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Tijdreeks2-Stap17

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 02 Jul 2010 12:36:23 +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/02/t12780742474vjy5boo2z2k0n7.htm/, Retrieved Fri, 02 Jul 2010 14:37:29 +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/02/t12780742474vjy5boo2z2k0n7.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 «

59 58 57 55 53 52 53 55 56 56 57 59 68 68 68 70 66 64 72 80 84 82 83 86 99 100 95 98 103 107 114 123 132 137 141 146 156 156 143 143 151 149 156 166 177 180 189 195 205 209 199 191 198 200 208 224 234 243 249 258 274 270 261 258 261 258 264 270 267 287 297 306 322 323 309 303 306 301 316 327 330 342 359 379

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	0.960867	8.8065	0
2	0.9235	8.464	0
3	0.889027	8.1481	0
4	0.855595	7.8417	0
5	0.821778	7.5317	0
6	0.790469	7.2448	0
7	0.762778	6.991	0
8	0.73391	6.7264	0
9	0.705982	6.4704	0
10	0.675111	6.1875	0
11	0.639114	5.8576	0
12	0.600919	5.5075	0
13	0.563818	5.1675	1e-06
14	0.526146	4.8222	3e-06
15	0.489615	4.4874	1.1e-05
16	0.457462	4.1927	3.4e-05
17	0.422712	3.8742	0.000106
18	0.388536	3.561	0.000306
19	0.35681	3.2702	0.00078
20	0.325702	2.9851	0.001856
21	0.295769	2.7108	0.004069
22	0.264076	2.4203	0.008832
23	0.229085	2.0996	0.019382
24	0.190843	1.7491	0.041963
25	0.155471	1.4249	0.078944
26	0.120381	1.1033	0.136521
27	0.084661	0.7759	0.219984
28	0.050308	0.4611	0.322966
29	0.018265	0.1674	0.43373
30	-0.009809	-0.0899	0.464289
31	-0.035433	-0.3247	0.373089
32	-0.058958	-0.5404	0.29519
33	-0.079184	-0.7257	0.235009
34	-0.101293	-0.9284	0.177939
35	-0.126361	-1.1581	0.125049
36	-0.151248	-1.3862	0.084675
37	-0.174288	-1.5974	0.056969
38	-0.197286	-1.8082	0.03708
39	-0.220657	-2.0224	0.023161
40	-0.244291	-2.239	0.013901
41	-0.264616	-2.4252	0.00872
42	-0.28311	-2.5947	0.005584
43	-0.299317	-2.7433	0.003717
44	-0.314603	-2.8834	0.002498
45	-0.325834	-2.9863	0.00185
46	-0.336985	-3.0885	0.001363
47	-0.350975	-3.2167	0.000921
48	-0.365172	-3.3469	0.000612

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.960867	8.8065	0
2	0.003057	0.028	0.488859
3	0.018792	0.1722	0.431836
4	-0.00305	-0.028	0.488883
5	-0.021088	-0.1933	0.423606
6	0.015028	0.1377	0.44539
7	0.030956	0.2837	0.388664
8	-0.026971	-0.2472	0.402681
9	-0.000734	-0.0067	0.497323
10	-0.054177	-0.4965	0.310405
11	-0.085867	-0.787	0.216752
12	-0.053097	-0.4866	0.313889
13	-0.01553	-0.1423	0.443578
14	-0.034927	-0.3201	0.374838
15	-0.010566	-0.0968	0.461541
16	0.025914	0.2375	0.406422
17	-0.060445	-0.554	0.29053
18	-0.015969	-0.1464	0.441994
19	0.007789	0.0714	0.471631
20	-0.01122	-0.1028	0.459172
21	0.007189	0.0659	0.473813
22	-0.038077	-0.349	0.36399
23	-0.07205	-0.6603	0.255419
24	-0.070553	-0.6466	0.259818
25	-0.002097	-0.0192	0.492356
26	-0.033034	-0.3028	0.381411
27	-0.035221	-0.3228	0.373822
28	-0.018116	-0.166	0.434263
29	-0.015051	-0.1379	0.445309
30	0.019272	0.1766	0.430112
31	0.012506	0.1146	0.454509
32	0.00545	0.05	0.480139
33	0.038217	0.3503	0.363508
34	-0.03235	-0.2965	0.383793
35	-0.06153	-0.5639	0.287152
36	-0.023181	-0.2125	0.416133
37	-0.007328	-0.0672	0.473306
38	-0.030331	-0.278	0.390851
39	-0.036587	-0.3353	0.369106
40	-0.045898	-0.4207	0.337538
41	-0.008237	-0.0755	0.47
42	-0.016271	-0.1491	0.440906
43	0.000564	0.0052	0.497944
44	-0.007563	-0.0693	0.472453
45	0.046166	0.4231	0.336646
46	-0.013658	-0.1252	0.450341
47	-0.056973	-0.5222	0.301465
48	-0.024964	-0.2288	0.409792

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jul/02/t12780742474vjy5boo2z2k0n7/17el91278074181.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/02/t12780742474vjy5boo2z2k0n7/17el91278074181.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/02/t12780742474vjy5boo2z2k0n7/27el91278074181.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/02/t12780742474vjy5boo2z2k0n7/27el91278074181.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

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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