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Verbetering student

*The author of this computation has been verified*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 10 Dec 2010 18:54:39 +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/Dec/10/t1292007152fm4h8yxj04qvnxk.htm/, Retrieved Fri, 10 Dec 2010 19:52:33 +0100

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/Dec/10/t1292007152fm4h8yxj04qvnxk.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:

Dataseries X:

» Textbox « » Textfile « » CSV «

376.974 377.632 378.205 370.861 369.167 371.551 382.842 381.903 384.502 392.058 384.359 388.884 386.586 387.495 385.705 378.67 377.367 376.911 389.827 387.82 387.267 380.575 372.402 376.74 377.795 376.126 370.804 367.98 367.866 366.121 379.421 378.519 372.423 355.072 344.693 342.892 344.178 337.606 327.103 323.953 316.532 306.307 327.225 329.573 313.761 307.836 300.074 304.198 306.122 300.414 292.133 290.616 280.244 285.179 305.486 305.957 293.886 289.441 288.776 299.149 306.532 309.914 313.468 314.901 309.16 316.15 336.544 339.196 326.738 320.838 318.62 331.533 335.378

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	0.191177	1.6222	0.054567
2	-0.270518	-2.2954	0.012312
3	-0.229046	-1.9435	0.027931
4	-0.091405	-0.7756	0.220264
5	0.248245	2.1064	0.019326
6	0.32263	2.7376	0.003896
7	0.187219	1.5886	0.058266
8	-0.12869	-1.092	0.139243
9	-0.240091	-2.0372	0.022651
10	-0.251644	-2.1353	0.018071
11	0.216986	1.8412	0.034857
12	0.661234	5.6108	0
13	0.037445	0.3177	0.375804
14	-0.277019	-2.3506	0.010743
15	-0.274547	-2.3296	0.011318
16	-0.149717	-1.2704	0.104018
17	0.150552	1.2775	0.10277
18	0.23642	2.0061	0.024302
19	0.119859	1.017	0.156271
20	-0.216157	-1.8342	0.035381
21	-0.280022	-2.3761	0.010081
22	-0.17915	-1.5201	0.066428
23	0.148448	1.2596	0.105937
24	0.3671	3.115	0.001321
25	-0.057972	-0.4919	0.31214
26	-0.286203	-2.4285	0.00883
27	-0.276869	-2.3493	0.010777
28	-0.153118	-1.2993	0.099001
29	0.095564	0.8109	0.210051
30	0.129453	1.0984	0.137835
31	0.054066	0.4588	0.323893
32	-0.23493	-1.9934	0.025001
33	-0.194458	-1.65	0.051647
34	-0.043707	-0.3709	0.355913
35	0.074556	0.6326	0.264491
36	0.231692	1.966	0.026579
37	0.010971	0.0931	0.463045
38	-0.19691	-1.6708	0.049548
39	-0.181001	-1.5358	0.06448
40	-0.071615	-0.6077	0.272659
41	0.092712	0.7867	0.217024
42	0.104877	0.8899	0.18824
43	0.024023	0.2038	0.419525
44	-0.118849	-1.0085	0.158303
45	-0.055413	-0.4702	0.319817
46	-0.006329	-0.0537	0.47866
47	0.038991	0.3308	0.370861
48	0.144451	1.2257	0.112152

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.191177	1.6222	0.054567
2	-0.318715	-2.7044	0.004267
3	-0.115431	-0.9795	0.165315
4	-0.115174	-0.9773	0.16585
5	0.225742	1.9155	0.029701
6	0.18463	1.5666	0.060792
7	0.237993	2.0194	0.023582
8	-0.021588	-0.1832	0.427586
9	-0.02629	-0.2231	0.412053
10	-0.306992	-2.6049	0.005579
11	0.196321	1.6658	0.050046
12	0.472037	4.0054	7.4e-05
13	-0.176946	-1.5014	0.068808
14	-0.012538	-0.1064	0.457785
15	-0.109129	-0.926	0.178773
16	-0.154769	-1.3133	0.096633
17	-0.155944	-1.3232	0.094973
18	-0.057508	-0.488	0.313527
19	0.023159	0.1965	0.422381
20	-0.117431	-0.9964	0.161187
21	0.03451	0.2928	0.385248
22	0.090774	0.7702	0.221838
23	-0.133274	-1.1309	0.130932
24	-0.106121	-0.9005	0.185437
25	-0.040153	-0.3407	0.367156
26	-0.117404	-0.9962	0.161243
27	-0.054986	-0.4666	0.321108
28	-0.02634	-0.2235	0.411888
29	0.005132	0.0435	0.482692
30	-0.176714	-1.4995	0.069063
31	0.00778	0.066	0.473773
32	-0.031788	-0.2697	0.394069
33	0.080495	0.683	0.248392
34	0.088608	0.7519	0.227292
35	-0.039208	-0.3327	0.370167
36	0.051532	0.4373	0.331615
37	0.12959	1.0996	0.137584
38	-0.026525	-0.2251	0.411281
39	0.040387	0.3427	0.366412
40	-0.049251	-0.4179	0.33863
41	-0.046914	-0.3981	0.345875
42	-0.105105	-0.8918	0.187723
43	-0.090726	-0.7698	0.221957
44	0.119278	1.0121	0.157438
45	-0.058011	-0.4922	0.312025
46	-0.084089	-0.7135	0.238915
47	0.073061	0.6199	0.268627
48	-0.131756	-1.118	0.133645

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/10/t1292007152fm4h8yxj04qvnxk/1vyo31292007275.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/10/t1292007152fm4h8yxj04qvnxk/1vyo31292007275.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/10/t1292007152fm4h8yxj04qvnxk/2vyo31292007275.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/10/t1292007152fm4h8yxj04qvnxk/2vyo31292007275.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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