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Autocorrelatie functie en partial autocorrelatie functie

*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: Tue, 21 Dec 2010 20:43:18 +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/21/t1292964073bybe91bc83x9i8u.htm/, Retrieved Tue, 21 Dec 2010 21:41:15 +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/21/t1292964073bybe91bc83x9i8u.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 «

0.6923 0.6886 0.6855 0.6745 0.6769 0.6758 0.6896 0.6843 0.6818 0.6774 0.6821 0.6885 0.6829 0.6796 0.6976 0.6924 0.6849 0.6921 0.6839 0.6727 0.6776 0.6692 0.6738 0.6740 0.6635 0.6737 0.6788 0.6828 0.6795 0.6740 0.6744 0.6764 0.6987 0.6967 0.7116 0.7357 0.7455 0.7639 0.7958 0.7864 0.7853 0.7903 0.7866 0.8039 0.7916 0.7903 0.8242 0.9567 0.8850 0.8865 0.9258 0.8948 0.8762 0.8527 0.8536 0.8805 0.9155 0.8961 0.9127 0.8857

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	-0.176588	-1.3564	0.09007
2	-0.163802	-1.2582	0.10664
3	0.132271	1.016	0.156891
4	-0.023501	-0.1805	0.428683
5	-0.094231	-0.7238	0.236024
6	-0.021141	-0.1624	0.435779
7	-0.124737	-0.9581	0.170956
8	0.042362	0.3254	0.37302
9	0.314243	2.4137	0.009456
10	-0.108841	-0.836	0.203258
11	0.094964	0.7294	0.234311
12	0.019247	0.1478	0.441488
13	-0.030211	-0.2321	0.408648
14	-0.080087	-0.6152	0.270407
15	0.093192	0.7158	0.238463
16	-0.104855	-0.8054	0.211909
17	-0.049193	-0.3779	0.353445
18	0.021291	0.1635	0.435325
19	-0.066048	-0.5073	0.30691
20	0.041126	0.3159	0.376599
21	0.023575	0.1811	0.428463
22	-0.025435	-0.1954	0.422887
23	-0.050118	-0.385	0.350825
24	0.046047	0.3537	0.362415
25	-0.030835	-0.2369	0.406796
26	-0.052096	-0.4002	0.345242
27	-0.007182	-0.0552	0.478096
28	-0.0631	-0.4847	0.314849
29	-0.005398	-0.0415	0.483534
30	0.043092	0.331	0.370911
31	-0.075004	-0.5761	0.283364
32	0.001914	0.0147	0.49416
33	0.085749	0.6587	0.25634
34	-0.091598	-0.7036	0.242232
35	-0.018958	-0.1456	0.442359
36	0.057642	0.4428	0.329782
37	-0.035259	-0.2708	0.393733
38	-0.031589	-0.2426	0.404562
39	-0.006728	-0.0517	0.479481
40	-0.015477	-0.1189	0.452886
41	0.075957	0.5834	0.28091
42	-0.031456	-0.2416	0.404958
43	-0.01809	-0.139	0.444979
44	-0.015463	-0.1188	0.452929
45	-0.009264	-0.0712	0.471755
46	-0.011264	-0.0865	0.465674
47	-0.006231	-0.0479	0.480995
48	0.002758	0.0212	0.491586

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.176588	-1.3564	0.09007
2	-0.201262	-1.5459	0.063736
3	0.066679	0.5122	0.305222
4	-0.01739	-0.1336	0.447097
5	-0.07178	-0.5514	0.291738
6	-0.07458	-0.5729	0.284459
7	-0.182329	-1.4005	0.083301
8	-0.022863	-0.1756	0.430599
9	0.308915	2.3728	0.010465
10	0.049789	0.3824	0.351755
11	0.189692	1.457	0.075202
12	-0.034213	-0.2628	0.396811
13	0.005134	0.0394	0.484337
14	-0.085982	-0.6604	0.25577
15	0.144358	1.1088	0.136001
16	0.016362	0.1257	0.450205
17	-0.040947	-0.3145	0.377117
18	-0.160491	-1.2328	0.111279
19	-0.159784	-1.2273	0.112288
20	-0.113563	-0.8723	0.193293
21	0.028542	0.2192	0.41361
22	0.00957	0.0735	0.470825
23	-0.045259	-0.3476	0.364672
24	-0.134331	-1.0318	0.153185
25	-0.044006	-0.338	0.368275
26	-0.066146	-0.5081	0.306646
27	0.093784	0.7204	0.237071
28	0.00737	0.0566	0.477525
29	0.01009	0.0775	0.469243
30	-0.041971	-0.3224	0.374149
31	-0.093343	-0.717	0.238108
32	0.006102	0.0469	0.481389
33	0.121445	0.9328	0.177352
34	-0.009045	-0.0695	0.472424
35	-0.032489	-0.2496	0.4019
36	-0.079278	-0.6089	0.272448
37	-0.012859	-0.0988	0.460827
38	-0.013656	-0.1049	0.458407
39	0.023003	0.1767	0.430178
40	-0.004561	-0.035	0.486087
41	0.035258	0.2708	0.393737
42	-0.105413	-0.8097	0.210686
43	0.025204	0.1936	0.42358
44	-0.081879	-0.6289	0.265913
45	-0.037497	-0.288	0.38717
46	-0.052137	-0.4005	0.345127
47	-0.015704	-0.1206	0.452199
48	-0.033924	-0.2606	0.397664

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964073bybe91bc83x9i8u/1i7361292964196.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964073bybe91bc83x9i8u/1i7361292964196.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964073bybe91bc83x9i8u/2i7361292964196.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292964073bybe91bc83x9i8u/2i7361292964196.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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