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Tijdreeks B - Stap 17

*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 20:33:38 +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/t1282249979b5010p5g7sda0tw.htm/, Retrieved Thu, 19 Aug 2010 22:33:01 +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/t1282249979b5010p5g7sda0tw.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 «

225 224 223 221 219 218 219 221 222 222 223 225 226 229 235 229 231 229 226 232 234 230 232 231 237 241 256 255 264 259 253 258 265 258 257 255 255 255 275 276 278 268 253 257 255 253 245 248 246 243 260 262 262 251 236 238 239 243 233 238 232 224 238 236 231 209 179 179 165 174 163 166 164 152 163 167 157 138 111 110 91 100 88 89

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	0.93272	8.5485	0
2	0.859998	7.882	0
3	0.78815	7.2235	0
4	0.71228	6.5282	0
5	0.653401	5.9885	0
6	0.588991	5.3982	0
7	0.543545	4.9817	2e-06
8	0.504248	4.6215	7e-06
9	0.475237	4.3556	1.9e-05
10	0.44668	4.0939	4.9e-05
11	0.405466	3.7162	0.000182
12	0.37204	3.4098	0.000501
13	0.313883	2.8768	0.002546
14	0.248317	2.2759	0.0127
15	0.186823	1.7123	0.045269
16	0.121948	1.1177	0.133446
17	0.072431	0.6638	0.254305
18	0.020667	0.1894	0.42511
19	-0.007785	-0.0714	0.471643
20	-0.028166	-0.2581	0.398461
21	-0.042659	-0.391	0.348403
22	-0.053338	-0.4889	0.313109
23	-0.075359	-0.6907	0.245837
24	-0.089743	-0.8225	0.206559
25	-0.114391	-1.0484	0.148727
26	-0.14637	-1.3415	0.091686
27	-0.17165	-1.5732	0.059716
28	-0.195278	-1.7898	0.038548
29	-0.213484	-1.9566	0.026858
30	-0.232329	-2.1293	0.018077
31	-0.236294	-2.1657	0.016586
32	-0.23921	-2.1924	0.015559
33	-0.240441	-2.2037	0.015142
34	-0.242239	-2.2202	0.014551
35	-0.255695	-2.3435	0.010734
36	-0.265174	-2.4304	0.008606
37	-0.280197	-2.568	0.005998
38	-0.299627	-2.7461	0.003688
39	-0.313358	-2.872	0.002581
40	-0.32142	-2.9459	0.002083
41	-0.321909	-2.9503	0.002056
42	-0.323327	-2.9633	0.001979
43	-0.308031	-2.8231	0.002968
44	-0.290092	-2.6587	0.004695
45	-0.271	-2.4838	0.007494
46	-0.252539	-2.3146	0.011539
47	-0.246257	-2.257	0.013302
48	-0.238749	-2.1882	0.015717

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.93272	8.5485	0
2	-0.076653	-0.7025	0.242144
3	-0.03077	-0.282	0.389312
4	-0.071901	-0.659	0.255854
5	0.090317	0.8278	0.205074
6	-0.091098	-0.8349	0.203064
7	0.117128	1.0735	0.14306
8	-0.00966	-0.0885	0.46483
9	0.075426	0.6913	0.245644
10	-0.056163	-0.5147	0.304044
11	-0.08065	-0.7392	0.230931
12	0.02416	0.2214	0.412646
13	-0.197377	-1.809	0.037015
14	-0.073292	-0.6717	0.251798
15	-0.020156	-0.1847	0.426941
16	-0.03868	-0.3545	0.361923
17	0.015934	0.146	0.442122
18	-0.060989	-0.559	0.288832
19	0.115524	1.0588	0.146365
20	-0.020673	-0.1895	0.425091
21	0.030077	0.2757	0.391742
22	-0.048101	-0.4409	0.330226
23	-0.025102	-0.2301	0.4093
24	0.006839	0.0627	0.475084
25	-0.052324	-0.4796	0.316395
26	-0.045705	-0.4189	0.33818
27	0.01957	0.1794	0.429042
28	0.016907	0.155	0.438614
29	-0.059244	-0.543	0.294292
30	-0.023563	-0.216	0.414771
31	0.047034	0.4311	0.333759
32	-0.065148	-0.5971	0.276027
33	-0.000924	-0.0085	0.496633
34	-0.071866	-0.6587	0.255956
35	-0.028529	-0.2615	0.397184
36	-0.030238	-0.2771	0.391178
37	-0.032547	-0.2983	0.383106
38	-0.035628	-0.3265	0.372416
39	0.013555	0.1242	0.450713
40	0.016238	0.1488	0.441023
41	-0.020738	-0.1901	0.424857
42	-0.019409	-0.1779	0.42962
43	0.081833	0.75	0.227672
44	-0.021998	-0.2016	0.420352
45	0.0227	0.208	0.417847
46	-0.036195	-0.3317	0.37046
47	-0.015772	-0.1446	0.442703
48	-0.027826	-0.255	0.399661

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282249979b5010p5g7sda0tw/1k5i11282250017.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282249979b5010p5g7sda0tw/1k5i11282250017.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282249979b5010p5g7sda0tw/2k5i11282250017.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282249979b5010p5g7sda0tw/2k5i11282250017.ps (open in new window)

Parameters (Session):

par1 = 0.01 ; par2 = 0.99 ; par3 = 0.01 ;

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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