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autocorrelatie

*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, 29 Dec 2010 19:53:59 +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/29/t12936523262y7s8lqme7zheia.htm/, Retrieved Wed, 29 Dec 2010 20:52:08 +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/29/t12936523262y7s8lqme7zheia.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 «
16 17 23 24 27 31 40 47 43 60 64 65 65 55 57 57 57 65 69 70 71 71 73 68 65 57 41 21 21 17 9 11 6 -2 0 5 3 7 4 8 9 14 12 12 7 15 14 19 39 12 11 17 16 25 24 28 25 31 24 24
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ www.wessa.org


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.9283796.4320
20.8611045.96590
30.7790775.39761e-06
40.6604894.5761.7e-05
50.544593.7730.000222
60.4173112.89120.002875
70.2787971.93160.029665
80.1445731.00160.160772
90.0025520.01770.492984
10-0.125347-0.86840.194741
11-0.238216-1.65040.052694
12-0.341925-2.36890.010956
13-0.417177-2.89030.002882
14-0.490473-3.39810.000686
15-0.541055-3.74850.000239
16-0.556908-3.85840.00017
17-0.568484-3.93860.000132
18-0.571091-3.95660.000125
19-0.540285-3.74320.000243
20-0.503976-3.49160.00052
21-0.461492-3.19730.001228
22-0.389761-2.70030.00477
23-0.314956-2.18210.017015
24-0.251826-1.74470.043718
25-0.174929-1.21190.115733
26-0.105948-0.7340.233251
27-0.044032-0.30510.38082
280.0021180.01470.494175
290.0350670.24290.40454
300.0671520.46520.32193
310.0889670.61640.270277
320.1041430.72150.237043
330.1247040.8640.19595
340.1223360.84760.200442
350.1221920.84660.200718
360.1246550.86360.196042
370.0966180.66940.253226
380.0981650.68010.249852
390.0963680.66770.253775
400.0892890.61860.269548
410.0851770.59010.278938
420.076450.52970.299395
430.066870.46330.322625
440.0537970.37270.355501
450.0372310.25790.398775
460.0208720.14460.442815
470.0088380.06120.475715
48NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.9283796.4320
2-0.005671-0.03930.484412
3-0.142075-0.98430.164946
4-0.322968-2.23760.014962
5-0.077211-0.53490.297582
6-0.120528-0.8350.203915
7-0.132176-0.91570.18219
8-0.09252-0.6410.262287
9-0.153851-1.06590.145898
10-0.020509-0.14210.4438
11-0.008536-0.05910.476543
12-0.033785-0.23410.407962
130.0436710.30260.381764
14-0.135746-0.94050.175842
15-0.01003-0.06950.472444
160.0906460.6280.266486
17-0.045054-0.31210.378141
18-0.153402-1.06280.146595
190.0533240.36940.356713
200.0052750.03650.485499
21-0.074488-0.51610.304089
220.1048180.72620.235622
230.0237110.16430.435102
24-0.176161-1.22050.114122
250.0189950.13160.447926
26-0.022448-0.15550.438531
27-0.049538-0.34320.36647
28-0.181873-1.26010.106871
29-0.125515-0.86960.194424
300.0107020.07410.4706
310.0479180.3320.370672
32-0.023655-0.16390.435255
330.0503880.34910.364272
34-0.069043-0.47830.317288
35-0.022154-0.15350.439328
360.0302590.20960.417419
37-0.126811-0.87860.192005
380.1027960.71220.239897
39-0.045699-0.31660.376455
400.0573630.39740.34641
41-0.054753-0.37930.353055
42-0.068806-0.47670.31787
43-0.04314-0.29890.383159
44-0.080952-0.56090.288753
45-0.040896-0.28330.389069
46-0.121649-0.84280.201758
470.0379670.2630.396822
48NANANA
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/29/t12936523262y7s8lqme7zheia/1c7tf1293652438.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/29/t12936523262y7s8lqme7zheia/1c7tf1293652438.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/29/t12936523262y7s8lqme7zheia/292zo1293652438.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/29/t12936523262y7s8lqme7zheia/292zo1293652438.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/29/t12936523262y7s8lqme7zheia/392zo1293652438.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/29/t12936523262y7s8lqme7zheia/392zo1293652438.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 48 ; par2 = 1 ; par3 = 0 ; 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')
 




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