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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 15:03:20 +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/t1282230167mx3yv6jpkqwkmsj.htm/, Retrieved Thu, 19 Aug 2010 17:02:49 +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/t1282230167mx3yv6jpkqwkmsj.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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.970605	10.0868	0
2	0.946173	9.8329	0
3	0.92431	9.6057	0
4	0.895202	9.3032	0
5	0.865912	8.9988	0
6	0.836859	8.6969	0
7	0.804815	8.3639	0
8	0.775212	8.0562	0
9	0.751079	7.8054	0
10	0.723239	7.5161	0
11	0.696232	7.2355	0
12	0.664348	6.9041	0
13	0.630373	6.551	0
14	0.591321	6.1452	0
15	0.547553	5.6903	0
16	0.511028	5.3108	0
17	0.466181	4.8447	2e-06
18	0.417553	4.3393	1.6e-05
19	0.363042	3.7728	0.000132
20	0.313254	3.2554	0.000756
21	0.264407	2.7478	0.003516
22	0.214668	2.2309	0.013877
23	0.169175	1.7581	0.04078
24	0.12437	1.2925	0.099473
25	0.082683	0.8593	0.196047
26	0.041882	0.4352	0.332126
27	0.005714	0.0594	0.476378
28	-0.032329	-0.336	0.368771
29	-0.066203	-0.688	0.246464
30	-0.102584	-1.0661	0.144381
31	-0.140327	-1.4583	0.073827
32	-0.176503	-1.8343	0.034683
33	-0.212852	-2.212	0.014535
34	-0.248595	-2.5835	0.005559
35	-0.282578	-2.9366	0.002028
36	-0.314639	-3.2698	0.000722
37	-0.343678	-3.5716	0.000266
38	-0.373451	-3.881	9e-05
39	-0.396676	-4.1224	3.7e-05
40	-0.415424	-4.3172	1.8e-05
41	-0.435632	-4.5272	8e-06
42	-0.446912	-4.6444	5e-06
43	-0.454357	-4.7218	4e-06
44	-0.465758	-4.8403	2e-06
45	-0.470246	-4.8869	2e-06
46	-0.468422	-4.868	2e-06
47	-0.474258	-4.9286	2e-06
48	-0.48401	-5.03	1e-06

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.970605	10.0868	0
2	0.070769	0.7355	0.231827
3	0.039088	0.4062	0.342695
4	-0.129165	-1.3423	0.091154
5	-0.037082	-0.3854	0.350361
6	-0.024333	-0.2529	0.400421
7	-0.055686	-0.5787	0.281995
8	0.020508	0.2131	0.415815
9	0.084292	0.876	0.191491
10	-0.049008	-0.5093	0.305787
11	-0.010283	-0.1069	0.457549
12	-0.129522	-1.346	0.090555
13	-0.064719	-0.6726	0.251325
14	-0.134958	-1.4025	0.081813
15	-0.118087	-1.2272	0.111209
16	0.103743	1.0781	0.14169
17	-0.131199	-1.3635	0.087786
18	-0.09095	-0.9452	0.173337
19	-0.207244	-2.1537	0.016742
20	0.012551	0.1304	0.448234
21	-0.015603	-0.1622	0.435745
22	-0.057708	-0.5997	0.274974
23	0.047857	0.4973	0.30998
24	0.006382	0.0663	0.473619
25	0.017644	0.1834	0.427427
26	-0.030367	-0.3156	0.376466
27	0.023197	0.2411	0.404979
28	-0.005833	-0.0606	0.475886
29	0.042797	0.4448	0.32869
30	-0.043555	-0.4526	0.32586
31	0.010238	0.1064	0.457733
32	-0.036035	-0.3745	0.354386
33	-0.023954	-0.2489	0.401941
34	-0.070365	-0.7313	0.233103
35	0.043485	0.4519	0.326119
36	-0.010453	-0.1086	0.456847
37	0.013709	0.1425	0.44349
38	-0.101266	-1.0524	0.147486
39	0.052876	0.5495	0.291899
40	0.028272	0.2938	0.384732
41	-0.091208	-0.9479	0.172657
42	0.132859	1.3807	0.085109
43	0.027313	0.2838	0.388535
44	-0.03391	-0.3524	0.362611
45	0.019215	0.1997	0.42105
46	0.105071	1.0919	0.138648
47	-0.105857	-1.1001	0.136867
48	-0.162793	-1.6918	0.046784

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282230167mx3yv6jpkqwkmsj/1rqnh1282230198.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282230167mx3yv6jpkqwkmsj/1rqnh1282230198.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282230167mx3yv6jpkqwkmsj/2j0421282230198.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282230167mx3yv6jpkqwkmsj/2j0421282230198.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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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