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part autocorrelatie

*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 17:59:53 +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/t1278094444xwkb5jai8oddw9m.htm/, Retrieved Fri, 02 Jul 2010 20:14:04 +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/t1278094444xwkb5jai8oddw9m.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:

thomas talboom

Dataseries X:

» Textbox « » Textfile « » CSV «

237 236 235 233 231 230 231 233 234 234 235 237 246 245 240 239 231 224 229 231 238 240 237 239 248 239 237 232 216 209 214 217 217 227 218 220 229 224 216 208 191 190 196 196 200 204 193 194 207 209 193 175 157 150 162 157 160 167 159 161 179 180 169 152 128 125 131 135 141 154 152 147 163 165 147 130 106 107 115 114 124 141 139 129

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	0.842462	6.5257	0
2	0.789682	6.1168	0
3	0.697234	5.4008	1e-06
4	0.598231	4.6339	1e-05
5	0.545916	4.2286	4.1e-05
6	0.443705	3.4369	0.000537
7	0.368515	2.8545	0.002955
8	0.296663	2.2979	0.012533
9	0.157409	1.2193	0.113754
10	0.093462	0.724	0.235954
11	0.025519	0.1977	0.421986
12	-0.092082	-0.7133	0.239225
13	-0.054996	-0.426	0.335817
14	-0.110249	-0.854	0.198255
15	-0.100789	-0.7807	0.219021
16	-0.118092	-0.9147	0.181996
17	-0.108103	-0.8374	0.202856
18	-0.024913	-0.193	0.423815
19	0.007809	0.0605	0.475983
20	0.028803	0.2231	0.412105
21	0.08062	0.6245	0.267341
22	0.035724	0.2767	0.391475
23	0.040712	0.3154	0.376793
24	0.007394	0.0573	0.47726
25	-0.004898	-0.0379	0.484932
26	0.018656	0.1445	0.442793
27	-0.014955	-0.1158	0.454084
28	-0.023552	-0.1824	0.427928
29	-0.071839	-0.5565	0.289981
30	-0.149394	-1.1572	0.125888
31	-0.204809	-1.5864	0.058948
32	-0.239165	-1.8526	0.034433
33	-0.283186	-2.1935	0.016077
34	-0.281588	-2.1812	0.01655
35	-0.331366	-2.5667	0.006389
36	-0.307478	-2.3817	0.01021
37	-0.330969	-2.5637	0.00644
38	-0.337536	-2.6145	0.005641
39	-0.304349	-2.3575	0.010839
40	-0.294544	-2.2815	0.01304
41	-0.26221	-2.0311	0.023343
42	-0.258107	-1.9993	0.025056
43	-0.2368	-1.8342	0.035789
44	-0.212664	-1.6473	0.052363
45	-0.192383	-1.4902	0.070706
46	-0.157652	-1.2212	0.1134
47	-0.104042	-0.8059	0.211739
48	-0.092552	-0.7169	0.238106
49	-0.065327	-0.506	0.307348
50	-0.053675	-0.4158	0.339532
51	-0.049475	-0.3832	0.351451
52	-0.0371	-0.2874	0.387409
53	-0.037889	-0.2935	0.385081
54	-0.016312	-0.1264	0.449938
55	-0.008796	-0.0681	0.472952
56	-0.006033	-0.0467	0.481442
57	0.00091	0.0071	0.497198
58	0.000477	0.0037	0.498531
59	-3.1e-05	-2e-04	0.499904
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.842462	6.5257	0
2	0.27541	2.1333	0.018499
3	-0.062783	-0.4863	0.314257
4	-0.128386	-0.9945	0.161993
5	0.085531	0.6625	0.255088
6	-0.121032	-0.9375	0.176127
7	-0.066578	-0.5157	0.303976
8	-0.007982	-0.0618	0.475453
9	-0.27785	-2.1522	0.017707
10	0.009723	0.0753	0.470109
11	0.097698	0.7568	0.226076
12	-0.269812	-2.09	0.020434
13	0.382625	2.9638	0.002176
14	-0.004725	-0.0366	0.485463
15	-0.058226	-0.451	0.326801
16	0.00047	0.0036	0.498553
17	0.224222	1.7368	0.043776
18	0.147624	1.1435	0.128688
19	0.011069	0.0857	0.465978
20	-0.133416	-1.0334	0.152774
21	-0.108865	-0.8433	0.201216
22	-0.237719	-1.8414	0.035257
23	-0.024595	-0.1905	0.424776
24	-0.295802	-2.2913	0.012737
25	0.192589	1.4918	0.070497
26	0.031001	0.2401	0.405523
27	0.043627	0.3379	0.368296
28	-0.099387	-0.7698	0.222205
29	0.060987	0.4724	0.319176
30	0.015167	0.1175	0.453434
31	-0.100921	-0.7817	0.218724
32	0.037911	0.2937	0.385018
33	-0.018235	-0.1412	0.444074
34	-0.084049	-0.651	0.258752
35	0.02029	0.1572	0.437821
36	-0.108909	-0.8436	0.20112
37	-0.010772	-0.0834	0.46689
38	-0.07858	-0.6087	0.272518
39	0.078178	0.6056	0.273545
40	-0.141183	-1.0936	0.13925
41	0.074849	0.5798	0.282119
42	-0.030251	-0.2343	0.407766
43	0.064206	0.4973	0.310384
44	-0.008053	-0.0624	0.475233
45	0.01827	0.1415	0.443966
46	-0.042256	-0.3273	0.372286
47	0.027082	0.2098	0.417277
48	-0.018518	-0.1434	0.443212
49	0.035196	0.2726	0.393037
50	0.027145	0.2103	0.417086
51	0.069716	0.54	0.295593
52	-0.077527	-0.6005	0.275211
53	0.001408	0.0109	0.495667
54	-0.142441	-1.1033	0.137141
55	0.037004	0.2866	0.387692
56	0.036691	0.2842	0.388616
57	-0.062652	-0.4853	0.314615
58	0.032329	0.2504	0.40156
59	0.017789	0.1378	0.445432
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jul/02/t1278094444xwkb5jai8oddw9m/13js01278093590.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/02/t1278094444xwkb5jai8oddw9m/13js01278093590.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/02/t1278094444xwkb5jai8oddw9m/23js01278093590.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/02/t1278094444xwkb5jai8oddw9m/23js01278093590.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 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 2 ; 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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