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tijdreeks 1- stap 20

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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 19:00:00 +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/t12822452970u554jjvlr715sy.htm/, Retrieved Thu, 19 Aug 2010 21:14:58 +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/t12822452970u554jjvlr715sy.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:

Aerts Ellen

Dataseries X:

» Textbox « » Textfile « » CSV «

25 24 23 21 41 40 25 15 16 16 17 19 18 19 20 21 46 47 30 16 15 18 30 31 32 36 30 31 61 57 45 33 31 36 46 49 34 40 41 48 75 77 71 54 50 56 66 66 48 63 71 70 88 92 91 80 81 81 98 106 85 93 96 92 115 109 119 107 107 106 132 143 120 123 132 136 158 151 155 138 143 139 168 182 154 158 167 170 197 190 196 174 180 171 200 215 184 186 197 186 211 205 218 199 213 207 236 248 211 220 235 223 245 236 253 246 255 248 274 288

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	0.879661	9.1417	0
2	0.766655	7.9673	0
3	0.688271	7.1527	0
4	0.639827	6.6493	0
5	0.596005	6.1939	0
6	0.565206	5.8738	0
7	0.539872	5.6105	0
8	0.51832	5.3865	0
9	0.4692	4.8761	2e-06
10	0.427962	4.4475	1.1e-05
11	0.412112	4.2828	2e-05
12	0.396475	4.1203	3.7e-05
13	0.379851	3.9475	7e-05
14	0.379581	3.9447	7.1e-05
15	0.374548	3.8924	8.6e-05
16	0.372576	3.8719	9.3e-05
17	0.367643	3.8207	0.000111
18	0.318807	3.3131	0.000628
19	0.296732	3.0837	0.001298
20	0.295137	3.0672	0.001366
21	0.292741	3.0423	0.001474
22	0.260471	2.7069	0.003948
23	0.230216	2.3925	0.009231
24	0.24373	2.5329	0.006374
25	0.232848	2.4198	0.008599
26	0.213475	2.2185	0.014307
27	0.198388	2.0617	0.020818
28	0.181757	1.8889	0.030796
29	0.153786	1.5982	0.056461
30	0.126895	1.3187	0.095023
31	0.136263	1.4161	0.079814
32	0.137417	1.4281	0.078077
33	0.128682	1.3373	0.091967
34	0.111726	1.1611	0.124082
35	0.07796	0.8102	0.209808
36	0.044717	0.4647	0.321537
37	-0.008431	-0.0876	0.465173
38	-0.031215	-0.3244	0.373134
39	-0.036459	-0.3789	0.352754
40	-0.064225	-0.6674	0.252957
41	-0.09764	-1.0147	0.156258
42	-0.11753	-1.2214	0.112297
43	-0.136995	-1.4237	0.078709
44	-0.14687	-1.5263	0.064927
45	-0.149988	-1.5587	0.060994
46	-0.167579	-1.7415	0.042219
47	-0.162246	-1.6861	0.047331
48	-0.149328	-1.5519	0.061811

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.879661	9.1417	0
2	-0.031605	-0.3284	0.371604
3	0.090108	0.9364	0.17557
4	0.093428	0.9709	0.166875
5	0.016333	0.1697	0.432767
6	0.067801	0.7046	0.241285
7	0.035035	0.3641	0.358249
8	0.032963	0.3426	0.366299
9	-0.104564	-1.0867	0.139802
10	0.023182	0.2409	0.405041
11	0.079017	0.8212	0.20668
12	-0.013352	-0.1388	0.444951
13	0.020287	0.2108	0.416708
14	0.08205	0.8527	0.197859
15	-0.006551	-0.0681	0.472925
16	0.046136	0.4795	0.316291
17	0.02813	0.2923	0.385294
18	-0.190566	-1.9804	0.0251
19	0.091231	0.9481	0.172596
20	0.055206	0.5737	0.283676
21	-0.01172	-0.1218	0.451641
22	-0.120986	-1.2573	0.105674
23	0.002451	0.0255	0.489861
24	0.181877	1.8901	0.030711
25	-0.141412	-1.4696	0.072289
26	0.045721	0.4751	0.317823
27	-0.003434	-0.0357	0.485801
28	-0.094094	-0.9779	0.165166
29	-0.017227	-0.179	0.429125
30	0.010005	0.104	0.458692
31	0.107608	1.1183	0.132962
32	-0.104659	-1.0876	0.139587
33	0.031071	0.3229	0.3737
34	0.001613	0.0168	0.493326
35	-0.138441	-1.4387	0.07656
36	-0.020826	-0.2164	0.414529
37	-0.142393	-1.4798	0.07092
38	0.063287	0.6577	0.256065
39	0.049922	0.5188	0.302478
40	-0.159478	-1.6573	0.050177
41	-0.092305	-0.9593	0.169785
42	0.091644	0.9524	0.171513
43	-0.002967	-0.0308	0.48773
44	-0.000478	-0.005	0.498021
45	-0.016862	-0.1752	0.43061
46	-0.059024	-0.6134	0.270452
47	0.109197	1.1348	0.129485
48	-0.058841	-0.6115	0.27108

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/19/t12822452970u554jjvlr715sy/1nv4j1282244398.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t12822452970u554jjvlr715sy/1nv4j1282244398.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t12822452970u554jjvlr715sy/2nv4j1282244398.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t12822452970u554jjvlr715sy/2nv4j1282244398.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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