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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 17:24:22 +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/t1282238638fbkikag4nv07gu5.htm/, Retrieved Thu, 19 Aug 2010 19:24:00 +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/t1282238638fbkikag4nv07gu5.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:

Van Boxel Dieter

Dataseries X:

» Textbox « » Textfile « » CSV «

356 355 354 352 372 371 356 346 347 347 348 350 353 350 343 346 373 363 349 350 353 356 355 346 349 348 342 342 379 375 363 361 363 373 367 360 358 367 357 346 386 383 367 354 363 370 361 354 363 366 353 351 389 385 364 348 347 352 342 338 343 354 329 320 353 345 324 310 314 313 310 301 294 296 274 269 292 287 271 256 260 265 263 256 246 245 220 224 240 238 222 203 209 214 216 214 206 196 169 177 193 183 164 142 141 137 140 146 136 124 105 114 135 123 100 74 64 57 62 64

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	0.069851	0.762	0.22379
2	-0.48784	-5.3217	0
3	-0.149396	-1.6297	0.052903
4	0.207548	2.2641	0.01269
5	0.120014	1.3092	0.096496
6	-0.110405	-1.2044	0.115418
7	0.164032	1.7894	0.038049
8	0.206212	2.2495	0.013159
9	-0.122002	-1.3309	0.092886
10	-0.484136	-5.2813	0
11	0.05464	0.5961	0.276136
12	0.832075	9.0769	0
13	0.032911	0.359	0.360108
14	-0.419868	-4.5802	6e-06
15	-0.127971	-1.396	0.082658
16	0.204267	2.2283	0.01387
17	0.106254	1.1591	0.12437
18	-0.100269	-1.0938	0.138124
19	0.142797	1.5577	0.060976
20	0.189226	2.0642	0.020586
21	-0.094088	-1.0264	0.153398
22	-0.460579	-5.0243	1e-06
23	0.029182	0.3183	0.375395
24	0.682532	7.4455	0
25	0.001805	0.0197	0.492162
26	-0.343799	-3.7504	0.000137
27	-0.134892	-1.4715	0.071898
28	0.17627	1.9229	0.028442
29	0.071361	0.7785	0.218922
30	-0.083911	-0.9154	0.180927
31	0.110279	1.203	0.115683
32	0.15459	1.6864	0.047171
33	-0.043806	-0.4779	0.316811
34	-0.42714	-4.6595	4e-06
35	0.033961	0.3705	0.355847
36	0.55493	6.0536	0
37	-0.005532	-0.0603	0.475989
38	-0.302083	-3.2953	0.000648
39	-0.123455	-1.3467	0.090312
40	0.150775	1.6448	0.051329
41	0.019958	0.2177	0.41401
42	-0.059993	-0.6544	0.257045
43	0.089372	0.9749	0.165786
44	0.09827	1.072	0.142944
45	-0.060897	-0.6643	0.25389
46	-0.362009	-3.9491	6.7e-05
47	0.059241	0.6462	0.259684
48	0.437465	4.7722	3e-06

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.069851	0.762	0.22379
2	-0.495135	-5.4013	0
3	-0.085019	-0.9274	0.177787
4	-0.01933	-0.2109	0.416677
5	-0.008277	-0.0903	0.464103
6	-0.048826	-0.5326	0.297643
7	0.327947	3.5775	0.000251
8	0.17821	1.944	0.027126
9	0.079999	0.8727	0.192297
10	-0.402583	-4.3917	1.2e-05
11	0.070034	0.764	0.223195
12	0.694314	7.5741	0
13	-0.180747	-1.9717	0.025481
14	0.1801	1.9647	0.025892
15	0.004304	0.047	0.481315
16	0.004055	0.0442	0.482394
17	0.159705	1.7422	0.04203
18	-0.002137	-0.0233	0.490719
19	-0.072451	-0.7904	0.215448
20	0.047673	0.5201	0.301996
21	-0.036154	-0.3944	0.346998
22	0.000166	0.0018	0.499278
23	-0.081161	-0.8854	0.188875
24	-0.075262	-0.821	0.206642
25	-0.072491	-0.7908	0.215322
26	0.052603	0.5738	0.283581
27	-0.153443	-1.6739	0.048392
28	-0.006798	-0.0742	0.470503
29	-0.097422	-1.0627	0.145024
30	0.034765	0.3792	0.352591
31	-0.058076	-0.6335	0.2638
32	-0.051434	-0.5611	0.2879
33	0.078397	0.8552	0.197077
34	-0.052885	-0.5769	0.282546
35	0.115045	1.255	0.105971
36	-0.008123	-0.0886	0.464771
37	0.018796	0.205	0.418944
38	-0.034406	-0.3753	0.354045
39	0.095674	1.0437	0.149373
40	-0.059596	-0.6501	0.258435
41	-0.052998	-0.5781	0.282131
42	0.055395	0.6043	0.273401
43	-0.020843	-0.2274	0.410261
44	-0.122245	-1.3335	0.092452
45	-0.101631	-1.1087	0.134905
46	0.046785	0.5104	0.305373
47	-0.037004	-0.4037	0.34359
48	-0.045079	-0.4918	0.311901

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282238638fbkikag4nv07gu5/1tffx1282238660.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282238638fbkikag4nv07gu5/1tffx1282238660.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282238638fbkikag4nv07gu5/2lowi1282238660.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282238638fbkikag4nv07gu5/2lowi1282238660.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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