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Tijdreeks2-Stap18

*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 12:40:34 +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/t1278074532ayjb9fd8a81ju9g.htm/, Retrieved Fri, 02 Jul 2010 14:42:13 +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/t1278074532ayjb9fd8a81ju9g.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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.354753	3.232	0.000882
2	-0.002624	-0.0239	0.490492
3	0.076096	0.6933	0.245038
4	-0.109679	-0.9992	0.160295
5	-0.224462	-2.0449	0.022014
6	-0.164161	-1.4956	0.069278
7	-0.237331	-2.1622	0.016741
8	-0.266118	-2.4244	0.008751
9	-0.016508	-0.1504	0.44041
10	0.00943	0.0859	0.465873
11	0.23727	2.1616	0.016763
12	0.590245	5.3774	0
13	0.298452	2.719	0.003986
14	0.026573	0.2421	0.404655
15	-0.01184	-0.1079	0.45718
16	-0.025019	-0.2279	0.410128
17	-0.118889	-1.0831	0.140943
18	-0.178957	-1.6304	0.053406
19	-0.283585	-2.5836	0.005765
20	-0.198772	-1.8109	0.036887
21	-0.122254	-1.1138	0.134293
22	-0.05635	-0.5134	0.304528
23	0.242204	2.2066	0.015053
24	0.396793	3.615	0.000257
25	0.195981	1.7855	0.038919
26	0.042124	0.3838	0.351068
27	0.050951	0.4642	0.321865
28	-0.010649	-0.097	0.461473
29	-0.038018	-0.3464	0.364975
30	-0.054983	-0.5009	0.308878
31	-0.227404	-2.0717	0.020697
32	-0.192039	-1.7496	0.041945
33	-0.081929	-0.7464	0.228765
34	-0.0151	-0.1376	0.445459
35	0.126994	1.157	0.125301
36	0.272183	2.4797	0.007586
37	0.128119	1.1672	0.123231
38	-0.02481	-0.226	0.410868
39	0.025736	0.2345	0.4076
40	-0.007332	-0.0668	0.473452
41	-0.060451	-0.5507	0.291648
42	-0.029253	-0.2665	0.395255
43	-0.133491	-1.2162	0.113686
44	-0.183515	-1.6719	0.049155
45	-0.059657	-0.5435	0.29412
46	0.00685	0.0624	0.475193
47	0.077237	0.7037	0.241806
48	0.130162	1.1858	0.119536

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.354753	3.232	0.000882
2	-0.14697	-1.339	0.092119
3	0.151183	1.3773	0.086055
4	-0.235142	-2.1422	0.017552
5	-0.08844	-0.8057	0.211351
6	-0.098187	-0.8945	0.186814
7	-0.185756	-1.6923	0.047168
8	-0.145027	-1.3213	0.095023
9	0.084145	0.7666	0.222747
10	-0.103304	-0.9411	0.17468
11	0.344252	3.1363	0.001184
12	0.406009	3.6989	0.000194
13	-0.030654	-0.2793	0.390366
14	-0.033499	-0.3052	0.380492
15	-0.208263	-1.8974	0.030628
16	0.08157	0.7431	0.229747
17	0.027638	0.2518	0.400912
18	-0.033666	-0.3067	0.379916
19	-0.08081	-0.7362	0.231839
20	0.137352	1.2513	0.107163
21	-0.208589	-1.9003	0.03043
22	0.048581	0.4426	0.329605
23	0.04999	0.4554	0.324995
24	0.057864	0.5272	0.299741
25	-0.042637	-0.3884	0.349341
26	-0.047906	-0.4364	0.331823
27	0.049563	0.4515	0.326388
28	-0.022708	-0.2069	0.418305
29	0.013456	0.1226	0.451362
30	0.140946	1.2841	0.101343
31	0.026392	0.2404	0.40529
32	-0.045645	-0.4158	0.339298
33	0.057292	0.522	0.301546
34	-0.011079	-0.1009	0.459922
35	-0.023565	-0.2147	0.415269
36	-0.013941	-0.127	0.449621
37	-0.03089	-0.2814	0.389543
38	-0.008424	-0.0767	0.469506
39	-0.051056	-0.4651	0.321522
40	-0.101609	-0.9257	0.178643
41	-0.008538	-0.0778	0.469094
42	0.072122	0.6571	0.256479
43	-0.033625	-0.3063	0.380057
44	0.022164	0.2019	0.420234
45	0.018664	0.17	0.432696
46	-0.077587	-0.7069	0.240819
47	-0.002579	-0.0235	0.490657
48	-0.100416	-0.9148	0.181465

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jul/02/t1278074532ayjb9fd8a81ju9g/11lah1278074431.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/02/t1278074532ayjb9fd8a81ju9g/11lah1278074431.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/02/t1278074532ayjb9fd8a81ju9g/21lah1278074431.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/02/t1278074532ayjb9fd8a81ju9g/21lah1278074431.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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