 100

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.296711	3.2367	0.000783
2	-0.13556	-1.4788	0.07092
3	-0.11543	-1.2592	0.105212
4	-0.11397	-1.2433	0.108107
5	-0.169368	-1.8476	0.033573
6	-0.090555	-0.9878	0.162619
7	-0.149393	-1.6297	0.052906
8	-0.090321	-0.9853	0.16324
9	-0.136567	-1.4898	0.069465
10	-0.150689	-1.6438	0.051426
11	0.258823	2.8234	0.002786
12	0.849066	9.2622	0
13	0.269048	2.935	0.002002
14	-0.095834	-1.0454	0.148973
15	-0.09421	-1.0277	0.153086
16	-0.096131	-1.0487	0.148229
17	-0.15049	-1.6417	0.051651
18	-0.088602	-0.9665	0.167869
19	-0.121867	-1.3294	0.093128
20	-0.083711	-0.9132	0.181497
21	-0.15735	-1.7165	0.044338
22	-0.142022	-1.5493	0.061985
23	0.214027	2.3348	0.010616
24	0.693252	7.5625	0
25	0.218771	2.3865	0.009293
26	-0.069511	-0.7583	0.224894
27	-0.077741	-0.8481	0.199054
28	-0.090919	-0.9918	0.161652
29	-0.13029	-1.4213	0.078923
30	-0.05916	-0.6454	0.259967
31	-0.071916	-0.7845	0.21715
32	-0.066878	-0.7295	0.23355
33	-0.186927	-2.0391	0.021826
34	-0.141187	-1.5402	0.063087
35	0.170361	1.8584	0.03279
36	0.555406	6.0588	0
37	0.182338	1.9891	0.024494
38	-0.036367	-0.3967	0.346145
39	-0.059211	-0.6459	0.259788
40	-0.10167	-1.1091	0.134814
41	-0.133631	-1.4577	0.073773
42	-0.04666	-0.509	0.305846
43	-0.046839	-0.511	0.305166
44	-0.044627	-0.4868	0.313638
45	-0.172224	-1.8787	0.031363
46	-0.120474	-1.3142	0.09565
47	0.13618	1.4855	0.070021
48	0.418652	4.567	6e-06

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.296711	3.2367	0.000783
2	-0.245183	-2.6746	0.004267
3	0.008636	0.0942	0.462553
4	-0.125205	-1.3658	0.087284
5	-0.135755	-1.4809	0.070637
6	-0.035216	-0.3842	0.350773
7	-0.215306	-2.3487	0.010244
8	-0.034502	-0.3764	0.353657
9	-0.254333	-2.7744	0.003211
10	-0.177121	-1.9322	0.027858
11	0.285193	3.1111	0.001167
12	0.775209	8.4565	0
13	-0.166414	-1.8154	0.035993
14	0.101771	1.1102	0.134577
15	-0.039743	-0.4335	0.332702
16	0.134735	1.4698	0.07213
17	0.04344	0.4739	0.31823
18	-0.00673	-0.0734	0.470797
19	0.044577	0.4863	0.313833
20	-0.060302	-0.6578	0.255963
21	0.027081	0.2954	0.384093
22	0.054554	0.5951	0.276447
23	-0.063687	-0.6947	0.244286
24	-0.070238	-0.7662	0.222537
25	-0.087343	-0.9528	0.171312
26	0.021673	0.2364	0.406753
27	-0.035747	-0.39	0.348635
28	-0.063865	-0.6967	0.243679
29	-0.00059	-0.0064	0.497436
30	0.044984	0.4907	0.312265
31	0.070674	0.771	0.221128
32	0.003896	0.0425	0.483085
33	-0.088161	-0.9617	0.169068
34	0.014896	0.1625	0.435597
35	-0.018299	-0.1996	0.421059
36	0.016329	0.1781	0.429462
37	0.01758	0.1918	0.424123
38	0.009002	0.0982	0.46097
39	0.007374	0.0804	0.468013
40	-0.068298	-0.745	0.228856
41	-0.026443	-0.2885	0.38675
42	-0.047995	-0.5236	0.300779
43	-0.079973	-0.8724	0.192374
44	0.039573	0.4317	0.333375
45	0.053607	0.5848	0.279899
46	0.019423	0.2119	0.41628
47	-0.023634	-0.2578	0.398497
48	-0.10465	-1.1416	0.127957

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282226980llm6ndbvoo28ga0/1pjyh1282226931.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282226980llm6ndbvoo28ga0/1pjyh1282226931.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282226980llm6ndbvoo28ga0/2pjyh1282226931.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282226980llm6ndbvoo28ga0/2pjyh1282226931.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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