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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: Wed, 22 Dec 2010 13:53:31 +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/22/t1293027215yxai6h53ncph1nq.htm/, Retrieved Wed, 22 Dec 2010 15:13:35 +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/22/t1293027215yxai6h53ncph1nq.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 «
716 677 710 839 886 891 917 820 793 932 906 844 801 957 1159 1264 1097 1240 1411 1535 1862 1894 2239 2465 2423 2692 2856 3450 4162 4260 4225 4092 4160 3896 3628 3754 3749 3907 4449 5272 6197 6446 7157 7559 7674 6929 7156 6805 7095 7222 7593 7910 7878
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'Sir Ronald Aylmer Fisher' @ 193.190.124.24


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.950476.91950
20.8922176.49540
30.8315616.05390
40.7745.63480
50.7162865.21462e-06
60.6635234.83056e-06
70.608234.4282.4e-05
80.5557814.04618.5e-05
90.491433.57770.000375
100.4282783.11790.001471
110.3668262.67050.005017
120.3090892.25020.014306
130.2491461.81380.037685
140.1988141.44740.076839
150.1570351.14320.12904
160.1200260.87380.193084
170.0818280.59570.27695
180.0442330.3220.374351
190.0085910.06250.475183
20-0.031028-0.22590.41108
21-0.073191-0.53280.298186
22-0.116724-0.84980.19964
23-0.161434-1.17530.122572
24-0.20718-1.50830.068709
25-0.253818-1.84780.035106
26-0.289749-2.10940.019825
27-0.317772-2.31340.012305
28-0.338706-2.46580.00847
29-0.350896-2.55460.006771
30-0.364275-2.6520.005266
31-0.37513-2.7310.004278
32-0.382759-2.78650.003689
33-0.388988-2.83190.003264
34-0.39341-2.86410.00299
35-0.39872-2.90270.00269
36-0.401072-2.91990.002566
37-0.402055-2.9270.002516
38-0.404889-2.94760.002376
39-0.402085-2.92720.002515
40-0.389831-2.8380.00321
41-0.368033-2.67930.004903
42-0.344654-2.50910.007598
43-0.315984-2.30040.012695
44-0.284132-2.06850.021743
45-0.249395-1.81560.037544
46-0.221338-1.61140.05652
47-0.192882-1.40420.083046
48-0.167167-1.2170.114499


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.950476.91950
2-0.115696-0.84230.201708
3-0.048392-0.35230.363006
40.0028850.0210.491661
5-0.039284-0.2860.387999
60.0177220.1290.448914
7-0.065792-0.4790.316964
8-0.001847-0.01340.49466
9-0.160531-1.16870.123881
10-0.012134-0.08830.464972
11-0.020423-0.14870.441186
12-0.019762-0.14390.443075
13-0.067767-0.49340.311901
140.046110.33570.369217
150.0456540.33240.370462
16-0.015164-0.11040.456255
17-0.034835-0.25360.400391
18-0.035045-0.25510.399805
19-0.008453-0.06150.475582
20-0.094724-0.68960.246728
21-0.050759-0.36950.356603
22-0.076501-0.55690.289959
23-0.078288-0.56990.285562
24-0.069133-0.50330.308421
25-0.063324-0.4610.323341
260.0590710.430.334453
270.0058950.04290.482966
280.0381450.27770.391162
290.06180.44990.327306
30-0.055869-0.40670.34292
310.0005970.00430.498275
320.0009160.00670.497354
33-0.026283-0.19130.424495
34-0.055743-0.40580.343257
35-0.082435-0.60010.275487
36-0.020487-0.14920.441
37-0.055391-0.40330.344192
38-0.071926-0.52360.30136
390.0392330.28560.388142
400.08410.61230.271492
410.0978510.71240.239682
420.0295310.2150.415301
430.0832350.6060.273565
440.0471130.3430.366482
450.0246830.17970.429038
46-0.074054-0.53910.296032
47-0.025594-0.18630.426449
48-0.104754-0.76260.224534
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/22/t1293027215yxai6h53ncph1nq/1jvbf1293026006.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/22/t1293027215yxai6h53ncph1nq/1jvbf1293026006.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/22/t1293027215yxai6h53ncph1nq/2jvbf1293026006.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/22/t1293027215yxai6h53ncph1nq/2jvbf1293026006.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/22/t1293027215yxai6h53ncph1nq/3ums01293026006.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/22/t1293027215yxai6h53ncph1nq/3ums01293026006.ps (open in new window)


 
Parameters (Session):
 
Parameters (R input):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 1 ; 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 (par8 != '') par8 <- as.numeric(par8)
ox <- x
if (par8 == '') {
if (par2 == 0) {
x <- log(x)
} else {
x <- (x ^ par2 - 1) / par2
}
} else {
x <- log(x,base=par8)
}
if (par3 > 0) x <- diff(x,lag=1,difference=par3)
if (par4 > 0) x <- diff(x,lag=par5,difference=par4)
bitmap(file='picts.png')
op <- par(mfrow=c(2,1))
plot(ox,type='l',main='Original Time Series',xlab='time',ylab='value')
if (par8=='') {
mytitle <- paste('Working Time Series (lambda=',par2,', d=',par3,', D=',par4,')',sep='')
mysub <- paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')
} else {
mytitle <- paste('Working Time Series (base=',par8,', d=',par3,', D=',par4,')',sep='')
mysub <- paste('(base=',par8,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')
}
plot(x,type='l', main=mytitle,xlab='time',ylab='value')
par(op)
dev.off()
bitmap(file='pic1.png')
racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=mysub)
dev.off()
bitmap(file='pic2.png')
rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF',sub=mysub)
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')
 




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