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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 22:30:39 +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/20/t12822570110tk76linyfvzx2u.htm/, Retrieved Fri, 20 Aug 2010 00:30:12 +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/20/t12822570110tk76linyfvzx2u.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	2 seconds
R Server	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.963256	10.5519	0
2	0.924105	10.1231	0
3	0.892399	9.7757	0
4	0.864477	9.4699	0
5	0.83275	9.1223	0
6	0.80387	8.806	0
7	0.782555	8.5725	0
8	0.760911	8.3354	0
9	0.730066	7.9975	0
10	0.698902	7.6561	0
11	0.680398	7.4534	0
12	0.66279	7.2605	0
13	0.630904	6.9112	0
14	0.59669	6.5364	0
15	0.569633	6.24	0
16	0.545086	5.9711	0
17	0.514431	5.6353	0
18	0.486711	5.3317	0
19	0.465507	5.0994	1e-06
20	0.443251	4.8556	2e-06
21	0.41315	4.5258	7e-06
22	0.382283	4.1877	2.7e-05
23	0.365615	4.0051	5.4e-05
24	0.350731	3.8421	9.8e-05
25	0.324055	3.5498	0.000276
26	0.297385	3.2577	0.00073
27	0.276705	3.0311	0.001493
28	0.256987	2.8152	0.00285
29	0.229535	2.5144	0.006623
30	0.204652	2.2418	0.013404
31	0.185207	2.0288	0.022344
32	0.16378	1.7941	0.037656
33	0.135246	1.4815	0.070541
34	0.105419	1.1548	0.125233
35	0.089073	0.9757	0.165577
36	0.072295	0.7919	0.214977
37	0.046918	0.514	0.30411
38	0.022113	0.2422	0.404507
39	0.003676	0.0403	0.483973
40	-0.01323	-0.1449	0.442504
41	-0.037111	-0.4065	0.342538
42	-0.058374	-0.6395	0.261873
43	-0.074343	-0.8144	0.208519
44	-0.090426	-0.9906	0.161945
45	-0.114529	-1.2546	0.106031
46	-0.137351	-1.5046	0.067527
47	-0.148313	-1.6247	0.053427
48	-0.160786	-1.7613	0.040365

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.963256	10.5519	0
2	-0.052078	-0.5705	0.284707
3	0.084189	0.9222	0.179126
4	0.028875	0.3163	0.37616
5	-0.061651	-0.6754	0.250374
6	0.03591	0.3934	0.347369
7	0.079878	0.875	0.191657
8	-0.020679	-0.2265	0.410587
9	-0.11683	-1.2798	0.10154
10	-0.008477	-0.0929	0.463086
11	0.135561	1.485	0.070084
12	-0.013937	-0.1527	0.439455
13	-0.176754	-1.9362	0.027595
14	-0.033054	-0.3621	0.35896
15	0.034615	0.3792	0.352607
16	0.007899	0.0865	0.465595
17	-0.054865	-0.601	0.274483
18	0.024363	0.2669	0.395008
19	0.004828	0.0529	0.478953
20	-0.037512	-0.4109	0.340929
21	-0.045202	-0.4952	0.310694
22	-0.015289	-0.1675	0.433636
23	0.109519	1.1997	0.116306
24	-0.012005	-0.1315	0.447798
25	-0.11191	-1.2259	0.111315
26	0.010709	0.1173	0.453405
27	0.003623	0.0397	0.484203
28	-0.00436	-0.0478	0.480993
29	-0.060051	-0.6578	0.255957
30	0.010782	0.1181	0.453087
31	-0.027905	-0.3057	0.380187
32	-0.055633	-0.6094	0.271697
33	-0.016292	-0.1785	0.429327
34	-0.03168	-0.347	0.364586
35	0.071005	0.7778	0.219102
36	-0.05112	-0.56	0.288265
37	-0.059897	-0.6561	0.256495
38	0.007644	0.0837	0.466702
39	-0.005954	-0.0652	0.474055
40	0.014802	0.1621	0.435733
41	-0.045131	-0.4944	0.310968
42	0.001262	0.0138	0.494497
43	-0.02701	-0.2959	0.383915
44	-0.020914	-0.2291	0.409592
45	-0.023648	-0.2591	0.398019
46	0.002809	0.0308	0.487751
47	0.041625	0.456	0.324615
48	-0.057656	-0.6316	0.264428

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/20/t12822570110tk76linyfvzx2u/1i1e51282257035.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/20/t12822570110tk76linyfvzx2u/1i1e51282257035.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/20/t12822570110tk76linyfvzx2u/2i1e51282257035.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/20/t12822570110tk76linyfvzx2u/2i1e51282257035.ps (open in new window)

Parameters (Session):

par1 = multiplicative ; par2 = 12 ;

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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