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Tijdreeks1-Stap20

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 01 Jul 2010 15:28:19 +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/Jul/01/t1277998115mbcsx22s4tbcers.htm/, Retrieved Thu, 01 Jul 2010 17:28:35 +0200

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/Jul/01/t1277998115mbcsx22s4tbcers.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:

Steffi Poppe

Dataseries X:

» Textbox « » Textfile « » CSV «

300 299 298 296 316 315 300 290 291 291 292 294 302 296 282 282 298 300 289 275 270 269 268 260 271 269 260 262 285 286 272 248 240 234 231 222 233 236 226 232 248 253 233 216 209 202 204 193 201 201 188 198 220 225 215 198 195 183 180 170 175 180 161 174 195 198 188 173 162 149 140 129 132 133 116 128 148 154 152 141 136 119 114 100 108 115 101 116 131 133 135 124 131 113 118 99 107 112 106 121 138 134 132 121 132 113 112 91 96 99 99 110 127 122 124 114 129 113 115 94

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.969256	10.6177	0
2	0.939666	10.2935	0
3	0.91107	9.9803	0
4	0.888957	9.738	0
5	0.858878	9.4085	0
6	0.833675	9.1324	0
7	0.817662	8.957	0
8	0.807463	8.8453	0
9	0.793156	8.6886	0
10	0.780642	8.5515	0
11	0.770401	8.4393	0
12	0.757119	8.2938	0
13	0.720368	7.8912	0
14	0.684853	7.5022	0
15	0.653281	7.1563	0
16	0.626223	6.8599	0
17	0.592519	6.4907	0
18	0.562304	6.1597	0
19	0.540971	5.926	0
20	0.525991	5.7619	0
21	0.508922	5.575	0
22	0.493031	5.4009	0
23	0.481494	5.2745	0
24	0.468572	5.133	1e-06
25	0.434638	4.7612	3e-06
26	0.400913	4.3918	1.2e-05
27	0.36883	4.0403	4.7e-05
28	0.33909	3.7145	0.000155
29	0.301824	3.3063	0.000624
30	0.268008	2.9359	0.001994
31	0.242953	2.6614	0.004423
32	0.224492	2.4592	0.007676
33	0.205612	2.2524	0.013059
34	0.188075	2.0603	0.020768
35	0.177048	1.9395	0.027396
36	0.164081	1.7974	0.037392
37	0.133882	1.4666	0.07255
38	0.102201	1.1196	0.132569
39	0.074155	0.8123	0.209106
40	0.045923	0.5031	0.30792
41	0.013224	0.1449	0.44253
42	-0.017423	-0.1909	0.424479
43	-0.038794	-0.425	0.33581
44	-0.055701	-0.6102	0.271452
45	-0.07414	-0.8122	0.209152
46	-0.090209	-0.9882	0.162524
47	-0.100305	-1.0988	0.137031
48	-0.110309	-1.2084	0.11464

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.969256	10.6177	0
2	0.003453	0.0378	0.484946
3	0.001524	0.0167	0.493354
4	0.092697	1.0154	0.155967
5	-0.140377	-1.5378	0.063371
6	0.066853	0.7323	0.232694
7	0.150521	1.6489	0.050894
8	0.067417	0.7385	0.230821
9	-0.037766	-0.4137	0.339913
10	0.038012	0.4164	0.338931
11	0.018253	0.1999	0.420929
12	-0.06626	-0.7258	0.234675
13	-0.363781	-3.985	5.8e-05
14	0.002545	0.0279	0.488901
15	0.034933	0.3827	0.351321
16	0.002142	0.0235	0.49066
17	-0.040127	-0.4396	0.330522
18	-0.009833	-0.1077	0.457202
19	0.039032	0.4276	0.334864
20	0.039199	0.4294	0.334202
21	0.016439	0.1801	0.428695
22	0.018321	0.2007	0.420637
23	0.043831	0.4801	0.315999
24	0.006743	0.0739	0.470622
25	-0.23425	-2.5661	0.005758
26	-0.021839	-0.2392	0.405667
27	-0.03395	-0.3719	0.355309
28	-0.052335	-0.5733	0.283758
29	-0.042542	-0.466	0.321021
30	-0.011989	-0.1313	0.447868
31	0.008918	0.0977	0.46117
32	0.006142	0.0673	0.473236
33	0.023958	0.2624	0.396713
34	0.008974	0.0983	0.460926
35	0.054738	0.5996	0.274944
36	-0.002964	-0.0325	0.487077
37	-0.125313	-1.3727	0.086198
38	-0.034446	-0.3773	0.353296
39	0.015456	0.1693	0.432917
40	-0.070686	-0.7743	0.220132
41	0.019034	0.2085	0.417591
42	-0.019353	-0.212	0.416233
43	-0.005318	-0.0583	0.476821
44	-0.035179	-0.3854	0.350324
45	-0.045457	-0.498	0.309713
46	0.023841	0.2612	0.397204
47	0.002036	0.0223	0.491122
48	0.032252	0.3533	0.36224

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jul/01/t1277998115mbcsx22s4tbcers/1zogh1277998095.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/01/t1277998115mbcsx22s4tbcers/1zogh1277998095.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/01/t1277998115mbcsx22s4tbcers/2zogh1277998095.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/01/t1277998115mbcsx22s4tbcers/2zogh1277998095.ps (open in new window)

Parameters (Session):

par1 = grey ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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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