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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 14:57:56 +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/t1282229997hacvxyoxe9cgir5.htm/, Retrieved Thu, 19 Aug 2010 16:59:57 +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/t1282229997hacvxyoxe9cgir5.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:

Gregory Goris

Dataseries X:

» Textbox « » Textfile « » CSV «

159 158 157 155 175 174 159 149 150 150 151 153 146 156 154 151 171 167 144 138 138 132 132 132 125 131 129 131 145 156 126 123 127 116 114 114 109 110 113 114 138 155 126 123 124 124 134 131 126 128 128 124 148 174 146 137 152 159 170 166 165 168 175 180 199 228 206 193 201 214 225 224 215 222 238 248 262 288 261 240 248 260 266 268 256 261 287 295 304 331 299 275 293 309 311 311 289 298 319 325 331 348 320 305 322 337 346 343 321 331 343 345 347 363 322 304 323 340 352 351

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	0.970741	10.6339	0
2	0.938652	10.2824	0
3	0.921192	10.0912	0
4	0.908749	9.9548	0
5	0.903653	9.899	0
6	0.894229	9.7958	0
7	0.86633	9.4902	0
8	0.83979	9.1994	0
9	0.817151	8.9514	0
10	0.796042	8.7202	0
11	0.78742	8.6258	0
12	0.778434	8.5273	0
13	0.740003	8.1063	0
14	0.699103	7.6583	0
15	0.672019	7.3616	0
16	0.650114	7.1216	0
17	0.633598	6.9407	0
18	0.611891	6.7029	0
19	0.574602	6.2944	0
20	0.540314	5.9188	0
21	0.510884	5.5965	0
22	0.482638	5.287	0
23	0.465782	5.1024	1e-06
24	0.449321	4.9221	1e-06
25	0.407976	4.4692	9e-06
26	0.364362	3.9914	5.7e-05
27	0.333791	3.6565	0.00019
28	0.309384	3.3891	0.000475
29	0.28883	3.164	0.000986
30	0.262172	2.872	0.002412
31	0.220645	2.417	0.008576
32	0.184606	2.0223	0.022687
33	0.154955	1.6975	0.046102
34	0.125998	1.3802	0.08504
35	0.105645	1.1573	0.124727
36	0.086377	0.9462	0.17297
37	0.048851	0.5351	0.296774
38	0.008566	0.0938	0.462697
39	-0.018173	-0.1991	0.42127
40	-0.038606	-0.4229	0.336561
41	-0.05755	-0.6304	0.264806
42	-0.081299	-0.8906	0.187466
43	-0.117261	-1.2845	0.100715
44	-0.147646	-1.6174	0.054211
45	-0.170427	-1.8669	0.032175
46	-0.191736	-2.1004	0.018895
47	-0.207643	-2.2746	0.012352
48	-0.221248	-2.4236	0.008429

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.970741	10.6339	0
2	-0.063917	-0.7002	0.242587
3	0.240492	2.6345	0.004769
4	0.053106	0.5817	0.280915
5	0.187368	2.0525	0.021147
6	-0.060567	-0.6635	0.254147
7	-0.25567	-2.8007	0.002972
8	0.0244	0.2673	0.394855
9	-0.089228	-0.9774	0.165157
10	-0.018048	-0.1977	0.421805
11	0.166992	1.8293	0.034918
12	0.015067	0.1651	0.43459
13	-0.424141	-4.6462	4e-06
14	-0.0202	-0.2213	0.412624
15	0.109078	1.1949	0.117244
16	-0.019081	-0.209	0.417391
17	-0.038779	-0.4248	0.335873
18	-0.015118	-0.1656	0.434374
19	-0.047154	-0.5165	0.303211
20	-0.021107	-0.2312	0.408771
21	-0.030386	-0.3329	0.369908
22	0.01021	0.1118	0.455568
23	0.051136	0.5602	0.288204
24	0.000674	0.0074	0.497059
25	-0.207897	-2.2774	0.012266
26	-0.008101	-0.0887	0.464716
27	0.051667	0.566	0.286233
28	-0.016503	-0.1808	0.42842
29	-0.075584	-0.828	0.204664
30	-0.016566	-0.1815	0.428153
31	-0.046412	-0.5084	0.306046
32	0.000586	0.0064	0.497443
33	-0.021542	-0.236	0.406923
34	0.007914	0.0867	0.465531
35	-0.010181	-0.1115	0.455691
36	0.006024	0.066	0.473748
37	-0.041975	-0.4598	0.323239
38	-0.045449	-0.4979	0.309744
39	0.075722	0.8295	0.204235
40	-0.0244	-0.2673	0.394854
41	-0.087567	-0.9593	0.169681
42	0.018631	0.2041	0.419313
43	0.000312	0.0034	0.49864
44	-0.024458	-0.2679	0.39461
45	-0.039877	-0.4368	0.33151
46	0.061695	0.6758	0.250221
47	-0.032646	-0.3576	0.360627
48	0.010105	0.1107	0.456021

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282229997hacvxyoxe9cgir5/1x4mt1282229873.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282229997hacvxyoxe9cgir5/1x4mt1282229873.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282229997hacvxyoxe9cgir5/2vza21282229873.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282229997hacvxyoxe9cgir5/2vza21282229873.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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