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Paper_Autocorrelatie2

*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: Sun, 26 Dec 2010 16:10:37 +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/26/t12933799742lk4qc9karlh42v.htm/, Retrieved Sun, 26 Dec 2010 17:12:57 +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/26/t12933799742lk4qc9karlh42v.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 «

112.52 112.39 112.24 112.10 109.85 111.89 111.88 111.48 110.98 110.42 107.90 109.46 109.11 109.26 109.99 110.17 110.28 109.13 110.15 109.39 108.45 108.23 107.44 104.86 106.23 105.85 104.95 104.46 104.66 103.05 104.16 104.08 104.20 103.68 103.69 101.29 103.03 102.90 102.68 102.98 103.47 101.72 102.82 102.74 102.38 101.81 101.88 99.60 100.93 100.85 100.93 101.10 101.10 99.31 100.33 99.99 99.82 99.65 99.06 96.92 98.20 98.54 98.71 98.20 98.29 96.67 97.69 97.78 97.44 96.92 96.84 95.05 96.33 96.33 96.16 96.50 96.33 94.71 95.82 95.47 95.82 95.99 95.73 93.77 94.71 94.62 94.79 94.88 94.79 93.43 94.37 94.62 94.45 94.37 94.20 92.66 93.51 93.60 93.60 93.77 93.60 92.41 93.60 93.34 92.92 92.07 91.89 90.27 91.72 91.98 91.81 91.98 91.30 89.93 90.87 90.53 90.27 90.10 89.68 87.89

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	3 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.384045	-3.9726	6.5e-05
2	0.076218	0.7884	0.216103
3	0.106735	1.1041	0.136019
4	-0.001838	-0.019	0.492434
5	-0.220832	-2.2843	0.012164
6	0.360745	3.7316	0.000153
7	-0.257047	-2.6589	0.004521
8	0.062691	0.6485	0.25903
9	-0.073744	-0.7628	0.223626
10	0.053727	0.5558	0.28977
11	-0.089374	-0.9245	0.178655
12	-0.100463	-1.0392	0.150527
13	-0.087924	-0.9095	0.182566
14	-0.01154	-0.1194	0.452603
15	-0.057664	-0.5965	0.276058
16	0.053035	0.5486	0.292213
17	-0.080836	-0.8362	0.20246
18	0.067386	0.697	0.243642
19	0.004123	0.0426	0.483031
20	0.003204	0.0331	0.486813
21	0.03959	0.4095	0.341489
22	-0.001997	-0.0207	0.49178
23	-0.021866	-0.2262	0.410746
24	0.002317	0.024	0.49046
25	0.064267	0.6648	0.253811
26	-0.000827	-0.0086	0.496594
27	0.008046	0.0832	0.466915
28	-0.010336	-0.1069	0.457526
29	0.043613	0.4511	0.326402
30	-0.032415	-0.3353	0.369026
31	0.014138	0.1462	0.442003
32	0.015812	0.1636	0.435195
33	-0.025598	-0.2648	0.39584
34	-0.04484	-0.4638	0.321857
35	0.080173	0.8293	0.204385
36	-0.020768	-0.2148	0.415155
37	0.011615	0.1202	0.452294
38	-0.023368	-0.2417	0.40473
39	-0.03183	-0.3293	0.371304
40	0.030524	0.3157	0.376406
41	0.037042	0.3832	0.35118
42	-0.039937	-0.4131	0.340175
43	0.048264	0.4992	0.309316
44	-0.0771	-0.7975	0.213456
45	-0.009099	-0.0941	0.462595
46	0.088009	0.9104	0.182336
47	-0.045322	-0.4688	0.320077
48	-0.026079	-0.2698	0.39393

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.384045	-3.9726	6.5e-05
2	-0.083604	-0.8648	0.194541
3	0.125622	1.2994	0.098292
4	0.110528	1.1433	0.12773
5	-0.229854	-2.3776	0.0096
6	0.214066	2.2143	0.014464
7	-0.051752	-0.5353	0.296767
8	-0.019019	-0.1967	0.422205
9	-0.158162	-1.636	0.052385
10	-0.011761	-0.1217	0.451698
11	0.044852	0.464	0.321813
12	-0.299918	-3.1024	0.001228
13	-0.206704	-2.1382	0.01739
14	-0.167862	-1.7364	0.042688
15	0.010443	0.108	0.457091
16	-0.012959	-0.134	0.446808
17	-0.173272	-1.7923	0.037952
18	0.093899	0.9713	0.166796
19	0.070457	0.7288	0.233853
20	0.022951	0.2374	0.406396
21	-0.062509	-0.6466	0.259638
22	-0.067951	-0.7029	0.241825
23	0.04295	0.4443	0.328868
24	-0.2252	-2.3295	0.010855
25	-0.09845	-1.0184	0.155398
26	-0.063094	-0.6526	0.257692
27	-0.011184	-0.1157	0.454059
28	-0.076331	-0.7896	0.215761
29	-0.100177	-1.0362	0.151215
30	0.121895	1.2609	0.105045
31	0.013572	0.1404	0.44431
32	0.032846	0.3398	0.367352
33	-0.037088	-0.3836	0.351002
34	-0.056723	-0.5867	0.279306
35	0.060603	0.6269	0.266036
36	-0.11276	-1.1664	0.123022
37	0.002939	0.0304	0.487903
38	-0.096812	-1.0014	0.159438
39	-0.118326	-1.224	0.111826
40	0.029032	0.3003	0.382263
41	0.01463	0.1513	0.439999
42	0.117641	1.2169	0.113163
43	0.001104	0.0114	0.495457
44	-0.023853	-0.2467	0.40279
45	-0.007643	-0.0791	0.468567
46	0.03906	0.404	0.343494
47	0.027521	0.2847	0.38822
48	-0.112425	-1.1629	0.123722

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/26/t12933799742lk4qc9karlh42v/1sswb1293379832.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/26/t12933799742lk4qc9karlh42v/1sswb1293379832.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/26/t12933799742lk4qc9karlh42v/231ee1293379832.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/26/t12933799742lk4qc9karlh42v/231ee1293379832.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/26/t12933799742lk4qc9karlh42v/331ee1293379832.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/26/t12933799742lk4qc9karlh42v/331ee1293379832.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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 (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')

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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